Federal National Mortgage Association 

Fannie Mae 

Enterprise Regulatory Capital Framework Disclosures

For the Quarterly Period Ended June 30, 2023

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Federal National Mortgage Association - Fannie Mae 

Capital Disclosures Report

For the quarterly period ended June 30, 2023

Table	of	Contents

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

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

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

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

3. Capital Buffers......................................................................................................................................... 13

4. Credit Risk: General Disclosures ......................................................................................................... 14

5. Counterparty Credit Risk ....................................................................................................................... 18

6. Credit Risk Mitigation............................................................................................................................. 20

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

8. Equities..................................................................................................................................................... 27

9. Interest Rate Risk for Non-Trading Activities...................................................................................... 29

10. Operational Risk ..................................................................................................................................... 30

11. Tier 1 Leverage Ratio............................................................................................................................. 31

12. Market Risk.............................................................................................................................................. 33

Glossary ........................................................................................................................................................... 36

Published August 14, 2023

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DISCLOSURE MAP

Disclosure 

Requirement Description

Capital 

Disclosures

page 

reference

2022

Form 10-K 

page 

reference 

Q2 2023

Form 10-Q 

page 

reference 

Introduction Forward-Looking Statements 5 30 59

Risk Factors 5 33

Capital Structure Short-Term and Long-Term Debt 7 F-43 93

Equity 7 F-53

Regulatory Capital Requirements 7 F-60 115

Capital Adequacy Conservatorship 9 10

GSE and Conservatorship Risk 9 35

Capital Requirements 9 134 52

Regulatory Capital Requirements 9 115

Capital Buffers Capital Requirements 13 17

Credit Risk: General 

Disclosures

Managing Mortgage Credit Risk 14 8

Single-Family Mortgage Credit 

Risk Management 14 90 26

Multifamily Mortgage Credit Risk 

Management 14 119 41

Mortgage Credit Risk Management 

Overview 14 138

Climate and Natural Disaster Risk 

Management 14 138

Concentrations of Credit Risk 14, 15 F-63 100

Summary of Significant Accounting 

Policies 14 F-8 68

Nonaccrual Loans 14 F-17

Institutional Counterparty Credit 

Risk Management 14 141

Mortgage Loans 14 73

Off-Balance Sheet Arrangements 14 50

Financial Guarantees 14 92

Liquidity and Capital Management 14 46

Investments in Securities 14 90

Derivative Instruments 14 94

Netting Arrangements 14 104

Allowance for Loan Losses 16 88

Counterparty Credit 

Risk

Institutional Counterparty Credit 

Risk Management 17 141

Derivative Instruments 18 94

Credit Risk Mitigation Collateral 19 F-22

Institutional Counterparty Credit 

Risk Management 19 141

Single-Family Mortgage Credit 

Risk Management 19 90 26

Multifamily Mortgage Credit Risk 

Management 19 119 41

Concentrations of Credit Risk 19 F-63 100

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Credit Risk Transfers 

and Securitization

Sharing and Selling Credit Risk 20 10

Single-Family Credit Enhancement 

and Transfer of Mortgage Credit 

Risk

20 97 29

Transfer of Multifamily Mortgage 

Credit Risk 20, 24 120 41

Model Risk Management 20 155

Risk Factors | Operational Risk 20 46

Managing Mortgage Credit Risk 20 8

Single-Family Mortgage Credit 

Risk Management 20 90 26

Multifamily Mortgage Credit Risk 

Management 20 119 41

Institutional Counterparty Credit 

Risk Management 20 141

Consolidations and Transfers of 

Financial Assets 21 F-24 71

Investments in Securities 21 F-16

Special Purpose Vehicles (“SPVs“) 

Associated with Our Credit Risk 

Transfer Programs

21 F-25

Financial Guarantees 21 F-42 92

Credit Risk Transfer Transactions 24 97

Equities Condensed Consolidated Balance 

Sheets 26 63

Condensed Consolidated 

Statements of Operations and 

Comprehensive Income

26 64

Available-for-Sale Securities 27 90

Interest Rate Risk for 

Non-Trading Activities

How Interest Rates Can Affect Our 

Financial Results 28 61 6

Market Risk Management, 

including Interest-Rate Risk 

Management

28 149 54

Measurement of Interest-Rate Risk 28 151 55

Operational Risk Risk Management | Operational 

Risk Management 29 154

Risk Factors | Operational Risk 29 46

Tier 1 Leverage Ratio No references included

Market Risk

Unconsolidated Variable Interest 

Entities (“VIEs”) 32 72

Financial Guarantees 32 F-42 92

Single-Class Resecuritization 

Trusts 32 F-14

Multi-Class Resecuritization Trusts 33 F-14

Fair Value Measurement 33 F-71 105

Model Risk Management 33 155

Risk Factors | Operational Risk 33 46

Disclosure 

Requirement Description

Capital 

Disclosures 

page 

reference

2022

Form 10-K 

page 

reference 

Q2 2023

Form 10-Q 

page 

reference

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Introduction

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

government-sponsored enterprise (“GSE”), 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).

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

program. Our risk management program aims to monitor and manage the following major business risks: 

credit risk, market risk, liquidity and funding risk, and operational 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 that are designed to work 

together as a comprehensive risk management system aimed at enhancing our performance: 

• 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”), Compliance & Ethics and other risk oversight 

functions—provide independent risk oversight and effective challenge; and

• Third line: Internal Audit—provides independent assurance.

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

program.

As a GSE, we are subject to the regulatory capital rules issued by the Federal Housing Finance Agency 

(“FHFA”) pursuant to 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 enterprise regulatory capital framework (12 C.F.R. Part 1240) (“ERCF”) establishes minimum capital 

requirements by capital tier. Under the ERCF, Fannie Mae is required to satisfy minimum risk-based 

capital requirements based on total capital, adjusted total capital, tier 1 capital, and common equity tier 1 

(“CET1”) capital. In addition to the minimum capital requirements, the ERCF establishes regulatory capital 

buffers. The ERCF requires Fannie Mae to maintain CET1 capital that exceeds its minimum risk-based 

capital requirements by at least the amount of its prescribed capital conservation buffer amount 

(“PCCBA”). If Fannie Mae’s capital position does not exceed its minimum risk-based capital requirements 

and PCCBA, Fannie Mae will be subject to limitations on its capital distributions and discretionary bonus 

payments to executives. Similarly, the ERCF establishes a leverage capital buffer titled the prescribed 

leverage buffer amount (“PLBA”) requiring Fannie Mae’s tier 1 capital to exceed the PLBA to avoid capital 

or discretionary bonus distribution limitations.

Although the ERCF went into effect in February 2021, Fannie Mae is not required to hold capital 

according to the framework’s requirements until the date of termination of its conservatorship or such later 

date as may be ordered by FHFA. Fannie Mae is required to provide timely public disclosures each 

calendar quarter of the information specified in subpart D of the ERCF. 

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Fannie Mae’s 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 Form 10-Q for the quarter ended June 30, 2023 (the “Q2 2023

Form 10-Q”). 

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

intention with respect to future credit risk transfer (“CRT”) 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 “Management’s Discussion and Analysis of Financial Condition and Results 

of Operations (MD&A)—Forward-Looking Statements” in our Q2 2023 Form 10-Q, and in “Business—

Forward-Looking Statements” and “Risk Factors” in our annual report on Form 10-K for the year ended 

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

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1. Capital Structure 

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

preferred stock, qualifying junior preferred stock, and short-term debt and long-term debt (callable 

securities, non-callable securities, fixed/floating rate notes, etc.). For more information about our 

outstanding capital instruments, refer to “Note 7, Short-Term and Long-Term Debt” and “Note 14, 

Regulatory Capital Requirements” in our Q2 2023 Form 10-Q and “Note 7, Short-Term and Long-Term 

Debt,” “Note 11, Equity,” and “Note 12, Regulatory Capital Requirements” in our 2022 Form 10-K.

FHFA has provided guidance on the different tiers and classifications of capital in the ERCF. The 

representative components of regulatory capital under the ERCF are shown below:

“Core capital” is defined in the GSE Act and the ERCF as having four components: outstanding common 

stock, outstanding perpetual noncumulative preferred stock1, paid-in capital, and retained earnings 

(accumulated deficit). “Total capital” is defined in the GSE Act to include 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). 

The following exhibit provides a summary of Fannie Mae’s capital instruments and reconciliations as of 

June 30, 2023.

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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.
Exhibit 1.1: Capital Instruments & Reconciliations

As of June 30, 2023

(Dollars in millions)

GAAP

Common stock $ 687 

Treasury stock (7,400) 

Retained earnings2 (64,245) 

Accumulated other comprehensive income (“AOCI”) 36 

Junior preferred stock3 19,130 

Senior preferred stock 120,836 

Stockholders’ equity under GAAP 69,044 

Regulatory Capital

Less: Senior & junior preferred stock 139,966 

Common stockholders’ equity (70,922) 

Less: 

Goodwill4 — 

Other intangible assets4 — 

Deferred tax assets (“DTAs”)5 11,990 

AOCI-related adjustments — 

Other deductions — 

Common equity tier 1 (“CET1”) capital (deficit) (82,912) 

Qualifying junior preferred stock 19,130 

Other adjustments and deductions — 

Tier 1 capital (deficit) (63,782) 

Qualifying subordinated debt and other instruments — 

Qualifying allowance for credit losses — 

Other adjustments and deductions — 

Tier 2 capital — 

Adjusted total capital (deficit) (63,782) 

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 (64,245) 

Treasury stock (7,400) 

Total core capital (deficit) (51,828) 

General allowance for foreclosure losses6 10,247 

Other7 — 

Total capital (deficit) $ (41,581) 

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2

 Referred to as “Accumulated deficit” on the company’s condensed consolidated balance sheet as of June 30, 2023, as this 

 number represents a deficit.

3

 Referred to as “Preferred Stock” on the company’s condensed consolidated balance sheet as of June 30, 2023.

4

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

5

 DTAs that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs, and 

 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 percent common equity tier 1 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

In conjunction with Fannie Mae’s management of and adherence to risk appetite limits, capital 

management is integral to our risk and governance processes. Fannie Mae’s ability to manage capital 

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

unexpected future losses and to carry out its 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 2022 Form 10-K.

Fannie Mae actively monitors its 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 Fannie Mae’s current and forecasted capital levels and requirements.

The dates by which we must comply with the requirements of the ERCF are staggered and largely 

dependent on whether we remain in conservatorship. The minimum capital ratio requirements prescribed 

by the ERCF for CET1, tier 1, and adjusted total capital are 4.5%, 6.0%, and 8.0%, respectively, of riskweighted assets (“RWA”). Under the ERCF, our compliance with the minimum regulatory capital 

requirements will be required by the later of our exit from conservatorship or such later date as may be 

ordered by FHFA. 

For more information on Fannie Mae’s approach to assessing its capital adequacy, refer to “MD&A—

Liquidity and Capital Management—Capital Management—Capital Requirements” in our Q2 2023 Form 

10-Q and “MD&A—Liquidity and Capital Management—Capital Management—Capital Requirements” in 

our 2022 Form 10-K.

As of June 30, 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 metrics under the ERCF as of June 30, 

2023, see “MD&A—Liquidity and Capital Management—Capital Management—Capital Requirements” 

and “Note 14, Regulatory Capital Requirements” in our Q2 2023 Form 10-Q.

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

June 30, 2023.

Exhibit 2.1: Capital Metrics under the Enterprise Regulatory Capital Framework8

As of June 30, 2023

(Dollars in billions)

Adjusted total 

assets $ 4,562 

Risk-weighted 

assets 1,316 

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) $ (42) $ 105 $ 105 (3.2) % 8.0 % 8.0 %

Common equity 

tier 1 capital (83) 59 138 (6.3) 4.5 10.5 

Tier 1 capital (64) 79 158 (4.9) 6.0 12.0 

Adjusted total 

capital (64) 105 184 (4.9) 8.0 14.0 

Leverage 

capital:

Core capital 

(statutory) (52) 114 114 (1.1) 2.5 2.5 

Tier 1 capital (64) 114 137 (1.4) 2.5 3.0 

Risk-Weighted Assets

Under the ERCF, Fannie Mae is required to determine its RWA under both a standardized approach and 

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

January 1, 2025 or such date provided by an FHFA transition order.9 Currently, Fannie Mae calculates its 

RWA using the standardized approach set forth in the ERCF. Under the standardized approach, Fannie 

Mae’s total RWA equals the sum of its 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. 

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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.

9

 In March 2023, FHFA published a proposed rule that would further extend the compliance date for an Enterprise's advanced 

approaches to January 1, 2028. See 88 Fed. Reg. 15306 (Mar. 13, 2023). 
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. 

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

systems, or disruptions from external events.

The following exhibit provides a summary of Fannie Mae’s RWA as of June 30, 2023.

Exhibit 2.2: RWA Summary

As of June 30, 2023

(Dollars in millions)

Standardized Approach 

RWA

Credit risk $ 1,201,037 

Market risk 29,313 

Operational risk 85,531 

Total $ 1,315,881 

Fannie Mae uses CRT transactions to transfer a portion of the credit risk on some of the loans in its 

guaranty book of business to unaffiliated third parties. The credit risk RWA above includes the RWA 

benefit associated with these CRT transactions. These transactions reduce RWA based on the structure 

of the transaction. For more information regarding our CRT transactions, refer to "Section 7, Credit Risk 

Transfers (CRT) and Securitization."

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The following exhibit presents credit RWA by risk and exposure type as of June 30, 2023.

Exhibit 2.3: Credit RWA Summary

As of June 30, 2023

(Dollars in millions)

Exposure Amount RWA Amount

Exposures to the U.S. Government $ 110,030 $ 1,474 

Exposures to supranational entities and multilateral development 

banks — — 

Exposures to GSEs 509,417 44,979 

Exposures to depository institutions and credit unions, except for 

equity exposure 28,135 5,627 

Exposures to U.S. public sector entities (PSEs) 137 68 

Corporate exposures 20 20 

Residential mortgage exposures10 2,971,115 926,337 

a. Single-family 2,576,967 810,027 

i. Performing loans 2,451,909 733,657 

ii. Non-modified re-performing loans 22,985 10,954 

iii. Modified re-performing loans 82,286 40,766 

iv. Non-performing loans 19,787 24,650 

b. Multifamily 394,148 116,310 

i. Fixed-rate exposures 352,341 88,357 

ii. Adjustable-rate exposures 41,807 27,953 

Past due exposures of more than 90 days past due and 

nonaccrual — — 

Other assets11 20,471 10,381 

Insurance assets 2,971 2,971 

Default fund contributions to central counterparties12

 — — 

Securitization exposures 1,116,145 203,386 

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

Cleared transactions 633 89 

Unsettled transactions — — 

Equity exposures 3,087 3,087 

Repo-style transactions 34,920 148 

Forward agreements 200 19 

Commitments 2 — 

Other off-balance sheet exposures13 2,451 2,451 

Total $ 4,799,734 $ 1,201,037 

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10 Reflects only residential mortgage exposures that are not subject to the Credit Risk Transfer Approach.

11 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), Master Servicing Assets (“MSAs”) 

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

12 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.

13 Includes off-balance sheet guarantees, repurchase agreements, off-balance sheet securities lending, and off-balance sheet 

 securities borrowing.
3. Capital Buffers

The ERCF includes a requirement for Fannie Mae to hold prescribed capital buffers that can be drawn 

down in periods of financial stress and rebuilt over time as economic conditions improve. 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 Fannie Mae’s 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 stability 

capital buffer, stress capital buffer, and countercyclical capital buffer comprise the PCCBA. 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.

For additional information regarding Fannie Mae’s capital buffers, refer to “Business—Legislation and 

Regulation—GSE-Focused Matters—Capital Requirements” in our 2022 Form 10-K. 

The following exhibit presents Fannie Mae’s PCCBA, PLBA, eligible retained income, and maximum 

payout ratio as of June 30, 2023.

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

As of June 30, 2023

(Dollars in millions)

Amount

Stress capital buffer14 $ 34,201 

Stability capital buffer15 45,128 

Countercyclical capital buffer16 — 

Prescribed capital conservation buffer amount (PCCBA) 79,329 

Prescribed leverage buffer amount (PLBA) 22,564 

Eligible retained income17 $ 12,287 

Maximum payout ratio18 0 percent

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14 The stress capital buffer is 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 The countercyclical capital buffer is calculated by multiplying prescribed factors by adjusted total assets as of the last day of the

 previous calendar quarter.

17 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.

18 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. 

The components of our credit risk management program are implemented by our first line-of-defense risk 

managers, procedures and controls that identify, manage and mitigate credit risk. We have business 

Credit Risk Officers in our ERM Division acting in a second-line function. For more information on credit 

risk management, credit risk-related policies, exposures, and derivatives see the following referenced 

sections in our Q2 2023 Form 10-Q and our 2022 Form 10-K.

Mortgage Credit Risk – “MD&A—Single-Family Business—Single-Family Mortgage Credit Risk 

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

10, Concentrations of Credit Risk” in our Q2 2023 Form 10-Q. Additionally, see “Business—Managing 

Mortgage Credit Risk,” “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 Overview,” “MD&A—Risk Management—Climate 

and Natural Disaster Risk Management,” and “Note 13, Concentrations of Credit Risk” in our 2022 Form 

10-K. 

Policy for determining past due19 or delinquency status – “Note 3, Mortgage Loans” in our Q2 2023

Form 10-Q and “Note 1, Summary of Significant Accounting Policies—Mortgage Loans—Nonaccrual 

Loans” in our 2022 Form 10-K.

Accounting Policies – “Note 1, Summary of Significant Accounting Policies” in our Q2 2023 Form 10-Q 

and “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K.

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 

10, Concentrations of Credit Risk” in our Q2 2023 Form 10-Q. Additionally, see “Business—Managing 

Mortgage Credit Risk,” “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 Overview,” “MD&A—Risk Management—Climate 

and Natural Disaster Risk Management,” “MD&A—Risk Management—Institutional Counterparty Credit 

Risk Management,” and “Note 13, Concentrations of Credit Risk” in our 2022 Form 10-K. 

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

Management,” “MD&A—Multifamily Business—Multifamily Mortgage Credit Risk Management,” “Note 10, 

Concentrations of Credit Risk,” and “Note 3, Mortgage Loans” in our Q2 2023 Form 10-Q.

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

Off-Balance Sheet Arrangements” and “Note 6, Financial Guarantees” in our Q2 2023 Form 10-Q.

Other Non-Derivative Off-Balance Sheet Exposures – “MD&A—Liquidity and Capital Management—

Liquidity Management—Off-Balance Sheet Arrangements” and “Note 6, Financial Guarantees” in our Q2 

2023 Form 10-Q.

Debt Securities and OTC Derivatives – “MD&A—Liquidity and Capital Management,” “Note 5, 

Investments in Securities,” “Note 8, Derivative Instruments,” and “Note 11, Netting Arrangements” in our 

Q2 2023 Form 10-Q.

 Page 14

19 Loans that are 30 days or more past due, or in the foreclosure process, are considered “past due.”
Geographic Concentration of Loans – “MD&A—Single-Family Business—Single-Family Mortgage 

Credit Risk Management” and “Note 10, Concentrations of Credit Risk” in our Q2 2023 Form 10-Q.

Major Types of Counterparty Exposures – “Note 10, Concentrations of Credit Risk” in our Q2 2023

Form 10-Q and “MD&A—Risk Management—Institutional Counterparty Credit Risk Management” in our 

2022 Form 10-K.

The following exhibit presents a summary of single-family and multifamily loans and the associated 

unpaid principal balance (“UPB”) and allowance as of June 30, 2023.

Exhibit 4.1: Single-Family and Multifamily Loans and Associated Allowance20

As of June 30, 2023

(Dollars in millions)

Single-Family Multifamily

UPB 

Amount

Adjusted 

Allowance for 

Credit Losses21

UPB 

Amount

Adjusted 

Allowance for 

Credit Losses21

Current $ 3,582,360 $ 7,389 $ 443,246 $ 1,867 

30 to 89 days delinquent 33,879 472 655 119 

90+ days delinquent and on 

nonaccrual 14,717 208 953 4 22

90+ days delinquent and still 

accruing 4,184 177 337 2 

Other23 — — — — 

Total $ 3,635,140 $ 8,246 24 $ 445,191 $ 1,992 

For the six months ended June 30, 2023, gross write-offs were $99 million for single-family and $254

million for multifamily.

 Page 15

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

21 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.

22 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.

23 Adjustments to modeled results.

24 Total includes allowance related to loan UPB plus $256 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 June 30, 2023. 

Exhibit 4.2: Geographic Distribution of Past Due Loans and Associated Allowances

As of June 30, 2023

(Dollars in millions)

Single-Family Multifamily

Geographic Region25

UPB 

Amount of 

Past Due 

Loans

Allowances 

for Past Due 

Loans

UPB 

Amount of 

Past Due 

Loans

Allowances 

for Past Due 

Loans

Midwest $ 6,923 $ 124 $ 789 $ 111 

Northeast 10,092 135 399 6 

Southeast 12,494 201 253 3 

Southwest 10,548 198 386 4 

West 12,723 199 118 1 

Other26

 — — — — 

Total $ 52,780 $ 857 $ 1,945 $ 125 

Adjusted Allowance for Credit Losses – Our adjusted allowance for credit losses consists of our

allowance for loan losses, accrued interest receivable losses, and reserves on advance receivables for 

pre-foreclosure costs. For a reconciliation of changes in the allowance for loan losses, see “Note 4 – 

Allowance for Loan Losses” in our Q2 2023 Form 10-Q.

 Page 16

25 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.

26 Portion of allowance that is not geography-specific.
The following exhibit presents the remaining contractual maturity of single-family and multifamily 

mortgage loans, as of June 30, 2023. 

Exhibit 4.3: Remaining Contractual Maturity of Mortgage Loans27

As of June 30, 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 $ 125,953 $ 533,332 $ 1,348,156 $ 1,594,163 $ 3,601,604 

Single-family 

adjustable-rate 7,974 4,539 12,544 12,755 37,812 

Multifamily 9,360 120,112 310,240 6,302 446,014 

Total unpaid principal 

balance of outstanding 

mortgage loans $ 143,287 $ 657,983 $ 1,670,940 $ 1,613,220 $ 4,085,430 

 Page 17

27 Consists of the contractual unpaid principal balance for held-for-investment 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 sellers and servicers; and

• financial institutions that issue investments included in our other investments 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 2022 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 and Treasury securities (Treasury Bills less than one year, 

Treasury Notes of varying maturities and floating-rate Treasury bonds), as well as agency mortgagebacked securities, and Ginnie Mae multi-class securities.

 Page 18
The following exhibit presents the gross positive fair values and collateral values of derivative contracts 

and securities financing transactions as of June 30, 2023.

Exhibit 5.1: Derivative Contracts and Securities Financing Transactions

As of June 30, 2023

(Dollars in millions)

Activity Type

Gross Positive Fair 

Value Collateral Value

Risk management derivatives $ 46 $ 26 

Swaps 79 

Swaptions 185 

Netting adjustment (218) 

Mortgage commitment derivatives 52 — 

Credit enhancement derivatives28 47 — 

Securities financing transactions29 33,050 33,050 

Total $ 33,195 $ 33,076 

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 8, Derivative Instruments” in our Q2 2023 Form 10-Q.

 Page 19

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

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

We enter into various arrangements to mitigate credit risk. In connection with some of these 

arrangements, we pledge and accept collateral to reduce potential credit risk exposure. 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 2022 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—Single-Family Business—Single-Family Mortgage Credit Risk Management,” 

“MD&A—Multifamily Business—Multifamily Mortgage Credit Risk Management,” and “Note 10, 

Concentrations of Credit Risk” in our Q2 2023 Form 10-Q and “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 13, Concentrations of Credit Risk” in our 2022 Form 10-K.

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

acquire with a loan-to-value ratio over 80%. This requirement is usually met by the provision of private 

mortgage insurance from one of six mortgage insurance providers. 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.

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.”

Collateral levels for repurchase agreement transactions are consistent with the ERCF requirements and 

are detailed in the exhibit below as of June 30, 2023.

Exhibit 6.1: Eligible Financial Collateral Coverage30

As of June 30, 2023

(Dollars in millions)

Enterprise-level31

Total exposure covered by eligible financial collateral $ 531,542 

Collateral pre-haircut 37,538 

Collateral post-haircut 34,894 

Total RWA associated with exposure $ 102,844 

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

of certain derivative counterparties, Fannie Mae does not have any other exposures whose credit risk is 

mitigated by eligible guarantees or credit derivatives obtained from external third parties. Fannie Mae’s 

exposure to institutional counterparty credit risk is discussed in “Section 5, Counterparty Credit Risk” of 

this report.

 Page 20

30 Exposures based on definitions under ERCF. Includes collateral from reverse repurchase transactions and certain credit risk 

transfer transactions.

31 Exhibit excludes multifamily loans for which lenders have posted $1,258 million collateral pre-haircut and $1,227 million

 collateral post-haircut.
 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 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”) 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 Fannie Mae’s credit risk management strategy regarding CRTs, see “MD&A—

Single-Family 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 Q2 2023 Form 

10-Q. Additionally see “Business—Managing Mortgage Credit Risk—Sharing and Selling Credit Risk,” 

“MD&A—Single-Family 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 2022

Form 10-K.

Fannie Mae’s issuance of CRT securities does not create any new mortgage credit exposure for Fannie 

Mae, since Fannie Mae already guarantees 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 

transactions do give rise to incremental counterparty credit risk, which reduces the capital relief provided 

by the transactions, because Fannie Mae is subject to the risk that the CIRT counterparties (insurers and 

reinsurers) may not meet their payment obligations to us following a credit loss event; CAS transactions, 

however, do not present a similar risk as the CAS trust receives 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 used 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—Operational Risk Management—Model Risk Management” and “Risk 

Factors—Operational Risk” in our 2022 Form 10-K.

For a discussion of how Fannie Mae mitigates mortgage credit risk retained through securitization 

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

“MD&A—Multifamily Business—Multifamily Mortgage Credit Risk Management” in our Q2 2023 Form 10-

Q. Additionally, see “Business—Managing Mortgage Credit Risk,” “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 2022 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 2, Consolidations and Transfers of Financial Assets” in our Q2 2023 Form 10-Q and “Note 2, 

Consolidations and Transfers of Financial Assets” in our 2022 Form 10-K.

 Page 21
Fannie Mae had no affiliated entities in CRT securitization transactions as of June 30, 2023.

CRT Processes – For information on Fannie Mae’s CRT processes, see “MD&A—Single-Family 

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 Q2 2023 Form 10-Q and “MD&A—

Single-Family 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 2022 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 6, Financial Guarantees” in our Q2 2023 Form 10-Q and “Note 1, Summary of Significant 

Accounting Policies—Investments in Securities,” “Note 2, Consolidations and Transfers of Financial 

Assets—Types of VIEs —SPVs Associated with our Credit Risk Transfer Programs,” and “Note 6, 

Financial Guarantees” in our 2022 Form 10-K.

Fannie Mae’s CRTs are off-balance sheet exposures. As the reference pool loans remain on Fannie 

Mae’s balance sheet, there is no sale associated with the issuance of the accompanying securities (i.e., 

for CAS) or reinsurance (CIRT deals). The assessment and valuation of a CRT transaction does not result 

in the recognition of retained or purchased interest nor any gain-on-sale. We do not have any creditenhancing interest-only strip CRT-related exposures assigned 1,250% risk weights. Additionally, the 

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

process for valuing other exposures.

For private-label securitization and other non-CRT securitization exposures, we utilize the Simplified 

Supervisory Formula Approach (“SSFA”) 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 our CRT exposures, their related exposure amounts, retained and 

acquired breakout, and past due and recognized loss amounts, as of June 30, 2023.

Exhibit 7.1: CRT and Securitizations by Exposure Types

As of June 30, 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 549 549 — 378 171 128 25 

Other — — — — — — — 

Synthetic / 

Reinsurance 

CRT

Single-family 

CRT32 1,055,434 1,055,434 — 1,055,434 — 8,631 554 

Multifamily 

CRT 60,162 60,162 — 60,162 — 383 15 

Total CRT and 

securitization 

exposure $ 1,116,145 $ 1,116,145 $ — $ 1,115,974 $ 171 $ 9,142 $ 594 

 Page 23

32 The exposure amounts correspond to CRT deals for which we elected the Credit Risk Transfer Approach (CRTA) capital treatment 

under ERCF. The past due amounts and loss recognized correspond to total active CRT deals and include $5,463 million and $85

million, respectively, for the deals subject to CRTA.
The following exhibit provides information on our CRT exposures, their related exposure amounts, and 

the associated RWA, as of June 30, 2023.

Exhibit 7.2: CRT and Securitizations by Capital Treatment

As of June 30, 2023

(Dollars in millions)

RWA by Calculation Methodology

Total 

Exposure RWA SSFA33 CRTA34 1250% Risk Weighted

Traditional

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

Multifamily securitization — — — — — 

Private-label securities 549 6,866 — — 6,866 

Other — — — — — 

Synthetic / Reinsurance 

CRT

Single-family CRT 1,055,434 185,673 — 185,673 — 

Multifamily CRT 60,162 10,848 — 10,848 — 

Total CRT and securitization 

exposure $ 1,116,145 $ 203,387 $ — $ 196,521 $ 6,866 

 Page 24

33 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.

34 Refers to the credit risk transfer approach (“CRTA”), which is a calculation methodology, defined in the ERCF, used to determine 

 the risk-weight for a retained CRT exposure.
The following exhibit provides information on our securitization exposures by risk-weight bands, as of 

June 30, 2023.

Exhibit 7.3: CRT, Securitization and Resecuritization by Credit Risk Bands

As of June 30, 2023

(Dollars in millions)

Total 

Exposure

SSFA RiskWeighted Assets35CRTA RiskWeighted Assets

Capital 

Impact of 

RWA36

Securitization / 

Reinsurance CRT

Zero to 20% $ 816,272 $ — $ 98,755 $ 4,444 

21% to 50% 245,210 — 70,280 3,163 

51% to 100% 54,114 — 27,485 1,237 

Over 100% 431 5,388 — 242 

Resecuritization

Zero to 20% — — — — 

21% to 50% — — — — 

51% to 100% — — — — 

Over 100% 118 1,478 — 67 

Total CRT and securitization/

resecuritization exposure $ 1,116,145 $ 6,866 $ 196,520 $ 9,153 

 Page 25

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

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

securitized year-to-date, and the associated gain/loss on sale as of June 30, 2023.

Exhibit 7.4: CRT and Securitization Pipeline & Activity

As of June 30, 2023

(Dollars in millions)

Carrying Value of 

Assets Pending 

Securitization37

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 30,793 — — 

Multifamily CRT — 6,903 — 

Total CRT and 

securitization exposure $ 30,793 $ 6,903 $ — 

As the underlying reference pools for CRT transactions only consist of loans (i.e., they do not include 

MBS trusts), there are no retained or purchased CRT resecuritization exposures on Fannie Mae's balance 

sheet.

 Page 26

37 Represents the unpaid principal balance of loans we intend to include in reference pools for CRT issuances in the subsequent

 fiscal quarter as of June 30, 2023.
 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/nature of our equity investments, the carrying and fair value of the 

investments, refer to the “Condensed Consolidated Balance Sheets” and the “Condensed Consolidated 

Statements of Operations and Comprehensive Income” in our Q2 2023 Form 10-Q.

The following exhibit provides information on unrealized gains and losses for publicly-traded and nonpublicly traded equity investments as of June 30, 2023.

Exhibit 8.1: Equity Investments

As of June 30, 2023

(Dollars in millions)

Public Non-Public38 Total

Carrying value $ 3 $ 3,084 $ 3,087 

Unrealized gains/losses — — — 

Unrealized gains/losses not recognized on the balance 

sheet or through earnings — — — 

Fair value 3 3,084 3,087 

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

YTD Cumulative realized gains/losses from sales and 

liquidation — — — 

 Page 27

38 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 June 30, 

2023.

Exhibit 8.2: Capital Treatment of Equity Investments

As of June 30, 2023

(Dollars in millions)

Risk Weight Exposure39 RWA

Capital Impact of 

RWA40

0% $ — $ — $ — 

20% — — — 

100% 3,087 3,087 139 

300% — — — 

400% — — — 

600% — — — 

Total equity investments $ 3,087 $ 3,087 $ 139 

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 sheet but not through 

earnings, see “Note 5, Investments in Securities—Available-for-Sale Securities” in our Q2 2023 Form 10-

Q. 

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

30, 2023. 

 Page 28

39 Represents net exposure of equity investments.

40 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, 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; 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 Q2 2023 Form 10-Q and “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 2022 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 Q2 2023 Form 10-Q. 

 Page 29
 10. Operational Risk 

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

systems or disruptions from external events. For information on the operational risks we face and how we 

identify, monitor, and manage these risks (including cybersecurity risks), see “Risk Factors—Operational 

Risk” and “MD&A—Risk Management—Operational Risk Management” in our 2022 Form 10-K.

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. 

For information on how insurance is used to mitigate operational risk, see “Risk Factors—Operational 

Risk” and “MD&A—Risk Management—Operational Risk Management” in our 2022 Form 10-K.

 Page 30
 11. Tier 1 Leverage Ratio 

The ERCF requires Fannie Mae to maintain tier 1 capital in excess of the amount required under its tier 1 

leverage ratio41 requirement by at least the amount of its PLBA. The leverage ratio requirement measures 

the amount of tier 1 capital relative to Fannie Mae’s adjusted total assets. The following exhibit provides a 

view of Fannie Mae’s adjusted total assets and tier 1 leverage as of June 30, 2023.

 Page 31

41 Tier 1 leverage ratio is the capital metric calculated as a result of dividing tier 1 capital by adjusted total assets.
1 Total consolidated assets as reported in published financial statements $ 4,323,710 

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

 exposure — 

3 Adjustment for derivative exposures 689 

4 Adjustment for repo-style transactions 1,870 

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

 off-balance sheet exposures) 237,120 

6 Other adjustments (1,743) 

7 Adjusted total assets (sum of lines 1 to 6) $ 4,561,646 

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) $ 4,300,763 

2 LESS: Amounts deducted from tier 1 capital 11,990 

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) $ 4,288,773 

Derivative exposures

4 Current exposure for derivative exposures (that is, net of cash variation margin) $ (3,935) 

5 Add-on amounts for potential future exposure (PFE) for derivative exposures 689 

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

 variation margin 4,033 

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 46 

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

 — 

11 Total derivative exposures (sum of lines 4 to 10) $ 833 

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 $ 33,050 

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 1,870 

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) $ 34,920 

Other off-balance sheet exposures

17 Off-balance sheet exposures at gross notional amounts $ 237,205 

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

 held in retained portfolio 85 

19 Off-balance sheet exposures (sum of lines 17 and 18) $ 237,120 

Capital and adjusted total assets

20 Tier 1 capital (deficit) (63,782) 

21 Adjusted total assets (sum of lines 3, 11, 16, and 19) $ 4,561,646 

Tier 1 leverage ratio

22 Tier 1 leverage ratio (in percent) (1.4) %

Exhibit 11.1: Tier 1 Leverage Ratio

As of June 30, 2023

(Dollars in millions)

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

 Page 32
 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.

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 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. 

 Page 33
The following exhibit provides the covered position exposure amounts and RWA for each of the three 

types of ERCF standardized approaches as of June 30, 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 June 30, 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 $ 7,993 $ 4,746 

Re-performing loans 19,554 11,610 

Reverse mortgage loans 5,032 1,006 

Reverse mortgage securities 3,587 1,838 

Spread Duration Approach

Multifamily mortgage exposures 1,666 48 

Private-label securities 549 283 

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

Ginnie Mae 3,966 2,626 

Internal Estimates

Covered Positions that are not subject to the Single Point 

or Spread Duration Approaches

Single-family MBS guaranteed by the Enterprise (7,912) (2,950) 

Single-family MBS guaranteed by Ginnie Mae (1) (3) 

Single-family MBS guaranteed by the other Enterprise42 19 10 

Multifamily interest-only securities guaranteed by an 

Enterprise or Ginnie Mae 338 251 

Commercial MBS — — 

CRT exposures — — 

Other securitization exposures 145 43 

Performing loans, not securitized 16,248 8,849 

Other trading assets and liabilities 609 956 

Total $ 51,793 $ 29,313 

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, refer to “Note 2, 

Consolidations and Transfers of Financial Assets—Unconsolidated VIEs” and “Note 6, Financial 

Guarantees” in our Q2 2023 Form 10-Q. 

Composition of Material Covered Positions – For information on material changes to significant 

covered positions, refer to “Note 1, Summary of Significant Accounting Policies—Single-Class 

Resecuritization Trusts” and “Note 1, Summary of Significant Accounting Policies—Multi-Class 

Resecuritization Trusts” in our 2022 Form 10-K.

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42 “Other Enterprise” refers to Freddie Mac.
Fannie Mae’s 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 

processes. For more information on Fannie Mae's valuation techniques, refer to “Note 12, Fair Value— 

Fair Value Measurement” in our Q2 2023 Form 10-Q and “Note 15, Fair Value— Fair Value Measurement” 

in our 2022 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 risk43 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 spread movements 

observed during 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. For more information on our 

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

“Risk Factors—Operational Risk” in our 2022 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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43 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 acronyms and terms included in this report.

• AFS – Available-for-sale

• AOCI – Accumulated other comprehensive income

• CCP – Central counterparty 

• CET1 – Common equity tier 1 

• 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

• CMBS – Commercial mortgage-backed securities

• CRT – Credit risk transfer

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

determine the risk-weight for a retained CRT exposure

• DTA – Deferred tax assets

• DTL – Deferred tax liabilities 

• ERCF – The enterprise regulatory capital framework (12 C.F.R. Part 1240), which establishes 

minimum capital requirements and regulatory capital buffers by capital tier as described in 

“Introduction”

• ERM – Fannie Mae’s Enterprise Risk Management Division

• Fannie Mae – The Federal National Mortgage Association

• 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

• GSE – Government-sponsored enterprise

• MBS – Mortgage-backed securities

• MD&A – The Management’s Discussion and Analysis section of the applicable referenced Fannie 

Mae Form 10-K or Form 10-Q filing with the Securities and Exchange Commission 

• MSA – Master Servicing Asset

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

dwelling units

• Net Portfolio – Our retained mortgage portfolio assets, 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

• OTC Derivative Contracts – Over-the-counter derivative contracts 

• PCCBA – Prescribed capital conservation buffer amount 

• PFE – Potential future exposure 

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• PLBA – Prescribed leverage buffer amount

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

issuers Fannie Mae, Freddie Mac or Ginnie Mae

• PSE – Public sector entity 

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

that back mortgage-related securities owned by third parties)

• RWA – Risk-weighted assets

• 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

• SPE – Special Purpose Entity 

• 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

• UPB – Unpaid Principal Balance

• U.S. GAAP – Accounting principles generally accepted in the U.S.

• VIE – Variable Interest Entity 

• 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.)

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