UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

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

EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2023

OR

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

EXCHANGE ACT OF 1934

For the transition period from to 

Commission file number: 0-50231

Federal National Mortgage Association

(Exact name of registrant as specified in its charter) 

Fannie Mae

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

Washington, DC 20005

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

(Address of principal executive 

offices, including zip code)

(Registrant’s telephone number, 

including area code)

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

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

None N/A N/A

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

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

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

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

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

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

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

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

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

Large accelerated filer ☐ Accelerated filer ☑

Non-accelerated filer ☐ Smaller reporting company ☐

Emerging growth company ☐

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

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

Act. ☐

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

As of April 14, 2023, there were 1,158,087,567 shares of common stock of the registrant outstanding.
TABLE OF CONTENTS

Page

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

Item 1. Financial Statements

Condensed Consolidated Balance Sheets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60

Condensed Consolidated Statements of Operations and Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . 61

Condensed Consolidated Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62

Condensed Consolidated Statements of Changes in Equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

Note 1—Summary of Significant Accounting Policies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

Note 2—Consolidations and Transfers of Financial Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

Note 3—Mortgage Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69

Note 4—Allowance for Loan Losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81

Note 5—Investments in Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83

Note 6—Financial Guarantees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85

Note 7—Short-Term and Long-Term Debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86

Note 8—Derivative Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87

Note 9—Segment Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91

Note 10—Concentrations of Credit Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92

Note 11—Netting Arrangements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96

Note 12—Fair Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97

Note 13—Commitments and Contingencies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105

Note 14—Regulatory Capital Requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106

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

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

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

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

Liquidity Provided in the First Quarter of 2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

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

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

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

Consolidated Balance Sheet Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16

Retained Mortgage Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

Guaranty Book of Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

Business Segments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

Single-Family Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

Single-Family Mortgage Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

Single-Family Mortgage-Related Securities Issuances Share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

Single-Family Business Metrics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

Single-Family Business Financial Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

Single-Family Mortgage Credit Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24

Multifamily Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

Multifamily Mortgage Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

Multifamily Business Metrics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36

Multifamily Business Financial Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

Multifamily Mortgage Credit Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

Consolidated Credit Ratios and Select Credit Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

Liquidity and Capital Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44

Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51

Market Risk Management, including Interest-Rate Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51

Critical Accounting Estimates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

Impact of Future Adoption of New Accounting Guidance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

Forward-Looking Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

Fannie Mae First Quarter 2023 Form 10-Q i
Item 3. Quantitative and Qualitative Disclosures about Market Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108

Item 4. Controls and Procedures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108

PART II—Other Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110

Item 1. Legal Proceedings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110

Item 1A. Risk Factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112

Item 3. Defaults Upon Senior Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113

Item 4. Mine Safety Disclosures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113

Item 5. Other Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113

Item 6. Exhibits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114

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

Item 2. Management’s Discussion and Analysis of Financial 

Condition and Results of Operations

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

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

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

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

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

duties to the company or its stockholders.

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

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

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

conservatorship. 

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

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

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

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

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

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

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

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

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

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

MD&A in our 2022 Form 10-K. 

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

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

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

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

this report. 

Introduction

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

entity, 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 loans or lend money directly to borrowers. Rather, we work primarily with lenders who originate loans to 

borrowers. We acquire and securitize those loans into mortgage-backed securities that we guarantee (which we refer to 

as Fannie Mae MBS or our MBS).

MD&A | Introduction

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

Summary of Our Financial Performance

Quarterly Condensed Consolidated Results

(Dollars in billions)

$7.5

$6.8

$4.4

$3.8

Net revenues Net income Q1 2022 Q1 2023

• Net revenues decreased $633 million in the first quarter of 2023 compared with the first quarter of 2022,

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

◦ Lower amortization income was driven by a higher interest-rate environment in the first quarter of 

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

with the first quarter of 2022.

◦ Higher income from portfolios was primarily driven by higher interest rates in the first quarter of 2023

than in the first quarter of 2022 on securities in our other investments portfolio. 

• Net income decreased $636 million for the first quarter of 2023 compared with the first quarter of 2022, driven 

primarily by lower net revenues and a decrease in fair value gains, partially offset by a decrease in provision for 

credit losses in the first quarter of 2023 compared with the first quarter of 2022.

• Net worth increased to $64.0 billion as of March 31, 2023 from $60.3 billion as of December 31, 2022. The 

increase is attributable to $3.8 billion of comprehensive income for the first quarter of 2023.

Liquidity Provided in the First Quarter of 2023

Through our single-family and multifamily business segments, we provided $78 billion in liquidity to the mortgage market 

in the first quarter of 2023, enabling the financing of approximately 306,000 home purchases, refinancings and rental 

units.

Fannie Mae Provided $78 Billion in Liquidity in the First Quarter of 2023

Unpaid Principal Balance Units

$57B 170K

Single-Family Home Purchases

$11B 45K

Single-Family Refinancings

$10B 91K

Multifamily Rental Units

MD&A | Executive Summary

Fannie Mae First Quarter 2023 Form 10-Q 2
Legislation and Regulation

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

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

“Business—Legislation and Regulation” in our 2022 Form 10-K. Also see “Risk Factors” in our 2022 Form 10-K for 

discussions of risks relating to legislative and regulatory matters.

Enterprise Regulatory Capital Framework: Proposed Amendments

On February 23, 2023, FHFA announced that it is seeking comment on a notice of proposed rulemaking that would 

amend several provisions in the enterprise regulatory capital framework applicable to Fannie Mae and Freddie Mac. 

Key proposed changes include:

• A reduction in the risk weight for guarantees on commingled securities from 20% to 5%, and a reduction in the 

credit conversion factor for such guarantees from 100% to 50%;

• A reduction in the risk multiplier for multifamily mortgage exposures associated with properties with certain 

government subsidies, from 1.0 to 0.6;

• A standardized approach for counterparty credit risk as the method for calculating replacement costs and 

potential future exposures for derivatives contracts; and

• A modified procedure for determining a representative credit score for single-family mortgage exposures.

The proposed rule would also extend to January 1, 2028 the compliance date for the advanced approaches of the 

enterprise regulatory capital framework. Comments on the proposed rule are due on May 12, 2023. 

Equitable Housing Finance Plan

On April 5, 2023, we released the 2023 annual update to our 2022-2024 Equitable Housing Finance Plan. Our updated 

Equitable Housing Finance Plan focuses on two key objectives that address common obstacles faced by many Black 

and Latino renters and homeowners:

• Reducing up-front rental and homeownership costs, and eliminating outdated barriers to accessing credit, to 

directly drive meaningful and measurable improvements in housing access and stability, and

• Improving the opportunities for long-term success for underserved borrowers and renters by focusing on 

education and counseling, successfully navigating the mortgage process, and housing stability.

FHFA Proposed Rulemaking on Fair Lending Oversight

On April 19, 2023, FHFA announced that it is seeking comment on a proposed rule that would formalize many of FHFA’s 

existing practices and programs regarding fair housing and fair lending oversight of Fannie Mae. The proposed rule 

would codify in regulation:

• FHFA’s fair lending oversight requirements;

• the requirements for us to maintain an Equitable Housing Finance Plan; and

• the requirements for us to collect and report homeownership education, housing counseling, and language 

preference information.

The proposed rule would also require us to comply with the prohibition on unfair or deceptive acts or practices (“UDAP”) 

under Section 5 of the Federal Trade Commission Act and provide for FHFA’s oversight of UDAP compliance through 

possible examinations, supervision, and enforcement. The proposed rule would also make changes to the Equitable 

Housing Finance Plan program. FHFA invited comments on the proposed rule within 60 days of its publication in the 

Federal Register.

Amendment to Duty to Serve Underserved Markets Rule

On April 12, 2023, FHFA published an amendment to its “duty to serve” rule, effective July 1, 2023. Prior to this 

amendment, the lack of a uniform definition of “colonia” by federal, state, tribal and local governments hindered us in 

targeting duty-to-serve activities in unincorporated low-income areas along the U.S.-Mexico border. The amendment 

addresses that problem by adding a definition for “colonia census tract” and allowing us to be eligible for credit for our 

duty-to-serve activities in all colonia census tracts.

MD&A | Legislation and Regulation

Fannie Mae First Quarter 2023 Form 10-Q 3
Single-Family Social Bond Program Request for Input

On February 16, 2023, FHFA issued a request for input on Fannie Mae and Freddie Mac’s social bond policy. FHFA 

indicated that the request for input will help FHFA understand the opportunities and potential risks associated with 

Fannie Mae and Freddie Mac issuing single-family social bonds. FHFA also sought input in defining the criteria and 

appropriate impact measures for bonds issued by Fannie Mae and Freddie Mac and labeled as single-family social 

bonds. FHFA invited interested parties to provide written input, feedback, and information on the request for information 

by May 17, 2023. The impact of any social bond-labeling efforts on our MBS is uncertain.

Key Market Economic Indicators

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

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

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

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

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

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

Selected Benchmark Interest Rates

3.17%

4.67%

6.32%

2.04%

3.49%

5.05%

1.74%

2.34%

3.47%

1.78%

2.41%

3.46%

0.19%

0.96%

5.19%

0.01%

0.29%

4.87%

30-year FRM rate1 30-year Fannie Mae MBS par coupon rate2 10-year Treasury rate2 10-year swap rate2 3-month London Inter-Bank Offered Rate (LIBOR)2 Secured Overnight Financing Rate (SOFR)3 03/31/21 06/30/21 09/30/21 12/31/21 03/31/22 06/30/22 09/30/22 12/31/22 3/31/2023

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

. These rates are 

reported using the latest available data for a given period.

(2) According to Bloomberg.

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

How Interest Rates Can Affect Our Financial Results

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

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

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

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

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

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

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

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

MD&A | Legislation and Regulation

Fannie Mae First Quarter 2023 Form 10-Q 4
investments portfolio and certain mortgage-related assets typically earn more interest income in a higher 

interest-rate environment and less interest income in a lower interest-rate environment. See “Consolidated 

Results of Operations—Net Interest Income” for a discussion of how interest rate changes impacted our 

financial results.

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

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

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

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

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

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

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

period.

• Benefit (provision) for credit losses. Increases in mortgage interest rates tend to lengthen the expected lives of 

our loans as borrowers are less likely to refinance, which generally increases the expected impairment and 

provision for credit losses on loans. Decreases in mortgage interest rates tend to shorten the expected lives of 

our loans as borrowers are more likely to refinance, which generally reduces the impairment and provision for 

credit losses on such loans. 

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

4.7%

5.5%

(0.5)% (1.2)%

1.0%

Fannie Mae national home price index 1Q22 2Q22 3Q22 4Q22 1Q23

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

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

Fannie Mae’s home price index excludes prices on properties sold in foreclosure. Fannie Mae’s home price estimates are based on nonseasonally adjusted preliminary data and are subject to change as additional data becomes available.

How Home Prices Can Affect Our Financial Results

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

size of our guaranty book of business.

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

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

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

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

home prices increase the losses we incur on defaulted loans.

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

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

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

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

• Home price growth of 1.0% in the first quarter of 2023 was primarily driven by modest mortgage interest rate 

declines early in the quarter coupled with low housing supply. However, we expect national home price declines 

of 1.2% for 2023 overall as affordability constraints continue to exert pressure. This updated expectation for 

2023 is a shift from our prior forecast of home price declines of 4.2% for the year. We also expect regional 

variation in home price changes.

MD&A | Key Market Economic Indicators

Fannie Mae First Quarter 2023 Form 10-Q 5
New Housing Starts

(1)

1,720

1,647

1,450 1,398 1,396

1,187 1,086

905 849 841

533

561

545 549 555

1.4%

(8.5)%

(16.7)%

(6.2)%

(1.0)%

4.7% 5.3%

(2.9)%

0.7% 1.1%

% quarterly change in multifamily housing starts % quarterly change in single-family housing starts Multifamily starts (in thousands of units)

Single-family starts (in thousands)

1Q22 2Q22 3Q22 4Q22 1Q23

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

How Housing Activity Can Affect Our Financial Results

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

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

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

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

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

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

loans.

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

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

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

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

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

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

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

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

increases in delinquency and losses on defaulted loans.

• We expect home sales and single-family housing starts will continue to decline through the remainder of 2023

due to elevated mortgage rates, continued low home affordability and an expected modest recession. We also 

expect continued downward pressure on home sales due to limited supply as a result of existing homeowners' 

reluctance to give up their low mortgage rates.

MD&A | Key Market Economic Indicators

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

10.8%

12.1%

3.0% 3.1%

1.3%

2.0% 2.3%

1.0%

3.7%

6.3%

7.0%

2.7%

7.0%

(1.6)%

(0.6)%

3.2% 2.6%

1.1%

6.1% 5.9%

4.8%

3.9% 3.6% 3.6% 3.5% 3.5% 3.5%

Growth (decline) in U.S. personal consumption, annualized percentage change1 Growth (decline) in GDP, annualized percentage change1 U.S. unemployment rate, as of period end2 1Q21 2Q21 3Q21 4Q21 1Q22 2Q22 3Q22 4Q22 1Q23

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

Economic Analysis and are subject to revision. 

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

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

Financial Results

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

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

which impacts credit losses.

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

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

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

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

fall in an expanding economy, thereby decreasing credit losses.

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

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

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

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

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

fall in a slowing economy.

• GDP increased 1.1% on an annualized basis during the first quarter of 2023. We expect that a modest 

recession is likely to occur beginning in the second half of 2023, resulting in an increase in the unemployment 

rate. We expect our economic outlook will be influenced by a number of factors that are subject to change, 

such as the persistence of inflationary pressures, the speed at which expected monetary policy tightening is 

adjusted and the risk of further financial market disruptions, including additional stress in the banking sector. 

• During the first quarter of 2023, some small and mid-size banks experienced liquidity problems, which 

contributed to financial stability concerns. Additional stress in the banking sector, particularly for banks with 

significant exposure to commercial real estate, could further tighten bank credit conditions, dampen consumer 

and business confidence, and lead to reduced consumer spending, business investment, and hiring activity.

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

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

and our reliance on institutional counterparties and mortgage servicers.

MD&A | Key Market Economic Indicators

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

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

condensed consolidated financial statements and the accompanying notes. 

Summary of Condensed Consolidated Results of Operations

For the Three Months 

Ended March 31,

2023 2022 Variance

(Dollars in millions)

Net interest income $ 6,786 $ 7,399 $ (613) 

Fee and other income 63 83 (20) 

Net revenues 6,849 7,482 (633) 

Investment losses, net (67) (102) 35 

Fair value gains, net 204 480 (276) 

Administrative expenses (868) (808) (60) 

Provision for credit losses (132) (240) 108 

TCCA fees(1) (855) (824) (31) 

Credit enhancement expense(2) (341) (278) (63) 

Change in expected credit enhancement recoveries(3) 120 60 60 

Other expenses, net(4) (130) (197) 67 

Income before federal income taxes 4,780 5,573 (793) 

Provision for federal income taxes (1,008) (1,165) 157 

Net income $ 3,772 $ 4,408 $ (636) 

Total comprehensive income $ 3,772 $ 4,401 $ (629) 

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

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

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

Significant Accounting Policies—Related Parties—Transactions with Treasury.”

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

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

programs.

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

(4) Consists of debt extinguishment gains and losses, foreclosed property income (expense), gains and losses from partnership investments, 

housing trust fund expenses, loan subservicing costs, and servicer fees paid in connection with certain loss mitigation activities.

MD&A | Consolidated Results of Operations

Fannie Mae First Quarter 2023 Form 10-Q 8
Net Interest Income

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

Fannie Mae MBS held by third parties.

Guaranty fees consist of two primary components: 

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

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

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

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

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

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

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

and the interest expense on the debt of consolidated trusts.

The timing of when we recognize amortization income can vary based on a number of factors, the most significant of 

which is a change in mortgage interest rates. In a rising interest-rate environment, our mortgage loans tend to prepay 

more slowly, which typically results in lower amortization income. Conversely, in a declining interest-rate environment, 

our mortgage loans tend to prepay faster, typically resulting in higher amortization income. 

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

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

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

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

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

below. As of March 31, 2023 and December 31, 2022, we had $3.8 billion and $4.1 billion, respectively, in net 

cumulative fair value hedge basis adjustments, which will be amortized as net expenses over the remaining contractual 

life of the respective hedged items in the “Income (expense) from hedge accounting” line item in the table below. The 

substantial majority of these hedge basis adjustments relate to our funding debt. See “Fair Value Gains (Losses), Net” 

below and “Note 8, Derivative Instruments” in this report for more information about our hedge accounting program, as 

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

MD&A | Consolidated Results of Operations

Fannie Mae First Quarter 2023 Form 10-Q 9
The table below displays the components of our net interest income from our guaranty book of business, which we 

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

Components of Net Interest Income

For the Three Months 

Ended March 31,

2023 2022 Variance

(Dollars in millions)

Net interest income from guaranty book of business:

Base guaranty fee income(1) $ 3,992 $ 3,897 $ 95 

Base guaranty fee income related to TCCA(2) 855 824 31 

Net amortization income(3) 781 2,374 (1,593) 

Total net interest income from guaranty book of business 5,628 7,095 (1,467) 

Net interest income from portfolios(4) 1,390 242 1,148 

Income (expense) from hedge accounting (232) 62 (294) 

Total net interest income $ 6,786 $ 7,399 $ (613) 

Income (expense) from hedge accounting included in net interest income:

Fair value gains (losses) on designated risk management derivatives in fair value 

hedges $ 218 $ (1,297) $ 1,515 

Fair value gains (losses) on hedged mortgage loans held for investment and debt of 

Fannie Mae(5) (62) 1,385 (1,447) 

Contractual interest income (expense) accruals related to interest-rate swaps 

designated as hedging instruments (203) 39 (242) 

Discontinued hedge-related basis adjustment amortization (185) (65) (120) 

Total income (expense) from hedge accounting in net interest income $ (232) $ 62 $ (294) 

(1) Excludes revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA, the incremental revenue 

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

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

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

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

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

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

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

(4) Includes interest income from assets held in our retained mortgage portfolio and our other investments portfolio, as well as other assets 

used to support lender liquidity. Also includes interest expense on our outstanding Connecticut Avenue Securities debt. 

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

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

our fair value hedge accounting program and related disclosures.

Net interest income decreased in the first quarter of 2023 compared with the first quarter of 2022, primarily as a result of 

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

was impacted in the periods by:

• Lower net amortization income. Throughout the first quarter of 2023, we were in a higher interest-rate 

environment and observed significantly lower volumes of refinancing activity compared with the first quarter

2022, which drove fewer loan prepayments. As a result, we had lower amortization income in the first quarter of 

2023 compared with the first quarter of 2022. For a description of how fewer loan prepayments results in lower 

amortization income, refer to “Key Market Economic Indicators—How Interest Rates Can Affect Our Financial 

Results—Net Interest Income.” 

• Higher income from portfolios. Higher income from portfolios in the first quarter of 2023 compared with the first 

quarter of 2022 was primarily driven by higher interest rates in the first quarter of 2023 than in the first quarter 

of 2022 on securities in our other investments portfolio, primarily U.S. Treasuries and securities purchased 

under agreements to resell. This was partially offset by higher interest expense on funding debt, also as a result 

of higher interest rates. See “Liquidity and Capital Management—Liquidity Management—Other Investments 

Portfolio” for more information about our other investments portfolio.

MD&A | Consolidated Results of Operations

Fannie Mae First Quarter 2023 Form 10-Q 10
We expect significantly lower amortization income in 2023 compared with 2022, driven by our expectation that 

refinancing activity will remain low, as we expect most single-family loans in our guaranty book of business will continue 

to have interest rates significantly lower than current market rates. However, we expect the decline in our amortization 

income in 2023 to be partially offset by higher interest income on our other investments portfolio. 

As of March 31, 2023, the U.S. weekly average interest rate for a single-family 30-year fixed-rate mortgage was 6.32%, 

according to Freddie Mac’s Primary Mortgage Market Survey®. Over 90% of our single-family conventional guaranty 

book of business as of March 31, 2023 had an interest rate below 5.50%, resulting in a low likelihood these loans would 

refinance at current rates. In addition, approximately 75% of our single-family conventional guaranty book of business 

as of March 31, 2023 had an interest rate below 4.00%. Accordingly, even if interest rates decline meaningfully from 

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

would not be incentivized to refinance.

Analysis of Net Interest Income

The table below displays an analysis of our net interest income, average balances and related yields earned on assets 

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

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

such as for mortgage loans, we use monthly averages. 

Analysis of Net Interest Income and Yield(1)

For the Three Months Ended March 31,

2023 2022

Average 

Balance 

Interest 

Income/ 

(Expense)

Average 

Rates 

Earned/

Paid

Average 

Balance

Interest 

Income/ 

(Expense)

Average 

Rates 

Earned/

Paid

(Dollars in millions)

Interest-earning assets:

Mortgage loans of Fannie Mae $ 52,671 $ 607 4.61 % $ 65,984 $ 629 3.81 %

Mortgage loans of consolidated 

trusts 4,072,953 31,530 3.10 3,955,055 26,513 2.68 

Total mortgage loans(2) 4,125,624 32,137 3.12 4,021,039 27,142 2.70 

Investments in securities(3) 115,831 981 3.39 157,317 166 0.42 

Securities purchased under 

agreements to resell 36,748 418 4.55 20,372 6 0.12 

Advances to lenders 2,367 34 5.75 6,957 26 1.49 

Total interest-earning assets $ 4,280,570 $ 33,570 3.14 % $ 4,205,685 $ 27,340 2.60 %

Interest-bearing liabilities:

Short-term funding debt $ 10,601 $ (119) 4.49 % $ 4,922 $ (1) 0.08 %

Long-term funding debt 118,454 (808) 2.73 173,420 (550) 1.27 

CAS debt 5,139 (123) 9.57 10,846 (119) 4.39 

Total debt of Fannie Mae 134,194 (1,050) 3.13 189,188 (670) 1.42 

Debt securities of consolidated 

trusts held by third parties 4,077,130 (25,734) 2.52 3,966,445 (19,271) 1.94 

Total interest-bearing liabilities $ 4,211,324 $ (26,784) 2.54 % $ 4,155,633 $ (19,941) 1.92 %

Net interest income/net interest yield $ 6,786 0.63 % $ 7,399 0.70 %

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

(2) Average balance includes mortgage loans on nonaccrual status. Interest income from yield maintenance revenue and the amortization of 

loan fees, primarily consisting of upfront cash fees, was $664 million for the first quarter of 2023, compared with $1.8 billion for the first 

quarter of 2022.

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

MD&A | Consolidated Results of Operations

Fannie Mae First Quarter 2023 Form 10-Q 11
Deferred Amortization Income

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

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

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

cost basis adjustments over the contractual lives of the loans or debt. On a net basis, for mortgage loans and debt of 

consolidated trusts, we are in a premium position with respect to debt of consolidated trusts, which represents deferred 

income we will recognize in our condensed consolidated statements of operations and comprehensive income as 

amortization income in future periods.

Deferred Amortization Income Represented by Net Premium Position

on Debt of Consolidated Trusts

(Dollars in billions)

$24.9

$22.4 $21.8

3/31/2022 12/31/2022 3/31/2023

Fair Value Gains (Losses), Net

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

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

spreads and implied volatility, as well as activity related to these financial instruments. 

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

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

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

income. For more information, see “Impact of Hedge Accounting on Fair Value Gains (Losses), Net” below.

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

Fair Value Gains (Losses), Net

For the Three Months 

Ended March 31,

2023 2022

(Dollars in millions)

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

Net contractual interest income (expense) on interest-rate swaps $ (381) $ 28 

Net change in fair value during the period 187 (1,483) 

Impact of hedge accounting (15) 1,258 

Risk management derivatives fair value losses, net (209) (197) 

Mortgage commitment derivatives fair value gains (losses), net (114) 1,572 

Credit enhancement derivatives fair value losses, net (15) (22) 

Total derivatives fair value gains (losses), net (338) 1,353 

Trading securities gains (losses), net 746 (1,770) 

Long-term debt fair value gains (losses), net (269) 1,079 

Other, net(1) 65 (182) 

Fair value gains, net $ 204 $ 480 

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

MD&A | Consolidated Results of Operations

Fannie Mae First Quarter 2023 Form 10-Q 12
Fair value gains, net in the first quarter of 2023 were primarily driven by gains on fixed-rate trading securities, primarily 

U.S. Treasuries, held in our other investments portfolio. Declines in interest rates during the quarter, particularly 

medium- and longer-term rates, drove higher prices on these securities. These gains were partially offset by losses on:

• long-term debt of consolidated trusts held at fair value as prices rose due to declining medium- and longer-term 

interest rates during the quarter; and

• risk management derivatives as interest expense accruals on our swap contracts increased due to rising shortterm interest rates during the quarter.

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

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

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

Treasury rate; and 

• gains on the fair value of long-term debt of consolidated trusts held at fair value, also due to rising interest rates 

and widening of the secondary spread.

These gains were partially offset by fair value losses in the first quarter of 2022 on trading securities, primarily driven by 

increases in U.S. Treasury yields, which resulted in losses on fixed-rate securities held in our other investments 

portfolio.

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

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

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

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

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

movements with fair value changes in the hedging instrument. For additional information on our hedge accounting 

program, see “Risk Management—Market Risk Management, including Interest-Rate Risk Management—Earnings 

Exposure to Interest-Rate Risk” in our 2022 Form 10-K and in this report and “Note 8, Derivative Instruments” in this 

report. For additional discussion of our fair value hedge accounting policy, see “Note 1, Summary of Significant 

Accounting Policies” in our 2022 Form 10-K.

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

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

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

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

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

For the Three Months 

Ended March 31,

2023 2022

(Dollars in millions)

Net contractual interest income (expense) accruals related to interest-rate swaps designated as 

hedging instruments recognized in net interest income $ (203) $ 39 

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

interest income 218 (1,297) 

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

accounting $ 15 $ (1,258) 

Benefit (Provision) for Credit Losses

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

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

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

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

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

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

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

MD&A | Consolidated Results of Operations

Fannie Mae First Quarter 2023 Form 10-Q 13
Our benefit or provision for credit losses and our related loss reserves can also be impacted by updates to the models, 

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

our allowance as of March 31, 2023 are reasonable, they are subject to uncertainty. Changes in future economic 

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

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

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

The table below provides a quantitative analysis of the drivers of our single-family and multifamily benefit or provision for 

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

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

allocation estimates.

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

Enhancement Recoveries

For the Three Months Ended 

March 31,

2023 2022

(Dollars in millions)

Single-family benefit (provision) for credit losses:

Changes in loan activity(1) $ (350) $ (339) 

Redesignation of loans from HFI to HFS — 50 

Actual and forecasted home prices 380 266 

Actual and projected interest rates 122 (603) 

Release of economic concessions(2) 27 400 

Other(3) (132) (44) 

Single-family benefit (provision) for credit losses 47 (270) 

Multifamily benefit (provision) for credit losses:

Changes in loan activity(1) (10) (10) 

Actual and projected interest rates 73 (49) 

Actual and projected economic data (182) 6 

Other(3) (60) 83 

Multifamily benefit (provision) for credit losses (179) 30 

Total provision for credit losses(4) $ (132) $ (240) 

Change in expected credit enhancement recoveries for active loans:

Single-family $ 95 $ 69 

Multifamily 18 (9) 

Change in expected credit enhancement recoveries for active loans $ 113 $ 60 

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

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

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

which is used to assess loan credit quality.

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

that received loss mitigation arrangements during the period, pursuant to Accounting Standards Update 2022-02, Financial Instruments – 

Credit Losses, Troubled Debt Restructurings and Vintage Disclosures. 

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

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

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

MD&A | Consolidated Results of Operations

Fannie Mae First Quarter 2023 Form 10-Q 14
Single-Family Benefit (Provision) for Credit Losses 

We recognized a modest single-family benefit for credit losses in the first quarter of 2023, primarily driven by a benefit 

from actual and forecasted home price growth, substantially offset by a provision from changes in loan activity, as 

described in more detail below:

• Benefit from actual and forecasted home price growth. During the first quarter of 2023, we observed modest 

actual home price appreciation. In addition, our updated 2023 home price forecast changed from our prior 

estimate, resulting in a lower estimate of home price declines for the year. Higher home prices decrease the 

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

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

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

single-family acquisitions consisting of purchase loans increased in the first quarter of 2023 compared with the 

first quarter of 2022. As we shift to more purchase loans, which generally have higher origination loan to value 

(“LTV”) ratios than refinance loans, the credit profile of our acquisitions weakens. In addition, the average 

original LTV ratio of purchase loans acquired in the first quarter of 2023 was higher than for purchase loan 

acquisitions in the first quarter of 2022. These factors drove a higher estimated risk of default and loss severity 

in the allowance and therefore a higher credit loss provision for those loans at the time of acquisition. See 

“Single-Family Business—Single-Family Mortgage Credit Risk Management” for more information on our 

single-family loan acquisitions in the first quarter of 2023.

The primary factors that contributed to our single-family provision for credit losses in the first quarter of 2022 were a 

provision for higher actual and projected interest rates partially offset by a benefit from the release of economic 

concessions, as described in more detail below: 

• Provision from actual and projected interest rates. Interest rates were higher as of March 31, 2022 compared 

with December 31, 2021. As mortgage rates increased, we expected a decrease in future prepayments on 

single-family loans, including modified loans accounted for as troubled debt restructurings (“TDRs”). Lower 

expected prepayments extended the expected lives of these TDR loans, which increased the expected 

impairment relating to economic concessions provided on them, resulting in a provision for credit losses.

• Benefit from the release of economic concessions on loans previously designated as TDRs that received loss 

mitigation arrangements during the quarter. Pursuant to Accounting Standards Update (“ASU”) 2022-02, 

Financial Instruments – Credit Losses (Topic 326), Troubled Debt Restructurings and Vintage Disclosures 

(“ASU 2022-02”), we removed from our allowance the prior economic concession recorded on a loan previously 

designated as a TDR when the loan was modified or received or extended a loss mitigation arrangement such 

as a forbearance plan, repayment plan or other loan workout during the period. See “Note 1, Summary of 

Significant Accounting Policies” in our 2022 Form 10-K for additional information about ASU 2022-02.

Multifamily Benefit (Provision) for Credit Losses

The primary factors that contributed to our multifamily provision for credit losses for the first quarter of 2023 were:

• Provision for actual and projected economic data, which was primarily driven by decreases in multifamily actual 

and projected property values. This resulted in higher estimated LTV ratios, which increased our estimate of 

expected credit losses. 

• Provision from other, which primarily consists of a provision relating to seniors housing loans in our multifamily 

guaranty book of business. In the first quarter of 2023, uncertainty related to our seniors housing loans 

remained elevated, including uncertainty related to adjustable-rate loans.

The impact of these factors was partially offset by the following, which reduced our multifamily provision for credit 

losses:

• Benefit from actual and projected interest rates. Actual and projected interest rates decreased as of March 31, 

2023 compared with December 31, 2022, which reduced the probability of default resulting in a benefit for 

credit losses.

In the first quarter of 2022, the multifamily benefit for credit losses was the result of a reduction in our credit loss 

reserves primarily due to strong multifamily market fundamentals. 

MD&A | Consolidated Results of Operations

Fannie Mae First Quarter 2023 Form 10-Q 15
Consolidated Balance Sheet Analysis

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

consolidated financial statements and the accompanying notes. 

Summary of Condensed Consolidated Balance Sheets

As of

March 31, 

2023

December 31, 

2022 Variance

(Dollars in millions)

Assets

Cash and cash equivalents and securities purchased under agreements to 

resell $ 87,280 $ 72,552 $ 14,728 

Restricted cash and cash equivalents 30,507 29,854 653 

Investments in securities, at fair value 51,089 50,825 264 

Mortgage loans:

Of Fannie Mae 52,154 54,085 (1,931) 

Of consolidated trusts 4,069,516 4,071,698 (2,182) 

Allowance for loan losses (11,335) (11,347) 12 

Mortgage loans, net of allowance for loan losses 4,110,335 4,114,436 (4,101) 

Deferred tax assets, net 12,615 12,911 (296) 

Other assets 25,634 24,710 924 

Total assets $ 4,317,460 $ 4,305,288 $ 12,172 

Liabilities and equity

Debt:

Of Fannie Mae $ 139,164 $ 134,168 $ 4,996 

Of consolidated trusts 4,091,602 4,087,720 3,882 

Other liabilities 22,645 23,123 (478) 

Total liabilities 4,253,411 4,245,011 8,400 

Fannie Mae stockholders’ equity:

Senior preferred stock 120,836 120,836 — 

Other net deficit (56,787) (60,559) 3,772 

Total equity 64,049 60,277 3,772 

Total liabilities and equity $ 4,317,460 $ 4,305,288 $ 12,172 

Cash and Cash Equivalents

Cash and cash equivalents increased from December 31, 2022 to March 31, 2023 primarily driven by proceeds from 

debt issuances, the sale of securities and loans as well as paydowns on mortgage loans. For further discussion, see 

“Liquidity and Capital Management—Liquidity Management.”

Mortgage Loans, Net of Allowance

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

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

Mortgage loans, net of allowance for loan losses modestly declined from December 31, 2022 to March 31, 2023, driven

primarily by acquisition volumes being lower than loan paydowns during the quarter.

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

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

Debt

The increase in debt of Fannie Mae from December 31, 2022 to March 31, 2023 was due to new issuances outpacing 

redemptions. The increase in debt of consolidated trusts from December 31, 2022 to March 31, 2023 was primarily 

driven by sales of Fannie Mae MBS, which also includes sales of Fannie Mae MBS that were previously held in our 

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

MD&A | Consolidated Balance Sheet Analysis

Fannie Mae First Quarter 2023 Form 10-Q 16
our condensed consolidated balance sheets, since the MBS certificate ownership is transferred from us to a third party. 

See “Liquidity and Capital Management—Liquidity Management—Debt Funding” for a summary of activity in short-term 

and long-term debt of Fannie Mae. Also see “Note 7, Short-Term and Long-Term Debt” for additional information on our 

total outstanding debt. 

Stockholders’ Equity

Our stockholders’ equity (also referred to as our net worth) increased to $64.0 billion as of March 31, 2023, compared 

with $60.3 billion as of December 31, 2022, due to the $3.8 billion in comprehensive income recognized during the first 

quarter of 2023.

The aggregate liquidation preference of the senior preferred stock increased to $181.8 billion as of March 31, 2023 due 

to the $1.4 billion increase in our net worth in the fourth quarter of 2022. The aggregate liquidation preference of the 

senior preferred stock will further increase to $185.5 billion as of June 30, 2023 due to the $3.8 billion increase in our 

net worth in the first quarter of 2023. For more information about how this liquidation preference is determined, see 

“Business—Conservatorship and Treasury Agreements—Treasury Agreements—Senior Preferred Stock” in our 2022

Form 10-K and “Liquidity and Capital Management—Capital Management—Capital Activity” in this report.

Retained Mortgage Portfolio

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

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

liquidity to the mortgage market may decrease or withdraw.

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

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

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

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

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

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

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

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

trusts. 

• Other represents assets that were previously purchased for investment purposes. The majority of the balance 

of “Other” as of March 31, 2023 consisted of Fannie Mae reverse mortgage securities and reverse mortgage 

loans. We expect the amount of assets in “Other” will continue to decline over time as they liquidate, mature or 

are sold.

Retained Mortgage Portfolio

(Dollars in billions)

$23.7 $21.5

$38.5 $36.2

$15.5

$14.1

$77.7

$71.8

Lender liquidity Loss mitigation Other 12/31/2022 3/31/2023

The decrease in our retained mortgage portfolio as of March 31, 2023 compared with December 31, 2022 was primarily

driven by sales of agency securities from our lender liquidity portfolio and sales of loans from our loss mitigation 

portfolio.

MD&A | Consolidated Balance Sheet Analysis

Fannie Mae First Quarter 2023 Form 10-Q 17
The table below displays the components of our retained mortgage portfolio, measured by unpaid principal balance. 

Based on the nature of the asset, these balances are included in either “Investments in Securities, at Fair Value” or 

“Mortgage Loans, Net of Allowance” in our “Summary of Condensed Consolidated Balance Sheets” table above.

Retained Mortgage Portfolio

As of

March 31, 2023 December 31, 2022

(Dollars in millions)

Lender liquidity:

Agency securities(1) $ 13,330 $ 16,410 

Mortgage loans 8,147 7,329 

Total lender liquidity 21,477 23,739 

Loss mitigation mortgage loans(2) 36,179 38,458 

Other:

Reverse mortgage loans(3) 5,820 6,565 

Mortgage loans 3,272 3,365 

Reverse mortgage securities(4) 4,294 4,811 

Other(5) 781 804 

Total other 14,167 15,545 

Total retained mortgage portfolio $ 71,823 $ 77,742 

Retained mortgage portfolio by segment:

Single-family mortgage loans and mortgage-related securities $ 67,521 $ 73,769 

Multifamily mortgage loans and mortgage-related securities $ 4,302 $ 3,973 

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

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

(2) Includes single-family loans on nonaccrual status of $6.6 billion and $7.1 billion as of March 31, 2023 and December 31, 2022, 

respectively. Also includes multifamily loans on nonaccrual status of $273 million and $243 million as of March 31, 2023 and December 31, 

2022, respectively. 

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

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

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

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

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

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

additional information on our mortgage assets cap.

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

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

portfolio limits and associated FHFA guidance. As of March 31, 2023, 10% of the notional value of our interest-only 

securities was $1.7 billion, which is not included in the table above.

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

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

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

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

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

advanced principal and interest payments.

In support of our loss mitigation strategies, we purchased $2.1 billion of loans from our single-family MBS trusts in the 

first quarter of 2023, the substantial majority of which were delinquent, compared with $6.5 billion of loans purchased 

from single-family MBS trusts in the first quarter of 2022. We expect the amount of loans we buy out of trusts will 

decrease in 2023 relative to the prior year as loans exiting COVID-19-related forbearance drove a higher number of 

loan modifications in 2022. The size of our retained mortgage portfolio will be impacted by the volume of loans we 

ultimately buy, the timing of those purchases, and the length of time those loans remain in our retained mortgage 

portfolio.

MD&A | Retained Mortgage Portfolio

Fannie Mae First Quarter 2023 Form 10-Q 18
Guaranty Book of Business

Our “guaranty book of business” consists of: 

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

Freddie Mac securities; 

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

• other credit enhancements that we provide on mortgage assets. 

“Total Fannie Mae guarantees” consists of: 

• our guaranty book of business; and 

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

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

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

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

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

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

securities.

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

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

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

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

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

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

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

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

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

securities that we have resecuritized.

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

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

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

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

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

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

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

unconsolidated Fannie Mae MBS and Freddie Mac securities.

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

Composition of Fannie Mae Guaranty Book of Business

As of

March 31, 2023 December 31, 2022

SingleFamily Multifamily TotalSingleFamily Multifamily Total

(Dollars in millions)

Conventional guaranty book of business(1) $ 3,643,245 $ 446,859 $ 4,090,104 $ 3,646,981 $ 442,067 $ 4,089,048 

Government guaranty book of business(2) 11,403 559 11,962 12,450 572 13,022 

Guaranty book of business 3,654,648 447,418 4,102,066 3,659,431 442,639 4,102,070 

Freddie Mac securities guaranteed by Fannie Mae(3) 229,273 — 229,273 234,023 — 234,023 

Total Fannie Mae guarantees $ 3,883,921 $ 447,418 $ 4,331,339 $ 3,893,454 $ 442,639 $ 4,336,093 

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

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

(3) Consists of off-balance sheet arrangements of approximately (i) $190.0 billion and $193.9 billion in unpaid principal balance of Freddie 

Mac-issued UMBS backing Fannie Mae-issued Supers as of March 31, 2023 and December 31, 2022, respectively; and (ii) $39.3 billion

and $40.1 billion in unpaid principal balance of Freddie Mac securities backing Fannie Mae-issued REMICs as of March 31, 2023 and 

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

more information regarding our maximum exposure to loss on consolidated Fannie Mae MBS and Freddie Mac securities.

MD&A | Guaranty Book of Business

Fannie Mae First Quarter 2023 Form 10-Q 19
The Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended, including by the Housing 

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

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

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

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

recognized an expense of $33 million related to this obligation based on $77.9 billion in new business purchases during 

the period. We expect to pay this amount to the funds in 2024, plus additional amounts to be accrued based on our new 

business purchases in the remaining nine months of 2023. See “Business—Legislation and Regulation—GSE-Focused 

Matters—Affordable Housing Allocations” in our 2022 Form 10-K for more information regarding this obligation.

Business Segments

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

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

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

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

The chart below displays net revenues and net income for each of our business segments for the first quarter of 2023

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

Business Segment Net Revenues and Net Income

(Dollars in billions) 

$6.3

$5.7

$3.7

$3.1

Single-Family net revenues

Single-Family net income

Q1 2022 Q1 2023

$1.2 $1.1

$0.7 $0.6

Multifamily net revenues

Multifamily net income

Q1 2022 Q1 2023

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

overview of how we are compensated for and manage the risk of credit losses through the life cycle of our loans and 

how we measure our credit risk, see “Business—Managing Mortgage Credit Risk” in our 2022 Form 10-K.

Single-Family Business

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

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

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

Single-Family Mortgage Market

Housing activity increased slightly in the first quarter of 2023 compared with the fourth quarter of 2022. Total existing 

home sales averaged 4.3 million units annualized in the first quarter of 2023, compared with 4.2 million units in the 

fourth quarter of 2022, according to data from the National Association of REALTORS®. According to the U.S. Census 

Bureau, new single-family home sales averaged an annualized rate of approximately 651,000 units in the first quarter of 

2023, compared with approximately 598,000 units in the fourth quarter of 2022.

The 30-year fixed mortgage rate was 6.32% as of March 31, 2023, compared with 6.42% as of December 31, 2022, and 

averaged 6.37% in the first quarter of 2023, compared with 6.66% in the fourth quarter of 2022, according to Freddie 

Mac’s Primary Mortgage Market Survey®. 

Single-family mortgage market originations declined substantially from an estimated $781 billion in the first quarter of 

2022 to an estimated $317 billion in the first quarter of 2023. According to the April forecast from our Economic and 

MD&A | Guaranty Book of Business

Fannie Mae First Quarter 2023 Form 10-Q 20
Strategic Research Group, we forecast that total originations in the U.S. single-family mortgage market in 2023 will 

decrease from 2022 levels by approximately 32%, from an estimated $2.42 trillion in 2022 to $1.66 trillion in 2023, and 

the amount of refinance originations in the U.S. single-family mortgage market will decrease from an estimated $753 

billion in 2022 to $312 billion in 2023. Our April forecast is based on data available as of April 10, 2023. See “Key Market 

Economic Indicators” for additional discussion of how housing activity can affect our financial results and the 

uncertainties that may affect our forecasts and expectations. 

Single-Family Mortgage-Related Securities Issuances Share

Our single-family Fannie Mae MBS issuances were $68.2 billion for the first quarter of 2023, compared with $243.1 

billion for the first quarter of 2022. This decrease was primarily driven by a lower volume of refinance activity in the first 

quarter of 2023 due to higher mortgage rates. Based on the latest data available, the chart below displays our estimated 

share of single-family mortgage-related securities issuances in the first quarter of 2023 as compared with that of our 

primary competitors for the issuance of single-family mortgage-related securities. 

Single-Family Mortgage-Related Securities Issuances Share

First Quarter 2023

Fannie Mae: 31%

Freddie Mac: 27%

Ginnie Mae: 35%

Private-label securities: 7%

We estimate our share of single-family mortgage-related securities issuances was 32% in the fourth quarter of 2022 and 

37% in the first quarter of 2022.

Presentation of Our Single-Family Conventional Guaranty Book of Business

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

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

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

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

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

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

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

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

reported below, our single-family conventional guaranty book of business was $3,628.4 billion as of March 31, 2023 and 

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

Single-Family Business Metrics

Select Business Metrics

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

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

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

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

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

Fannie Mae First Quarter 2023 Form 10-Q 21
The charts below display our average charged guaranty fees, net of TCCA fees, on our single-family conventional 

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

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

Select Single-Family Business Metrics

(Dollars in billions)

46.0 bps

46.6 bps

47.9 bps

51.6 bps

Q1 2022 Q1 2023

$3,525.2

$3,631.8

$239.5

$67.5

Q1 2022 Q1 2023

Average charged guaranty fee on single-family 

conventional guaranty book of business, net of TCCA 

fees(1)(3)

Average single-family conventional guaranty book 

of business(2)

Average charged guaranty fee on new single-family 

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

Single-family conventional acquisitions

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

remitted to Treasury and not retained by us.

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

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

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

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

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

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

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

Our single-family conventional loan acquisitions in the first quarter of 2023 were lower than for any quarter since the 

third quarter of 2000. This was primarily driven by historically low refinance volumes due to continued higher interest 

rates in the first quarter of 2023, as fewer borrowers could benefit from refinancing. In addition, housing affordability 

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

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

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

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

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

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

the time of acquisition. The calculation of single-family conventional charged guaranty fees at acquisition is sensitive to 

changes in inputs used in the calculation, including assumptions about the weighted average life of the loan, therefore 

changes in charged guaranty fees are not necessarily indicative of a change in pricing.

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

the first quarter of 2023 compared with the first quarter of 2022, primarily driven by the overall weaker credit risk profile

of our first quarter 2023 acquisitions. We generally charge higher guaranty fees on loans with weaker credit risk 

characteristics. Loans we acquired in the first quarter of 2023 had a weaker credit profile than loans we acquired in the 

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

Fannie Mae First Quarter 2023 Form 10-Q 22
first quarter of 2022 because a significantly larger share of our first quarter 2023 acquisitions were purchase loans, 

which generally have higher origination LTV ratios than refinance loans. See “Single-Family Mortgage Credit Risk 

Management—Single-Family Portfolio Diversification and Monitoring” below for a description of key risk characteristics 

of our single-family acquisitions in the first quarter of 2023 and first quarter of 2022. 

Recent and Future Price Changes

We use loan-level price adjustments, including various upfront risk-based fees, to price for the credit risk we assume in 

providing our guaranty.

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

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

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

2023, with the exception of the debt-to-income ratio loan-level price adjustments, which FHFA announced in March 

2023 will be effective August 1, 2023. See “MD&A—Single-Family Business—Single-Family Business Metrics” in our 

2022 Form 10-K for more information on recent and future price changes on our single-family loan acquisitions.

Single-Family Business Financial Results

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

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

Single-Family Business Financial Results(1)

For the Three Months Ended March 31,

2023 2022 Variance

(Dollars in millions)

Net interest income(2) $ 5,672 $ 6,255 $ (583) 

Fee and other income 48 61 (13) 

Net revenues 5,720 6,316 (596) 

Investment losses, net (71) (66) (5) 

Fair value gains, net 166 527 (361) 

Administrative expenses (720) (683) (37) 

Benefit (provision) for credit losses 47 (270) 317 

TCCA fees(2) (855) (824) (31) 

Credit enhancement expense (287) (210) (77) 

Change in expected credit enhancement recoveries(3) 95 69 26 

Other expenses, net(4) (116) (164) 48 

Income before federal income taxes 3,979 4,695 (716) 

Provision for federal income taxes (847) (986) 139 

Net income $ 3,132 $ 3,709 $ (577) 

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

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

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

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

primarily relate to our CAS and CIRTTM programs.

(4) Consists of debt extinguishment gains and losses, foreclosed property income (expense), gains and losses from partnership investments, 

housing trust fund expenses, loan subservicing costs, and servicer fees paid in connection with certain loss mitigation activities.

Net Interest Income

The decrease in single-family net interest income in the first quarter of 2023 compared with the first quarter of 2022 was 

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

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

our condensed consolidated statements of operations and comprehensive income, which we discuss in “Consolidated 

Results of Operations—Net Interest Income.”

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

Fannie Mae First Quarter 2023 Form 10-Q 23
Fair Value Gains, Net

Fair value gains, net in the first quarter of 2023 were primarily driven by gains on fixed-rate trading securities, primarily 

U.S. Treasuries, held in our other investments portfolio. These gains were partially offset by losses in the fair value of 

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

Fair value gains, net in the first quarter of 2022 were primarily driven by increases in the fair value of mortgage 

commitment derivatives and gains in the fair value of long-term debt of consolidated trusts held at fair value, partially 

offset by fair value losses on trading securities.

The drivers of fair value gains, net for the Single-Family segment are consistent with the drivers of fair value gains, net 

in our condensed consolidated statements of operations and comprehensive income, which we discuss in “Consolidated 

Results of Operations—Fair Value Gains (Losses), Net.”

Benefit (Provision) for Credit Losses

We recognized a modest single-family benefit for credit losses in the first quarter of 2023, primarily driven by a benefit 

from improvements in actual and forecasted home prices, substantially offset by a provision on newly acquired loans.

Our provision for credit losses for the first quarter of 2022 was primarily driven by higher actual and projected mortgage 

interest rates. This expense was partially offset by a benefit from the release of economic concessions on loans 

previously designated as TDRs that received loss mitigation arrangements during the quarter, pursuant to accounting 

guidance ASU 2022-02.

See “Consolidated Results of Operations—Benefit (Provision) for Credit Losses” for more information on the primary 

factors that contributed to our single-family benefit or provision for credit losses. 

Single-Family Mortgage Credit Risk Management

This section updates our discussion of single-family mortgage credit risk management in our 2022 Form 10-K. For an 

overview of key elements of our mortgage credit risk management, see “Business—Managing Mortgage Credit Risk” in 

our 2022 Form 10-K. For additional information on our acquisition and servicing policies, underwriting and servicing 

standards, quality control process, repurchase requests, and representation and warranty framework, see “MD&A—

Single-Family Business—Single-Family Mortgage Credit Risk Management” in our 2022 Form 10-K.

Single-Family Portfolio Diversification and Monitoring

The following table displays our single-family conventional business volumes and our single-family conventional 

guaranty book of business, based on certain key risk characteristics that we use to evaluate the risk profile and credit 

quality of our single-family loans. 

We provide additional information on the credit characteristics of our single-family loans in quarterly financial 

supplements, which we furnish to the Securities and Exchange Commission (the “SEC”) with current reports on Form 8-

K and make available on our website.

MD&A | Single-Family Business | Single-Family Business Financial Results

Fannie Mae First Quarter 2023 Form 10-Q 24
Key Risk Characteristics of Single-Family Conventional Business Volume and Guaranty Book 

of Business(1)

Percent of Single-Family Conventional 

Business Volume at Acquisition(2) Percent of Single-Family Conventional

Guaranty Book of Business(3)

For the Three Months Ended March 31, As of

2023 2022 March 31, 2023 December 31, 2022

Original loan-to-value (“LTV”) 

ratio:(4)

<= 60% 15 % 28 % 26 % 26 %

60.01% to 70% 9 15 15 15 

70.01% to 80% 33 33 33 33 

80.01% to 90% 16 9 10 10 

90.01% to 95% 21 11 11 11 

95.01% to 100% 6 4 4 4 

Greater than 100% — — 1 1 

Total 100 % 100 % 100 % 100 %

Weighted average 79 % 71 % 72 % 72 %

Average loan amount $ 313,986 $ 299,395 $ 206,288 $ 206,049 

Loan count (in thousands) 215 800 17,589 17,643 

Estimated mark-to-market LTV 

ratio:(5)

<= 60% 64 % 66 %

60.01% to 70% 16 16 

70.01% to 80% 11 10 

80.01% to 90% 6 5 

90.01% to 100% 3 3 

Greater than 100% * *

Total 100 % 100 %

Weighted average 53 % 52 %

FICO credit score at 

origination:(6)

< 620 * % * % * % 1 %

620 to < 660 3 4 4 4 

660 to < 680 3 5 4 4 

680 to < 700 7 8 6 6 

700 to < 740 22 21 20 19 

>= 740 65 62 66 66 

Total 100 % 100 % 100 % 100 %

Weighted average 751 748 752 752 

Debt-to-income (“DTI”) ratio at 

origination:(7)

<= 43% 62 % 71 % 75 % 75 %

43.01% to 45% 11 10 9 9 

Greater than 45% 27 19 16 16 

Total 100 % 100 % 100 % 100 %

Weighted average 38 % 36 % 35 % 35 %

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 25
Percent of Single-Family Conventional 

Business Volume at Acquisition(2) Percent of Single-Family Conventional

Guaranty Book of Business(3)

For the Three Months Ended March 31, As of

2023 2022 March 31, 2023 December 31, 2022

Product type:

Fixed-rate:(8)

Long-term 94 % 86 % 86 % 86 %

Intermediate-term 4 13 13 13 

Total fixed-rate 98 99 99 99 

Adjustable-rate 2 1 1 1 

Total 100 % 100 % 100 % 100 %

Number of property units:

1 unit 98 % 98 % 98 % 98 %

2-4 units 2 2 2 2 

Total 100 % 100 % 100 % 100 %

Property type:

Single-family homes 91 % 91 % 91 % 91 %

Condo/Co-op 9 9 9 9 

Total 100 % 100 % 100 % 100 %

Occupancy type: 

Primary residence 91 % 90 % 91 % 91 %

Second/vacation home 3 4 3 3 

Investor 6 6 6 6 

Total 100 % 100 % 100 % 100 %

Loan purpose:

Purchase 84 % 43 % 41 % 40 %

Cash-out refinance 11 34 21 22 

Other refinance 5 23 38 38 

Total 100 % 100 % 100 % 100 %

Geographic concentration:(9)

Midwest 13 % 12 % 14 % 14 %

Northeast 12 13 16 16 

Southeast 28 25 23 23 

Southwest 24 21 19 19 

West 23 29 28 28 

Total 100 % 100 % 100 % 100 %

Origination year:

2017 and prior 21 % 22 %

2018 2 2 

2019 5 5 

2020 25 25 

2021 32 32 

2022 14 14 

2023 1 — 

Total 100 % 100 %

* Represents less than 0.5% of single-family conventional business volume or guaranty book of business.

(1) Second-lien mortgage loans held by third parties are not reflected in the original LTV or the estimated mark-to-market LTV ratios in this 

table. 

(2) Calculated based on the unpaid principal balance of single-family loans for each category at time of acquisition.

(3) Calculated based on the aggregate unpaid principal balance of single-family loans for each category divided by the aggregate unpaid 

principal balance of loans in our single-family conventional guaranty book of business as of the end of each period.

(4) The original LTV ratio generally is based on the original unpaid principal balance of the loan divided by the appraised property value 

reported to us at the time of acquisition of the loan. Excludes loans for which this information is not readily available.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 26
(5) The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan as of the end of each reported 

period divided by the estimated current value of the property, which we calculate using an internal valuation model that estimates periodic 

changes in home value. Excludes loans for which this information is not readily available.

(6) Loans with unavailable FICO credit scores represent less than 0.5% of single-family conventional business volume or guaranty book of 

business, and therefore are not presented separately in this table.

(7) Excludes loans for which this information is not readily available.

(8) Long-term fixed-rate consists of mortgage loans with maturities greater than 15 years, while intermediate-term fixed-rate loans have 

maturities equal to or less than 15 years. 

(9) Midwest consists of IL, IN, IA, MI, MN, NE, ND, OH, SD and WI. Northeast consists of CT, DE, ME, MA, NH, NJ, NY, PA, PR, RI, VT and 

VI. Southeast consists of AL, DC, FL, GA, KY, MD, MS, NC, SC, TN, VA and WV. Southwest consists of AZ, AR, CO, KS, LA, MO, NM, OK, 

TX and UT. West consists of AK, CA, GU, HI, ID, MT, NV, OR, WA and WY.

Characteristics of our New Single-Family Loan Acquisitions

Refinancing activity was significantly lower in the first quarter of 2023 compared with the first quarter of 2022 as the 

sharp rise in interest rates over the last year resulted in fewer borrowers who could benefit from refinancing. 

Accordingly, the share of our single-family loan acquisitions consisting of refinance loans (versus home purchase loans) 

decreased to 16% in the first quarter of 2023 compared with 57% in the first quarter of 2022. Typically, home purchase 

loans have higher LTV ratios than refinance loans. This trend contributed to an increase in the percentage of our singlefamily loan acquisitions with LTV ratios over 80%, from 24% in the first quarter of 2022 to 43% in the first quarter of 

2023.

Our share of acquisitions of loans with DTI ratios above 45% increased to 27% in the first quarter of 2023 compared 

with 19% in the first quarter of 2022. This increase was also driven by the higher share of home purchase acquisitions, 

which tend to have higher DTI ratios than refinance loan acquisitions. It also reflects the impact of higher interest rates 

and inflation on borrowers’ monthly obligations.

For a discussion of factors that may impact the volume and credit characteristics of loans we acquire in the future, see 

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

Diversification and Monitoring” in our 2022 Form 10-K. In this section of our 2022 Form 10-K, we also provide more 

information on the credit characteristics of loans in our single-family conventional guaranty book of business, including 

high-balance loans and adjustable-rate mortgages.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 27
Single-Family Credit Enhancement and Transfer of Mortgage Credit Risk

Our charter generally requires credit enhancement on any single-family conventional mortgage loan that we purchase or 

securitize if it has an LTV ratio over 80% at the time of purchase. We generally achieve this through primary mortgage 

insurance. We also enter into various other types of transactions in which we transfer mortgage credit risk to third 

parties.

Our approved monoline mortgage insurers’ financial ability and willingness to pay claims is an important determinant of 

our overall credit risk exposure. For a discussion of our exposure to and management of the counterparty credit risk 

associated with the providers of these credit enhancements, see “MD&A—Risk Management—Institutional 

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

10, Concentrations of Credit Risk” in this report. Also see “Risk Factors” in our 2022 Form 10-K.

The table below displays information about loans in our single-family conventional guaranty book of business covered 

by one or more forms of credit enhancement, including mortgage insurance or a credit risk transfer transaction. For a 

description of primary mortgage insurance and the other types of credit enhancements specified in the table, see 

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

Enhancement and Transfer of Mortgage Credit Risk” in our 2022 Form 10-K. 

Single-Family Loans with Credit Enhancement

As of

March 31, 2023 December 31, 2022

Unpaid 

Principal 

Balance

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

Unpaid 

Principal 

Balance

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

(Dollars in billions)

Primary mortgage insurance and other $ 753 21 % $ 754 21 %

Connecticut Avenue Securities 754 21 726 20 

Credit Insurance Risk Transfer 358 10 323 9 

Lender risk-sharing 56 1 57 2 

Less: Loans covered by multiple credit enhancements (355) (10) (351) (10) 

Total single-family loans with credit enhancement $ 1,566 43 % $ 1,509 42 %

Transfer of Mortgage Credit Risk

In addition to primary mortgage insurance, our Single-Family business has developed other risk-sharing capabilities to 

transfer portions of our single-family mortgage credit risk to the private market. Our credit risk transfer transactions are 

designed to transfer a portion of the losses we expect would be incurred in an economic downturn or a stressed credit 

environment. Generally, loss reimbursement payments are received after the underlying property has been liquidated 

and all applicable proceeds, including private mortgage insurance benefits, have been applied to reduce the loss. As 

described in “MD&A—Single-Family Business—Single-Family Mortgage Credit Risk Management—Single-Family 

Credit Enhancement and Transfer of Mortgage Credit Risk—Credit Risk Transfer Transactions” in our 2022 Form 10-K, 

we have used primarily three single-family credit risk transfer programs: Connecticut Avenue Securities® (“CAS”), Credit 

Insurance Risk TransferTM (“CIRTTM”), and lender risk-sharing. 

In the first quarter of 2023, we transferred a portion of the mortgage credit risk on single-family mortgage loans with an 

unpaid principal balance of $86.5 billion at the time of the transactions; substantially all of the loans in these credit risk 

transfer transactions were acquired in 2022. Macroeconomic and housing market uncertainty have negatively impacted 

investor demand for our credit risk transfer transactions. As a result, investors have required increased premiums in our 

more recent credit risk transfer transactions. Taking into account the increasing cost of these transactions, the resulting 

capital relief, and the credit risk transfer market capacity, we have generally chosen to increase the first loss position 

retained by Fannie Mae compared with prior transactions.

The following table displays the aggregate mortgage credit risk transferred to third parties and retained by Fannie Mae 

pursuant to our single-family credit risk transfer transactions. The table does not include the credit risk transferred on 

single-family transactions that were cancelled or terminated as of March 31, 2023. The table below also excludes 

coverage obtained through primary mortgage insurance. 

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 28
Outstanding as of March 31, 2023

(Dollars in billions)

Senior Fannie Mae(1)

$1,118

Outstanding 

Reference 

Pool(4)(6)

$1,176

Mezzanine Fannie Mae(1)

$6

CIRT(2)(3)

$13

CAS(2)

$11

Lender RiskSharing(2)

$4

First Loss Fannie Mae(1)

$12

CAS(2)(5)

$10

Lender RiskSharing(2)

$2

(1) Credit risk retained by Fannie Mae in CAS, CIRT and lender risk-sharing transactions. Tranche sizes vary across programs.

(2) Credit risk transferred to third parties. Tranche sizes vary across programs.

(3) Includes mortgage pool insurance transactions covering loans with an aggregate unpaid principal balance of approximately $1.3 billion

outstanding as of March 31, 2023. 

(4) For CIRT and some lender risk-sharing transactions, “Reference Pool” reflects a pool of covered loans. 

(5) For CAS transactions, “First Loss” represents all B tranche balances.

(6) For CAS and some lender risk-sharing transactions, represents outstanding reference pools, not the outstanding unpaid principal balance 

of the underlying loans. The outstanding unpaid principal balance for all loans covered by credit risk transfer programs, including all loans 

on which risk has been transferred in lender risk-sharing transactions, was $1,168 billion as of March 31, 2023.

The risk in force of these transactions, which refers to the maximum amount of losses that could be absorbed by credit 

risk transfer investors, was approximately $40 billion as of March 31, 2023, compared with approximately $41 billion as 

of March 31, 2022. 

The table below displays information about the credit enhancement recovery receivables we have recognized within 

“Other assets” in our condensed consolidated balance sheets. The increase in our single-family freestanding credit 

enhancement receivables as of March 31, 2023 compared with December 31, 2022, was primarily driven by the overall 

weaker credit profile of loans included in new credit risk transfer transactions executed in the first quarter of 2023, which 

increased the estimated benefit we could receive from these transactions.

Single-Family Credit Enhancement Receivables

As of

March 31, 2023 December 31, 2022

(Dollars in millions)

Freestanding credit enhancement receivables $ 660 $ 565 

Primary mortgage insurance receivables, net of allowance(1) 51 53 

(1) Amount is net of a valuation allowance of $462 million as of March 31, 2023 and December 31, 2022. The vast majority of this valuation 

allowance related to deferred payment obligations associated with unpaid claim amounts for which collectability is uncertain.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 29
The table below displays the approximate cash paid or transferred to investors for credit risk transfer transactions. The 

cash represents the portion of the guaranty fee paid to investors as compensation for taking on a share of the credit 

risk.

Credit Risk Transfer Transactions

For the Three Months Ended March 31,

2023 2022

Cash paid or transferred for: (Dollars in millions)

CAS transactions(1) $ 223 $ 184 

CIRT transactions 89 59 

Lender risk-sharing transactions 34 42 

(1) Consists of cash paid for interest expense net of LIBOR or SOFR, as applicable, on outstanding CAS debt and amounts paid for both CAS 

REMIC® and CAS Credit-linked notes (“CLN”) transactions. 

Cash paid or transferred to investors for CIRT transactions includes cancellation fees paid on certain CIRT transactions 

where we determined that the cost of these deals exceeded the expected remaining benefit. The table excludes cash 

paid upon the repurchase of legacy CAS debt.

The table below displays the primary characteristics of loans in our single-family conventional guaranty book of 

business without credit enhancement as of the specified dates.

Single-Family Loans Currently without Credit Enhancement

As of

March 31, 2023 December 31, 2022

Unpaid 

Principal 

Balance

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

Unpaid 

Principal 

Balance

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

(Dollars in billions)

Low LTV ratio or short-term(1) $ 1,154 32 % $ 1,171 32 %

Pre-credit risk transfer program inception(2) 256 7 265 7 

Recently acquired(3) 265 7 403 11 

Other(4) 699 19 669 18 

Less: Loans in multiple categories (312) (8) (382) (10) 

Total single-family loans currently without credit enhancement $ 2,062 57 % $ 2,126 58 %

(1) Represents loans with an LTV ratio less than or equal to 60% or loans with an original maturity of 20 years or less.

(2) Represents loans that were acquired before the inception of our credit risk transfer programs. Also includes Refi PlusTM loans.

(3) Represents loans that were recently acquired and have not been included in a reference pool.

(4) Includes adjustable-rate mortgage loans, loans with a combined LTV ratio greater than 97%, non-Refi Plus loans acquired after the 

inception of our credit risk transfer programs that became 30 or more days delinquent prior to inclusion in a credit risk transfer transaction 

and loans that were delinquent as of March 31, 2023 or December 31, 2022.

Single-Family Problem Loan Management

Our problem loan management strategies focus primarily on reducing defaults to avoid losses that would otherwise 

occur and pursuing foreclosure alternatives to mitigate the severity of the losses we incur. See “MD&A—Single-Family 

Business—Single-Family Mortgage Credit Risk Management—Single-Family Problem Loan Management” in our 2022

Form 10-K for a discussion of delinquency statistics on our problem loans, efforts undertaken to manage our problem 

loans, metrics regarding our loan workout activities, real estate owned (“REO”) management and other single-family 

credit-related information. The discussion below updates some of that information. We also provide ongoing credit 

performance information on loans underlying single-family Fannie Mae MBS and loans covered by single-family credit 

risk transfer transactions. For loans backing Fannie Mae MBS, see the “Forbearance and Delinquency Dashboard” 

available in the MBS section of our Data Dynamics® tool, which is available at www.fanniemae.com/datadynamics. For 

loans covered by credit risk transfer transactions, see the “Deal Performance Data” report available in the CAS and 

CIRT sections of the tool. Information on our website is not incorporated into this report. Information in Data Dynamics 

may differ from similar measures presented in our financial statements and other public disclosures for a variety of 

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 30
reasons, including as a result of variations in the loan population covered, timing differences in reporting and other 

factors.

Delinquency 

The tables below display the delinquency status of loans and changes in the volume of seriously delinquent loans in our 

single-family conventional guaranty book of business based on the number of loans. Single-family seriously delinquent 

loans are loans that are 90 days or more past due or in the foreclosure process. Our single-family serious delinquency 

rate is expressed as a percentage of our single-family conventional guaranty book of business based on loan count.

Management monitors the single-family serious delinquency rate as an indicator of potential future credit losses and 

loss mitigation activities. Serious delinquency rates are reflective of our performance in assessing and managing credit 

risk associated with single-family loans in our guaranty book of business. Typically, higher serious delinquency rates 

result in a higher allowance for loan losses. 

Delinquency Status and Activity of Single-Family Conventional Loans

As of

March 31, 

2023

December 31, 

2022

March 31, 

2022

Delinquency status:

30 to 59 days delinquent 0.74 % 0.96 % 0.72 %

60 to 89 days delinquent 0.19 0.23 0.19 

Seriously delinquent (“SDQ”): 0.59 0.65 1.01 

Percentage of SDQ loans that have been delinquent for more than 

180 days 55 55 71 

Percentage of SDQ loans that have been delinquent for more than 

two years 16 16 12 

For the Three Months Ended 

March 31,

2023 2022

Single-family SDQ loans (number of loans):

Beginning balance 114,960 218,329 

Additions 42,363 44,925 

Removals:

Modifications and other loan workouts (24,107) (57,370) 

Liquidations and sales (7,870) (10,375) 

Cured or less than 90 days delinquent (22,392) (16,638) 

Total removals (54,369) (84,383) 

Ending balance 102,954 178,871 

Our single-family serious delinquency rate as of March 31, 2023 decreased to the lowest level since 2005. Given our 

expectation of home price declines, an economic recession in the second half of the year and higher unemployment 

rates in 2023, we expect the credit performance of loans in our single-family guaranty book of business will decline 

compared with recent performance, which could lead to higher delinquencies or an increase in our single-family serious 

delinquency rate later this year. As of March 31, 2023, single-family loans in forbearance comprised 25% of our singlefamily seriously delinquent loans compared with 28% as of December 31, 2022. For additional information about factors 

that impact our seriously delinquent rate, see “MD&A—Single-Family Business—Single-Family Mortgage Credit Risk 

Management—Single-Family Problem Loan Management” in our 2022 Form 10-K. Also see “Key Market Economic 

Indicators” for more information about our economic outlook.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 31
The table below displays the serious delinquency rates for, and the percentage of our seriously delinquent single-family 

conventional loans represented by, the specified loan categories. Percentage of book amounts represent the unpaid 

principal balance of loans for each category divided by the unpaid principal balance of our total single-family 

conventional guaranty book of business. The reported categories are not mutually exclusive.

Single-Family Conventional Seriously Delinquent Loan Concentration Analysis

As of

March 31, 2023 December 31, 2022 March 31, 2022

Percentage 

of Book 

Outstanding

Percentage 

of Seriously 

Delinquent 

Loans(1)

Serious 

Delinquency 

Rate

Percentage 

of Book 

Outstanding

Percentage 

of Seriously 

Delinquent 

Loans(1)

Serious 

Delinquency 

Rate

Percentage 

of Book 

Outstanding

Percentage 

of Seriously 

Delinquent 

Loans(1)

Serious 

Delinquency 

Rate

States:

California 19 % 10 % 0.43 % 19 % 9 % 0.46 % 19 % 10 % 0.79 %

Florida 6 9 0.81 6 9 0.90 6 8 1.21 

Illinois 3 5 0.79 3 5 0.86 3 5 1.28 

New Jersey 3 4 0.76 3 4 0.85 3 4 1.49 

New York 5 7 1.02 5 7 1.12 5 8 1.87 

All other states 64 65 0.55 64 66 0.62 64 65 0.95 

Vintages:

2008 and prior 2 22 2.62 2 23 2.78 3 25 4.31 

2009-2023 98 78 0.48 98 77 0.53 97 75 0.81 

Estimated mark-tomarket LTV ratio:

<= 60% 64 71 0.55 66 74 0.63 63 75 1.04 

60.01% to 70% 16 14 0.71 16 14 0.77 18 15 1.09 

70.01% to 80% 11 9 0.69 10 8 0.69 12 7 0.84 

80.01% to 90% 6 4 0.68 5 3 0.68 5 2 0.72 

90.01% to 100% 3 2 0.53 3 1 0.40 2 1 0.47 

Greater than 100% * * 1.67 * * 4.04 * * 10.86 

Credit enhanced:(2)

Primary MI & other(3) 21 31 1.07 21 31 1.19 20 29 1.77 

Credit risk transfer(4) 32 28 0.58 31 28 0.66 25 30 1.23 

Non-credit enhanced 57 54 0.50 58 54 0.55 63 54 0.83 

* Represents less than 0.5% of single-family conventional guaranty book of business.

(1) Calculated based on the number of single-family loans that were seriously delinquent for each category divided by the total number of 

single-family conventional loans that were seriously delinquent.

(2) The credit-enhanced categories are not mutually exclusive. A loan with primary mortgage insurance that is also covered by a credit risk 

transfer transaction will be included in both the “Primary MI & other” category and the “Credit risk transfer” category. As a result, the “Credit 

enhanced” and “Non-credit enhanced” categories do not sum to 100%. The total percentage of our single-family conventional guaranty 

book of business with some form of credit enhancement as of March 31, 2023 was 43%. 

(3) Refers to loans included in an agreement used to reduce credit risk by requiring primary mortgage insurance, collateral, letters of credit, 

corporate guarantees, or other agreements to provide an entity with some assurance that it will be compensated to some degree in the 

event of a financial loss. Excludes loans covered by credit risk transfer transactions unless such loans are also covered by primary 

mortgage insurance.

(4) Refers to loans included in reference pools for credit risk transfer transactions, including loans in these transactions that are also covered 

by primary mortgage insurance. For CAS and some lender risk-sharing transactions, this represents the outstanding unpaid principal 

balance of the underlying loans on the single-family mortgage credit book, not the outstanding reference pool, as of the specified date. 

Loans included in our credit risk transfer transactions have all been acquired since 2009.

Forbearance Plans

A forbearance plan is a short-term loss mitigation option that grants a period of time (typically in 6-month increments 

and generally not exceeding a total of 12 months) during which the borrower’s monthly payment obligations are reduced 

or suspended. Borrowers may exit a forbearance plan by repaying all past due amounts to fully reinstate the loan, 

paying off the loan in full, or entering into another loss mitigation option, such as a repayment plan, a payment deferral, 

or a loan modification. 

As of March 31, 2023, the unpaid principal balance of single-family loans in forbearance was $9.9 billion compared with 

$11.9 billion as of December 31, 2022. The percentage of loans in our single-family conventional guaranty book of 

business in forbearance, based on unpaid principal balance, was 0.3% as of March 31, 2023 and December 31, 2022.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 32
As of March 31, 2023, 64% of the single-family loans in forbearance were seriously delinquent compared with 62% as of 

December 31, 2022, based on loan count.

Loan Workout Metrics

As a part of our credit risk management efforts, loan workouts represent actions we take to help reinstate loans to 

current status and help homeowners stay in their home or to otherwise avoid foreclosure. Our loan workouts reflect 

various types of home retention solutions, including repayment plans, payment deferrals, and loan modifications. Our 

loan workouts also include foreclosure alternatives, such as short sales and deeds-in-lieu of foreclosure.

The chart below displays the unpaid principal balance of our completed single-family loan workouts by type, as well as 

the number of loan workouts for the first quarter of 2022 compared with the first quarter of 2023. This table does not 

include loans in an active forbearance arrangement, trial modifications, loans to certain borrowers who have received 

bankruptcy relief and repayment plans that have been initiated but not completed. Completed Loan Workout Activity

(Dollars in billions)

$5.7

$2.0

$7.1

$3.7

$12.9

$5.8

61.6

26.9

Modifications1 Other2 Payment deferrals Number of loan workouts (in thousands)

Q1 2022 Q1 2023

(1) There were approximately 16,200 loans and 35,600 loans in a trial modification period that was not yet complete as of March 31, 2023 and 

2022, respectively. 

(2) Other was $103 million and $74 million for the first quarter of 2023 and the first quarter of 2022, respectively. Other includes repayment 

plans and foreclosure alternatives. Repayment plans reflect only those plans associated with loans that were 60 days or more delinquent.

The overall decline in loan workout activity was driven by fewer outstanding COVID-19-related forbearances in the first 

quarter of 2023 compared with the first quarter of 2022. COVID-19-related forbearances often result in a loan workout in 

order to resolve the loan’s delinquency. 

Updated Payment Deferral Workout Option 

In March 2023, FHFA announced an update to our standard payment deferral workout option to allow borrowers who 

have resolved their financial hardship to defer two to six months of past-due mortgage payments as a non-interest 

bearing balance that is due at maturity of the mortgage loan or earlier upon sale or transfer of the property or payoff of 

the interest-bearing balance. Our current payment deferral workout option generally allows borrowers to defer up to two 

months of past-due payments. This update does not impact disaster payment deferrals or COVID-19 payment deferrals, 

which allow for up to 12 or 18 months of past-due payments, respectively, to be deferred. Servicers have until October 

1, 2023 to implement the updated payment deferral requirements, and may voluntarily implement them as early as July 

1, 2023. 

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 33
REO Management

If a loan defaults, we may acquire the property through foreclosure or a deed-in-lieu of foreclosure. The table below 

displays our REO activity by region. Regional REO acquisition trends generally follow a pattern that is similar to, but 

lags, that of regional delinquency trends.

Single-Family REO Properties

For the Three Months Ended March 31,

2023 2022

Single-family REO properties (number of properties):

Beginning of period inventory of single-family REO properties(1) 8,779 7,166 

Acquisitions by geographic area:(2)

Midwest 304 392 

Northeast 252 274 

Southeast 251 263 

Southwest 193 165 

West 117 69 

Total REO acquisitions(1) 1,117 1,163 

Dispositions of REO (1,116) (899) 

End of period inventory of single-family REO properties(1) 8,780 7,430 

Carrying value of single-family REO properties (dollars in millions) $ 1,325 $ 1,090 

Single-family foreclosure rate(3) 0.03 % 0.03 %

REO net sales price to unpaid principal balance(4) 122 % 116 %

Short sales net sales price to unpaid principal balance(5) 93 % 86 %

(1) Includes held-for-use properties, which are reported in our condensed consolidated balance sheets as a component of “Other assets.” 

(2) See footnote 9 to the “Key Risk Characteristics of Single-Family Conventional Business Volume and Guaranty Book of Business” table for 

states included in each geographic region.

(3) Estimated based on the annualized total number of properties acquired through foreclosure or deeds-in-lieu of foreclosure as a percentage 

of the total number of loans in our single-family conventional guaranty book of business as of the end of each period.

(4) Calculated as the amount of sale proceeds received on disposition of REO properties during the respective periods, excluding those 

subject to repurchase requests made to our sellers or servicers, divided by the aggregate unpaid principal balance of the related loans at 

the time of foreclosure. Net sales price represents the contract sales price less selling costs for the property and other charges paid by the 

seller at closing. 

(5) Calculated as the amount of sale proceeds received on properties sold in short sale transactions during the respective periods divided by 

the aggregate unpaid principal balance of the related loans. Net sales price includes borrower relocation incentive payments and 

subordinate lien(s) negotiated payoffs. 

Single-Family Credit Loss Performance Metrics and Loan Sale Performance

The single-family credit loss performance metrics and loan sale performance measures below present information about 

losses or gains we realized on our single-family loans during the periods presented. The amount of these losses or 

gains in a given period is driven by foreclosures, pre-foreclosure sales, post-foreclosure REO activity, mortgage loan 

redesignations, and other events that trigger write-offs and recoveries. The single-family credit loss metrics we present 

are not defined terms and may not be calculated in the same manner as similarly titled measures reported by other 

companies. Management uses these measures to evaluate the effectiveness of our single-family credit risk 

management strategies in conjunction with leading indicators such as serious delinquency and forbearance rates, which 

are potential indicators of future realized single-family credit losses. We believe these measures provide useful 

information about our single-family credit performance and the factors that impact it.

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 34
The table below displays the components of our single-family credit loss performance metrics and loan sale 

performance. Because sales of nonperforming and reperforming loans have been a part of our credit loss mitigation 

strategy in recent periods, we also provide information in the table below on our loan sale performance through the 

“Losses on sales and other valuation adjustments” line item. In February 2023, FHFA instructed us to put new sales of 

nonperforming and reperforming loans on hold until further notice. As of March 31, 2023, this nonperforming and 

reperforming loan sales pause continued to remain in effect.

Single-Family Credit Loss Performance Metrics and Loan Sale Performance 

For the Three Months Ended 

March 31,

2023 2022

(Dollars in millions)

Write-offs $ (44) $ (16) 

Recoveries 78 36 

Foreclosed property income (expense) (11) 34 

Credit gains 23 54 

Write-offs on the redesignation of mortgage loans from HFI to HFS(1)

 — (13) 

Net credit gains and write-offs on redesignations 23 41 

Losses on sales and other valuation adjustments(2) (72) (67) 

Net credit gains, write-offs on redesignations and losses on sales and other valuation 

adjustments $ (49) $ (26) 

Credit gain ratio (in bps)(3) 0.3 0.6 

Net credit gains, write-offs on redesignations and losses on sales and other valuation 

adjustments ratio (in bps)(3) (0.5) (0.3) 

(1) Consists of the lower of cost or fair value adjustment at time of redesignation.

(2) Consists of gains or losses realized on the sales of nonperforming and reperforming mortgage loans during the period and temporary 

lower-of-cost-or-market adjustments on HFS loans, which are recognized in “Investment losses, net” in our condensed consolidated 

statements of operations and comprehensive income.

(3) Calculated based on the annualized amount of “Credit gains” and “Net credit gains, write-offs on redesignations and losses on sales and 

other valuation adjustments” divided by the average single-family conventional guaranty book of business during the period.

For information on our benefit (provision) for credit losses, which includes changes in our allowance, see “Consolidated 

Results of Operations—Benefit (Provision) for Credit Losses” and “Single-Family Business Financial Results.”

Multifamily Business

This section supplements and updates information regarding our Multifamily business segment in our 2022 Form 10-K. 

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

activities, lenders, competition and market share of our Multifamily business.

Multifamily Mortgage Market

Multifamily market fundamentals, which include factors such as vacancy rates and rents, remained subdued during the 

first quarter of 2023, despite positive job growth and favorable demographics.

• Vacancy rates. Based on preliminary third-party data, we estimate that the national multifamily vacancy rate for 

institutional investment-type apartment properties was 5.8% as of March 31, 2023, an increase from an 

estimated 5.5% as of December 31, 2022, and 4.8% as of March 31, 2022. The estimated average national 

multifamily vacancy rate over the last 15 years is approximately 5.8%.

• Rents. Based on preliminary third-party data, we estimate that effective rents remained flat during the first 

quarter of 2023, compared with a decrease of 0.8% during the fourth quarter of 2022 and an increase of 2.0%

during the first quarter of 2022.

Vacancy rates and rents are important to loan performance because multifamily loans are generally repaid from the 

cash flows generated by the underlying property. Several years of low vacancy rates and rising rents helped to increase 

property values in most metropolitan areas, but that trend reversed for the first quarter of 2023. Based on preliminary 

multifamily property sales data, transaction volumes for the first quarter of 2023 remained well below average levels. As 

MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 35
a result of declining transaction volumes, coupled with elevated interest rates, capitalization rates rose in the first 

quarter of 2023. 

Multifamily construction underway remains elevated. Preliminary data show that more than 470,000 multifamily units 

were delivered in 2022. More than 780,000 multifamily units are slated to be delivered in 2023, although we expect the 

actual number of units completed will be substantially lower.

We expect higher vacancy levels and stagnant rent growth in 2023 as a result of continued softening rental demand 

coupled with elevated levels of new construction and slowing job growth.

Multifamily Business Metrics

Through the secondary mortgage market, we support rental housing for the workforce population, for senior citizens and 

students, and for households with the greatest economic need. Over 95% of the multifamily units we financed in the first 

quarter of 2023 that were potentially eligible for housing goals credit were affordable to those earning at or below 120% 

of the median income in their area, providing support for both workforce housing and affordable housing.

Multifamily New Business Volume

(Dollars in billions)

$16.0

$10.2

136,000

91,000

Multifamily new business volume1 Multifamily new units financed2 Q1 2022 Q1 2023

(1) Reflects unpaid principal balance of multifamily Fannie Mae MBS issued, multifamily loans purchased, and credit enhancements provided 

on multifamily mortgage assets during the period.

(2) Reflects new units financed by first liens; excludes second liens on units for which we had financed the first lien, as well as manufactured 

housing rentals. Second liens and manufactured housing rentals are included in unpaid principal balance.

Based on initial data, overall multifamily market activity was below average levels in the first quarter of 2023, driving 

lower business volumes during the period compared with the first quarter of 2022. Acquisitions in the first quarter of 

2023 were also lower than acquisitions in the first quarter of 2022 because our 2022 acquisitions captured some loans 

that had been committed in 2021 but were not acquired until 2022, facilitating our compliance with the 2021 FHFA 

multifamily volume cap. For 2023, FHFA has capped our multifamily loan purchases at $75 billion. FHFA requires that a 

minimum of 50% of loan purchases must be mission-driven, focused on specified affordable and underserved market 

segments.

For information on how conservatorship may affect our business activities, see “Risk Factors—GSE and 

Conservatorship Risk” in our 2022 Form 10-K.

MD&A | Multifamily Business | Multifamily Mortgage Market

Fannie Mae First Quarter 2023 Form 10-Q 36
Presentation of Our Multifamily Guaranty Book of Business

For purposes of the information reported in this “Multifamily Business” section, we measure our multifamily guaranty 

book of business using the unpaid principal balance of mortgage loans underlying Fannie Mae MBS. By contrast, the 

multifamily guaranty book of business presented in the “Composition of Fannie Mae Guaranty Book of Business” table 

in the “Guaranty Book of Business” section is based on the unpaid principal balance of Fannie Mae MBS outstanding. 

These amounts differ primarily as a result of payments we receive on underlying loans that have not yet been remitted 

to the MBS holders. 

Multifamily Guaranty Book of Business

(Dollars in billions) 

$419.8

$445.4

79.3 78.1

Unpaid principal balance of multifamily guaranty book of business1 Average charged guaranty fee rate on multifamily guaranty book of business (in basis points), at end of period

3/31/2022 3/31/2023

(1) Our multifamily guaranty book of business primarily consists of multifamily mortgage loans underlying Fannie Mae MBS outstanding, 

multifamily mortgage loans of Fannie Mae held in our retained mortgage portfolio, and other credit enhancements that we provide on 

multifamily mortgage assets. It does not include non-Fannie Mae multifamily mortgage-related securities held in our retained mortgage 

portfolio for which we do not provide a guaranty.

Average charged guaranty fee represents our effective revenue rate relative to the size of our multifamily guaranty book 

of business. Management uses this metric to assess the return we earn as compensation for the multifamily credit risk 

we manage. Average charged guaranty fee is impacted by the rate at which loans in our book of business turn over as 

well as the guaranty fees we charge, which are set at the time we acquire the loans. Our multifamily guaranty fee pricing 

is primarily based on the individual credit risk characteristics of the loans we acquire and the aggregate credit risk 

characteristics of our multifamily guaranty book of business. Our multifamily guaranty fee pricing is also influenced by 

external forces such as the availability of other sources of liquidity, our mission-related goals, the FHFA volume cap, 

interest rates, MBS spreads, and the management of the overall composition of our multifamily guaranty book of 

business. Our average guaranty fees decreased as of March 31, 2023 compared with March 31, 2022 due to lower 

average charged fees on new acquisitions than on loans that liquidated.

MD&A | Multifamily Business | Multifamily Business Metrics

Fannie Mae First Quarter 2023 Form 10-Q 37
Multifamily Business Financial Results

This section provides a discussion of the primary components of net income for our Multifamily business.

Multifamily Business Financial Results(1)

For the Three Months Ended March 31,

2023 2022 Variance

(Dollars in millions)

Net interest income $ 1,114 $ 1,144 $ (30) 

Fee and other income 15 22 (7) 

Net revenues 1,129 1,166 (37) 

Fair value gains (losses), net 38 (47) 85 

Administrative expenses (148) (125) (23) 

Benefit (provision) for credit losses (179) 30 (209) 

Credit enhancement expense(2) (54) (68) 14 

Change in expected credit enhancement recoveries(3) 25 (9) 34 

Other expenses, net(4) (10) (69) 59 

Income before federal income taxes 801 878 (77) 

Provision for federal income taxes (161) (179) 18 

Net income $ 640 $ 699 $ (59) 

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

(2) Primarily consists of costs associated with our Multifamily CIRTTM (“MCIRTTM”) and Multifamily Connecticut Avenue SecuritiesTM

(“MCASTM”) programs as well as amortization expense for certain lender risk-sharing programs.

(3) Consists of change in benefits recognized from our freestanding credit enhancements that primarily relate to our Delegated Underwriting 

and Servicing (“DUS®”) lender risk-sharing. 

(4) Consists of investment gains or losses, foreclosed property income (expense), gains or losses from partnership investments, debt 

extinguishment gains or losses, and other income or expenses.

Net Interest Income

Net interest income decreased slightly in the first quarter of 2023 compared with the first quarter of 2022 due to lower 

liquidation volumes and therefore lower yield maintenance fees, as well as lower average charged guaranty fees, 

partially offset by an increase in our multifamily guaranty book of business. 

Benefit (Provision) for Credit Losses

Provision for credit losses for the first quarter of 2023 was primarily driven by declines in multifamily actual and 

projected property values, as well as a provision for our seniors housing loans as uncertainty remained elevated, 

including uncertainty related to adjustable-rate loans. This was partially offset by a benefit from actual and projected 

interest rates.

Our benefit for credit losses for the first quarter of 2022 was the result of a reduction in our credit loss reserves primarily 

due to strong multifamily market fundamentals.

See “Consolidated Results of Operations—Benefit (Provision) for Credit Losses” for more information on our multifamily 

benefit or provision for credit losses.

Multifamily Mortgage Credit Risk Management

This section supplements and updates our discussion of multifamily mortgage credit risk management in our 2022 Form 

10-K in “MD&A—Multifamily Business—Multifamily Mortgage Credit Risk Management.” For an overview of key 

elements of our mortgage credit risk management, see “Business—Managing Mortgage Credit Risk” in our 2022 Form 

10-K.

Multifamily Acquisition Policy and Underwriting Standards

Our Multifamily business is responsible for pricing and managing the credit risk on our multifamily guaranty book of 

business, with oversight from our Enterprise Risk Management division. Multifamily loans that we purchase or that back 

Fannie Mae MBS are underwritten by a Fannie Mae-approved lender and may be subject to our underwriting review 

MD&A | Multifamily Business | Multifamily Business Financial Results

Fannie Mae First Quarter 2023 Form 10-Q 38
prior to closing, depending on the product type, loan size, market and/or other factors. Our underwriting standards 

generally include, among other things, property cash flow analysis and third-party appraisals.

Additionally, our standards for multifamily loans specify maximum original LTV ratio and minimum original debt service 

coverage ratios (“DSCRs”) that vary based on loan characteristics. Our experience has been that original LTV ratio and 

DSCR values have been reliable indicators of future credit performance. At underwriting, we evaluate the DSCR based 

on both actual and underwritten debt service payments. The original DSCR is calculated using the underwritten debt 

service payments for the loan, which assumes both principal and interest payments, including stressed assumptions in 

certain cases, rather than the actual debt service payments. Depending on the loan’s interest rate and structure, using 

the underwritten debt service payments will often result in a more conservative estimate of the debt service payments 

(for example, loans with an interest-only period). This approach is used for all loans, including those with full and partial 

interest-only terms.

The following table displays certain key risk characteristics of our multifamily guaranty book of business that we use to 

evaluate the risk profile and credit quality of our multifamily loans.

Key Risk Characteristics of Multifamily Guaranty Book of Business 

As of

March 31, 2023 December 31, 2022 March 31, 2022

Weighted-average original LTV ratio 64 % 64 % 65 %

Original LTV ratio greater than 80% 1 1 1 

Original DSCR less than or equal to 1.10 12 12 12 

Full term interest-only loans 39 38 34 

Partial term interest-only loans(1) 48 49 51 

Adjustable-rate mortgages 11 11 9 

(1) Consists of mortgage loans that were underwritten with an interest-only term, regardless of whether the loan is currently in its interest-only 

period.

We provide additional information on the credit characteristics of our multifamily loans in quarterly financial 

supplements, which we furnish to the SEC with current reports on Form 8-K.

Transfer of Multifamily Mortgage Credit Risk

We primarily transfer risk through our Delegated Underwriting and Servicing (“DUS®”) program, which delegates to DUS 

lenders the ability to underwrite and service multifamily loans, in accordance with our standards and requirements. See 

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

Risk” in our 2022 Form 10-K for a description of our DUS program.

Our DUS model typically results in our lenders sharing approximately one-third of the credit risk on our multifamily 

loans, either on a pro-rata or tiered basis. Loans serviced by DUS lenders and their affiliates represented substantially 

all of our multifamily guaranty book of business as of March 31, 2023 and December 31, 2022. In certain situations, to 

effectively manage our counterparty risk, we do not allow the lenders to fully share in one-third of the credit risk, but 

have them share in a smaller portion.

While not a large portion of our multifamily guaranty book of business, our non-DUS lenders typically also have lender 

risk-sharing, where the lenders typically share or absorb losses based on a negotiated percentage of the loan or the 

pool balance.

To complement our front-end lender-risk sharing program, we engage in back-end credit risk transfer transactions 

through our Multifamily CIRTTM (“MCIRTTM”) and Multifamily Connecticut Avenue SecuritiesTM (“MCASTM”) transactions. 

Through these transactions, we transfer a portion of the credit risk associated with a reference pool of multifamily 

mortgage loans to insurers, reinsurers, or investors. 

We transfer multifamily credit risk through lender risk-sharing at the time of acquisition, but our multifamily back-end 

credit risk transfer activity occurs later, typically up to a year or more after acquisition. We did not enter into any new 

multifamily credit risk transfer transactions during the first quarter of 2023. In April 2023, we transferred multifamily 

mortgage credit risk in an MCIRT transaction.

MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 39
The table below displays the total unpaid principal balance of multifamily loans and the percentage of our multifamily 

guaranty book of business, based on unpaid principal balance, that is covered by a back-end credit risk transfer 

transaction. The table does not reflect front-end lender risk-sharing arrangements, as only a small portion of our 

multifamily guaranty book of business is not covered by these arrangements.

Multifamily Loans in Back-End Credit Risk Transfer Transactions

As of

March 31, 2023 December 31, 2022

Unpaid 

Principal 

Balance

Percentage of 

Multifamily 

Guaranty Book 

of Business

Unpaid 

Principal 

Balance

Percentage of 

Multifamily 

Guaranty Book 

of Business

(Dollars in millions)

MCIRT $ 86,350 19 % $ 87,682 20 %

MCAS 25,058 6 25,071 6 

Total $ 111,408 25 % $ 112,753 26 %

Multifamily Portfolio Monitoring

As part of our ongoing credit risk management process, we and our lenders monitor the performance and risk 

characteristics of our multifamily loans and the underlying properties on an ongoing basis throughout the loan term at 

the asset and portfolio level. We require lenders to provide quarterly and annual financial updates for the loans for which 

we are contractually entitled to receive such information. We closely monitor loans with an estimated current DSCR 

below 1.0, as that is an indicator of heightened default risk. The percentage of loans in our multifamily guaranty book of 

business, calculated based on unpaid principal balance, with a current DSCR less than 1.0 was approximately 3% as of 

March 31, 2023 and December 31, 2022.

We manage our exposure to interest-rate risk and monitor changes in interest rates, which can impact multiple aspects 

of our multifamily loans. Interest rates, especially short-term interest rates, have increased significantly in recent periods 

and may increase further. Rising interest rates may reduce the ability of multifamily borrowers to refinance their loans, 

which generally have balloon balances at maturity. We provide additional information on the maturity schedule of our 

multifamily loans in quarterly financial supplements, which we furnish to the SEC with current reports on Form 8-K and 

make available on our website.

Additionally, in a rising rate environment, multifamily borrowers with adjustable-rate mortgages will have higher monthly 

payments, which may lower their DSCRs. We generally require multifamily borrowers with adjustable-rate mortgages to 

maintain interest rate caps for the life of the loan to protect against large movements in rates. Purchasing or replacing 

required interest rate caps, especially those with longer terms and/or lower capped interest rates, becomes more 

expensive as interest rates rise. We have observed these rising costs in recent periods and, particularly since we 

require our multifamily borrowers to maintain escrows at our servicers to reserve for the cost of replacing caps, this has 

added pressure to borrowers’ ability to make payments and was a contributing factor to the increase in our multifamily 

serious delinquency rate in the first quarter of 2023. We actively monitor these interest-rate related risks as part of our 

risk management process.

We also monitor for risks manifesting within specific property types. A property type we have been monitoring closely is 

seniors housing, primarily independent living and assisted living facilities, some of which may have a limited capacity 

devoted to memory care. Seniors housing loans constituted 4% of our multifamily guaranty book of business as of 

March 31, 2023, based on unpaid principal balance, of which 38% were adjustable-rate mortgages. Seniors housing 

properties have been disproportionately affected by the COVID-19 pandemic and ongoing economic trends, higher 

operating costs exacerbated by the increase in inflation, and higher short-term interest rates for adjustable-rate 

mortgages, resulting in increased costs for these borrowers. As a result, we recorded a write-off in the first quarter of 

2023 on a seniors housing portfolio that we had fully reserved for in our allowance for credit losses as of December 31, 

2022. We continue to monitor seniors housing loans in our multifamily guaranty book of business closely and actively 

manage loans that may be at risk of further deterioration or default.

Multifamily Problem Loan Management and Foreclosure Prevention

In addition to the credit performance information on our multifamily loans provided below, we provide information about 

multifamily loans that back MBS and whole loan REMICs in the “Data Collections” section of our DUS Disclose® tool, 

available at www.fanniemae.com/dusdisclose. Information on our website is not incorporated into this report.

MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 40
Delinquency Statistics on our Multifamily Problem Loans

The percentage of our multifamily loans in our guaranty book of business that are criticized increased as of March 31, 

2023 compared with December 31, 2022. This increase was primarily driven by the recent elevated interest-rate 

environment, which has increased the number of properties reporting low DSCRs in their latest operating statement, 

particularly those properties with adjustable-rate mortgages. Criticized loans substantially consists of loans classified as 

“Substandard” and also includes loans classified as “Special Mention” or “Doubtful.” Substandard loans are loans that 

have a well-defined weakness that could impact their timely full repayment. While the majority of the substandard loans 

in our multifamily guaranty book of business are currently making timely payments, we continue to monitor the 

performance of this population. For more information on our loan classifications based on our internally assigned credit 

risk ratings, see “Note 3, Mortgage Loans,” which provides information about our population of substandard loans.

Our multifamily serious delinquency rate increased to 0.35% as of March 31, 2023, compared with 0.24% as of 

December 31, 2022, largely driven by a seniors housing portfolio. Our multifamily serious delinquency rate consists of 

multifamily loans that were 60 days or more past due based on unpaid principal balance, expressed as a percentage of 

our multifamily guaranty book of business. The percentage of loans in our multifamily guaranty book of business that 

were 180 days or more delinquent was 0.12% as of March 31, 2023, compared with 0.15% as of December 31, 2022.

Management monitors the multifamily serious delinquency rate as an indicator of potential future credit losses and loss 

mitigation activities. Serious delinquency rates are reflective of our performance in assessing and managing credit risk 

associated with multifamily loans in our guaranty book of business. Typically, higher serious delinquency rates result in 

a higher allowance for loan losses.

Multifamily REO Management

The number of multifamily foreclosed properties held for sale was 29 properties with a carrying value of $307 million as 

of March 31, 2023, compared with 28 properties with a carrying value of $278 million as of December 31, 2022. We 

expect the amount of foreclosures on multifamily loans to increase if they are unable to successfully cure their 

delinquency through a repayment plan or other modification.

Multifamily Credit Loss Performance Metrics

The amount of multifamily credit loss or income we realize in a given period is driven by foreclosures, pre-foreclosure 

sales, REO activity and write-offs, net of recoveries. Our multifamily credit loss performance metrics are not defined 

terms and may not be calculated in the same manner as similarly titled measures reported by other companies. We 

believe our multifamily credit losses, and our multifamily credit losses net of freestanding loss-sharing benefit, may be 

useful to stakeholders because they display our credit losses in the context of our multifamily guaranty book of 

business, including changes to the benefit we expect to receive from loss-sharing arrangements. Management views 

multifamily credit losses, net of freestanding loss-sharing arrangements, as a key metric related to our multifamily 

business model and our strategy to share multifamily credit risk. 

MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 41
The table below displays the components of our multifamily credit loss performance metrics, as well as our multifamily 

initial write-off severity rate and write-off loan count. 

Multifamily Credit Loss Performance Metrics 

For the Three Months Ended 

March 31,

2023 2022

(Dollars in millions)

Write-offs(1) $ (237) $ — 

Recoveries 9 7 

Foreclosed property income (expense) (4) 5 

Credit gains (losses) (232) 12 

Change in expected credit enhancement recoveries(2) 8 (7) 

Credit gains (losses), net of freestanding loss-sharing arrangements $ (224) $ 5 

Credit gain (loss) ratio (in bps)(3) (20.9) 1.2 

Credit gain (loss) ratio, net of freestanding loss-sharing benefit (in bps)(2)(3) (20.2) 0.5 

Multifamily initial write-off severity rate(4)(5)

 — % 5.5 %

Multifamily write-off loan count(6) 2 4 

(1) Represents write-offs when a loan is determined to be uncollectible prior to a liquidation event, which includes foreclosure, a deed-in-lieu of 

foreclosure or a short-sale (collectively a “liquidation event”), as well as write-offs at liquidation. Write-offs associated with non-REO sales 

are net of loss sharing.

(2) Represents changes to the benefit we expect to receive only from write-offs as a result of certain freestanding loss-sharing arrangements, 

primarily multifamily DUS lender risk-sharing transactions. Changes to the expected benefits we will receive are recorded in “Change in 

expected credit enhancement recoveries” in our condensed consolidated statements of operations and comprehensive income. 

(3) Calculated based on the annualized amount of “Credit gains (losses)” and “Credit gains (losses), net of freestanding loss-sharing 

arrangements,” divided by the average multifamily guaranty book of business during the period. 

(4) Rate is calculated as the initial write-off amount divided by the average defaulted unpaid principal balance.

(5) Consists of write-offs associated with a liquidation event. The rate excludes any costs, gains or losses associated with REO after initial 

acquisition through final disposition. The rate also excludes write-offs when a loan is determined to be uncollectible prior to a liquidation 

event. Write-offs are net of lender loss-sharing agreements. 

(6) The multifamily write-off loan count includes only write-offs associated with a liquidation event.

Our multifamily credit losses increased in the first quarter of 2023 compared with the first quarter of 2022 driven by the 

write-off of a seniors housing portfolio during the first quarter of 2023. As discussed above in “Multifamily Portfolio 

Monitoring,” seniors housing loans in our guaranty book of business have been disproportionately affected by the 

COVID-19 pandemic and ongoing economic trends.

MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 42
Consolidated Credit Ratios and Select Credit Information

The table below displays select credit ratios on our single-family conventional guaranty book of business and our 

multifamily guaranty book of business, as well as the inputs used in calculating these ratios.

Consolidated Credit Ratios and Select Credit Information

As of

March 31, 2023 December 31, 2022

Singlefamily MultifamilyConsolidated 

Total

Singlefamily MultifamilyConsolidated 

Total

(Dollars in millions)

Credit loss reserves as a 

percentage of:

Guaranty book of business 0.26 % 0.42 % 0.28 % 0.26 % 0.43 % 0.28 %

Nonaccrual loans at amortized 

cost 62.12 120.90 67.47 90.69 86.86 90.03 

Nonaccrual loans as a 

percentage of:

Guaranty book of business 0.42 % 0.35 % 0.42 % 0.29 % 0.50 % 0.31 %

Select financial information used 

in calculating credit ratios:

Credit loss reserves(1) $ (9,547) $ (1,863) $ (11,410) $ (9,554) $ (1,911) $ (11,465) 

Guaranty book of business(2) 3,628,391 445,424 4,073,815 3,635,237 440,424 4,075,661 

Nonaccrual loans at amortized 

cost 15,369 1,541 16,910 10,535 2,200 12,735 

Components of credit loss 

reserves:

Allowance for loan losses $ (9,479) $ (1,856) $ (11,335) $ (9,443) $ (1,904) $ (11,347) 

Allowance for accrued interest 

receivable (68) — (68) (111) — (111) 

Reserve for guaranty losses(3) — (7) (7) — (7) (7) 

Total credit loss reserves(1) $ (9,547) $ (1,863) $ (11,410) $ (9,554) $ (1,911) $ (11,465) 

(1) Our multifamily credit loss reserves exclude the expected benefit of freestanding credit enhancements on multifamily loans of $511 million

as of March 31, 2023 and $492 million as of December 31, 2022, which are recorded in “Other assets” in our condensed consolidated 

balance sheets.

(2) Represents conventional guaranty book of business for single-family.

(3) Reserve for guaranty losses is recorded in “Other liabilities” in our condensed consolidated balance sheets.

Our single-family nonaccrual loans increased as of March 31, 2023 compared with December 31, 2022 as delinquent 

loans that may have previously been subject to our COVID-19 nonaccrual policy, which maintained loans on accrual 

status for at least six months of delinquency, no longer met the requirements of the COVID-19-related guidance 

effective January 1, 2023. Under our current nonaccrual policy, we generally place a loan on nonaccrual status when 

the loan is three or more months past due. As a result, the balance of loans on nonaccrual status increased. 

The balance of multifamily loans on nonaccrual decreased as of March 31, 2023 compared with December 31, 2022 

primarily due to loans curing their delinquency. In addition, write-offs decreased the amortized cost basis on loans that 

remained on nonaccrual status as of December 31, 2022 and March 31, 2023.

See “Note 3, Mortgage Loans” for more information on our nonaccrual policy, including additional information about our 

COVID-19-related nonaccrual policy.

MD&A | Consolidated Credit Ratios and Select Credit Information

Fannie Mae First Quarter 2023 Form 10-Q 43
Consolidated Write-off Ratio and Select Credit Information

For the Three Months Ended March 31,

2023 2022

Singlefamily Multifamily TotalSinglefamily Multifamily Total

(Dollars in millions)

Select credit ratio:

Write-offs, net of recoveries annualized, as 

a percentage of the average guaranty 

book of business (in bps) (0.4) 20.6 1.9 (0.1) (0.7) (0.1) 

Select financial information used in 

calculating credit ratio:

Write-offs $ 44 $ 237 $ 281 $ 29 $ — $ 29 

Recoveries (78) (9) (87) (36) (7) (43) 

Write-offs, net of recoveries $ (34) $ 228 $ 194 $ (7) $ (7) $ (14) 

Average guaranty book of business(1) 3,631,814 442,924 4,074,738 3,525,219 416,441 3,941,660 

(1) Average guaranty book of business is based on quarter-end balances.

Liquidity and Capital Management

Liquidity Management

This section supplements and updates information regarding liquidity management in our 2022 Form 10-K. See “MD&A

—Liquidity and Capital Management—Liquidity Management” in our 2022 Form 10-K for additional information, 

including discussions of our primary sources and uses of funds, our liquidity and funding risk management practices and 

contingency planning, our liquidity requirements, factors that influence our debt funding activity, factors that may impact 

our access to or the cost of our debt funding and factors that could adversely affect our liquidity and funding. As of 

March 31, 2023, we were in compliance with all four components of the liquidity requirements outlined in our 2022 Form 

10-K. Also see “Risk Factors—Liquidity and Funding Risk” in our 2022 Form 10-K for a discussion of liquidity and 

funding risks.

Debt Funding

We are currently subject to a $270 billion debt limit under our senior preferred stock purchase agreement with Treasury. 

The unpaid principal balance of our aggregate indebtedness was $143.8 billion as of March 31, 2023. Pursuant to the 

terms of the senior preferred stock purchase agreement, we are prohibited from issuing debt without the prior consent of 

Treasury if it would result in our aggregate indebtedness exceeding our outstanding debt limit. The calculation of our 

indebtedness for purposes of complying with our debt limit reflects the unpaid principal balance and excludes debt basis 

adjustments and debt of consolidated trusts.

Outstanding Debt 

Total outstanding debt of Fannie Mae includes short-term and long-term debt and excludes debt of consolidated trusts. 

Short-term debt of Fannie Mae consists of borrowings with an original contractual maturity of one year or less and, 

therefore, does not include the current portion of long-term debt. Long-term debt of Fannie Mae consists of borrowings 

with an original contractual maturity of greater than one year. 

MD&A | Consolidated Credit Ratios and Select Credit Information

Fannie Mae First Quarter 2023 Form 10-Q 44
The following chart and table display information on our outstanding short-term and long-term debt based on original 

contractual maturity. Our outstanding debt remained relatively flat during the first quarter of 2023 as our funding needs 

remained low and were primarily satisfied through cash and other liquid assets that accumulated in prior periods, as well 

as earnings retained from our operations.

Debt of Fannie Mae(1)

(Dollars in billions)

$134.2

$139.2

$23.3

$26.1

$100.7

$99.1

Short-term debt2 Long-term debt maturing within one year

Long-term debt, excluding portion maturing within one year

12/31/2022 3/31/2023

(1) Outstanding debt balance consists of the unpaid principal balance, premiums and discounts, fair value adjustments, hedge-related basis 

adjustments and other cost basis adjustments. Reported amounts include net discount unamortized cost basis adjustments and fair value

adjustments of $4.6 billion and $5.1 billion as of March 31, 2023 and December 31, 2022, respectively.

(2) Short-term debt was $14.0 billion and $10.2 billion as of March 31, 2023 and December 31, 2022, respectively.

Selected Debt Information

As of

March 31, 2023 December 31, 2022

(Dollars in billions)

Selected Weighted-Average Interest Rates(1)

Interest rate on short-term debt 4.58 % 3.93 %

Interest rate on long-term debt, including portion maturing within one year 2.32 2.23 

Interest rate on callable debt 2.20 1.79 

Selected Maturity Data

Weighted-average maturity of debt maturing within one year (in days) 153 156 

Weighted-average maturity of debt maturing in more than one year (in months) 50 52 

Other Data

Outstanding callable debt(2) $ 47.8 $ 43.3 

Connecticut Avenue Securities debt(3) 5.1 5.2 

(1) Excludes the effects of fair value adjustments and hedge-related basis adjustments.

(2) Includes short-term callable debt of $3.3 billion and $590 million as of March 31, 2023 and December 31, 2022, respectively.

(3) Represents CAS debt issued prior to November 2018. See “MD&A—Single-Family Business—Single-Family Mortgage Credit Risk 

Management—Single-Family Credit Enhancement and Transfer of Mortgage Credit Risk—Credit Risk Transfer Transactions” in our 2022

Form 10-K for information regarding our Connecticut Avenue Securities.

MD&A | Liquidity and Capital Management

Fannie Mae First Quarter 2023 Form 10-Q 45
We intend to repay our short-term and long-term debt obligations as they become due primarily through cash from 

business operations, the sale of other liquid assets and the issuance of additional debt securities.

For information on the maturity profile of our outstanding long-term debt, see “Note 7, Short-Term and Long-Term Debt.”

Debt Funding Activity 

The table below displays activity in debt of Fannie Mae. This activity excludes the debt of consolidated trusts and 

intraday borrowing. The reported amounts of debt issued and paid off during each period represent the face amount of 

the debt at issuance and redemption.

Activity in Debt of Fannie Mae

For the Three Months Ended 

March 31,

2023 2022

(Dollars in millions)

Issued during the period:

Short-term:

Amount $ 55,106 $ 48,477 

Weighted-average interest rate 4.37 % 0.06 %

Long-term:(1)

Amount $ 2,868 $ — 

Weighted-average interest rate 5.39 % — %

Total issued:

Amount $ 57,974 $ 48,477 

Weighted-average interest rate 4.42 % 0.06 %

Paid off during the period:(2)

Short-term:

Amount $ 51,306 $ 47,227 

Weighted-average interest rate 3.98 % 0.05 %

Long-term:(1)

Amount $ 2,105 $ 20,353 

Weighted-average interest rate 2.83 % 1.01 %

Total paid off:

Amount $ 53,411 $ 67,580 

Weighted-average interest rate 3.94 % 0.34 %

(1) Includes credit risk-sharing securities issued as CAS debt prior to November 2018. For information on our credit risk transfer transactions, 

see “MD&A—Single-Family Business—Single-Family Mortgage Credit Risk Management—Single-Family Credit Enhancement and 

Transfer of Mortgage Credit Risk—Credit Risk Transfer Transactions” in our 2022 Form 10-K.

(2) Consists of all payments on debt, including regularly scheduled principal payments, payments at maturity, payments resulting from calls 

and payments for any other repurchases. Repurchases of debt and early retirements of zero-coupon debt are reported at original face 

value, which does not equal the amount of actual cash payment.

MD&A | Liquidity and Capital Management

Fannie Mae First Quarter 2023 Form 10-Q 46
Other Investments Portfolio

The chart below displays information on the composition of our other investments portfolio. The balance of our other 

investments portfolio fluctuates as a result of changes in our cash flows, liquidity in the fixed-income markets, and our 

liquidity risk management framework and practices.

Our other investments portfolio increased during the first quarter of 2023 primarily due to our corporate debt issuances 

outpacing maturities, proceeds from the sale of securities and loans, and the continued increase in earnings retained 

from our operations.

Other Investments Portfolio

(Dollars in billions)

$58.0 $60.3

$11.1

$21.5

$46.9

$47.5

$116.0

$129.3

12/31/2022 3/31/2023

Cash and cash equivalents(1)

Securities purchased under agreements to resell

U.S. Treasury securities

(1) Cash equivalents are composed of overnight repurchase agreements and U.S. Treasuries, if any, that have a maturity at the date of 

acquisition of three months or less.

Off-Balance Sheet Arrangements

We enter into certain business arrangements to facilitate our statutory purpose of providing liquidity to the secondary 

mortgage market and to reduce our exposure to interest rate fluctuations. Some of these arrangements are not 

recorded in our condensed consolidated balance sheets or may be recorded in amounts different from the full contract 

or notional amount of the transaction, depending on the nature or structure of, and the accounting required to be applied 

to, the arrangement. These arrangements are commonly referred to as “off-balance sheet arrangements” and expose us 

to potential losses in excess of the amounts recorded in our condensed consolidated balance sheets.

Our off-balance sheet arrangements result primarily from the following: 

• our guaranty of mortgage loan securitization and resecuritization transactions over which we have no control, 

which are reflected in our unconsolidated Fannie Mae MBS net of any beneficial ownership interest we retain, 

and other financial guarantees that we do not control; 

• liquidity support transactions; and 

• partnership interests. 

The total amount of our off-balance sheet exposure related to unconsolidated Fannie Mae MBS net of any beneficial 

interest that we retain, and other financial guarantees was $241.8 billion as of March 31, 2023 and $246.7 billion as of 

December 31, 2022. The majority of the other financial guarantees consists of Freddie Mac securities backing Fannie 

Mae structured securities. See “Guaranty Book of Business” and “Note 6, Financial Guarantees” for more information 

regarding our maximum exposure to loss on unconsolidated Fannie Mae MBS and Freddie Mac securities.

Our total outstanding liquidity commitments to advance funds for securities backed by multifamily housing revenue 

bonds totaled $4.7 billion as of March 31, 2023 and $4.8 billion as of December 31, 2022. These commitments require 

us to advance funds to third parties that enable them to repurchase tendered bonds or securities that are unable to be 

remarketed. We hold cash and cash equivalents in our other investments portfolio in excess of these commitments to 

advance funds.

MD&A | Liquidity and Capital Management

Fannie Mae First Quarter 2023 Form 10-Q 47
We make investments in various limited partnerships and similar legal entities, which consist of low-income housing tax 

credit investments, community investments and other entities. When we do not have a controlling financial interest in 

those entities, our condensed consolidated balance sheets reflect only our investment rather than the full amount of the 

partnership’s assets and liabilities. See “Note 2, Consolidations and Transfers of Financial Assets—Unconsolidated 

VIEs” for information regarding our limited partnerships and similar legal entities.

Cash Flows

Three Months Ended March 31, 2023. Cash, cash equivalents and restricted cash and cash equivalents increased from 

$87.8 billion as of December 31, 2022 to $90.8 billion as of March 31, 2023. The increase was primarily driven by cash 

inflows from (1) proceeds from repayments and sales of loans, (2) the sale of Fannie Mae MBS to third parties, and (3) 

the issuances of funding debt, which outpaced redemptions.

Partially offsetting these cash inflows were cash outflows from (1) payments on outstanding debt of consolidated trusts,

(2) purchases of loans held for investment, and (3) advances to lenders.

Three Months Ended March 31, 2022. Cash, cash equivalents and restricted cash and cash equivalents decreased from 

$108.6 billion as of December 31, 2021 to $89.0 billion as of March 31, 2022. The decrease was primarily driven by 

cash outflows from (1) payments on outstanding debt of consolidated trusts, (2) purchases of loans held for investment, 

and (3) the redemption of funding debt, which outpaced issuances.

Partially offsetting these cash outflows were cash inflows from (1) the sale of Fannie Mae MBS to third parties, and (2) 

proceeds from repayments of loans.

Credit Ratings

As of March 31, 2023, our credit ratings have not changed since we filed our 2022 Form 10-K. For information on our 

credit ratings, see “MD&A—Liquidity and Capital Management—Liquidity Management—Credit Ratings” in our 2022

Form 10-K.

MD&A | Liquidity and Capital Management

Fannie Mae First Quarter 2023 Form 10-Q 48
Capital Management

Capital Requirements

The table below sets forth information about our capital requirements under the standardized approach of the enterprise 

regulatory capital framework. Available capital for purposes of the enterprise regulatory capital framework excludes the 

stated value of the senior preferred stock ($120.8 billion) and other amounts specified in the Regulatory Capital 

Components table below. Because of these exclusions, we had a deficit in available capital as of March 31, 2023, even 

though we had positive net worth under GAAP of $64.0 billion as of March 31, 2023. See “Business—Legislation and 

Regulation—GSE-Focused Matters—Capital Requirements” in our 2022 Form 10-K for a description of our capital 

requirements under the enterprise regulatory capital framework. Although the enterprise regulatory capital framework 

went into effect in February 2021, we are not required to hold capital according to the framework’s requirements until the 

date of termination of our conservatorship, or such later date as may be ordered by FHFA.

We had a $253 billion shortfall of our available capital (deficit) to the adjusted total capital requirement (including 

buffers) of $184 billion under the standardized approach of the rule as of March 31, 2023. Our capital shortfall 

decreased to $253 billion from $258 billion as of December 31, 2022, primarily as a result of an increase in our retained 

earnings.

Capital Metrics under the Enterprise Regulatory Capital Framework as of March 31, 2023(1) 

(Dollars in billions)

Stress capital buffer $ 34 

Stability capital buffer 45 

Adjusted total assets $4,560 Countercyclical capital buffer — 

Risk-weighted assets 1,308 Prescribed capital conservation buffer amount $ 79 

Minimum 

Capital Ratio 

Requirement

Minimum 

Capital 

Requirement

Applicable 

Buffers(2)

Total Capital 

Requirement 

(including 

Buffers)

Available 

Capital 

(Deficit)(3)

Capital 

Shortfall(4)

Risk-based capital:

Total capital (statutory)(5) 8.0 % $ 105 N/A $ 105 $ (45) $ (150) 

Common equity tier 1 capital 4.5 59 $ 79 138 (89) (227) 

Tier 1 capital 6.0 78 79 157 (69) (226) 

Adjusted total capital 8.0 105 79 184 (69) (253) 

Leverage capital:

Core capital (statutory)(6) 2.5 114 N/A 114 (57) (171) 

Tier 1 capital 2.5 114 23 137 (69) (206) 

(1) Ratios are calculated as a percentage of risk-weighted assets for risk-based capital metrics and as a percentage of adjusted total assets 

for leverage capital metrics.

(2) The applicable buffer for common equity tier 1 capital, tier 1 capital, and adjusted total capital is the prescribed capital conservation buffer 

amount (“PCCBA”), which is composed of a stress capital buffer, a stability capital buffer, and a countercyclical capital buffer. The 

applicable buffer for tier 1 capital (leverage based) is the prescribed leverage buffer amount (“PLBA”). The stress capital buffer and 

countercyclical capital buffer are each calculated by multiplying prescribed factors by adjusted total assets as of the last day of the 

previous calendar quarter. The 2023 stability capital buffer is calculated by multiplying a factor determined based on our share of mortgage 

debt outstanding by adjusted total assets as of December 31, 2020. The prescribed leverage buffer for 2023 is set at 50% of the 2023

stability buffer. Going forward the stability buffer and the prescribed leverage buffer will be updated with an effective date that depends on 

whether the stability capital buffer increases or decreases relative to the previously calculated value.

(3) Available capital (deficit) for all line items excludes the stated value of the senior preferred stock ($120.8 billion). Available capital (deficit) 

for all line items except total capital and core capital also deducts a portion of deferred tax assets. Deferred tax assets arising from 

temporary differences between GAAP and tax requirements are deducted from capital to the extent they exceed 10% of common equity. 

As of March 31, 2023, this resulted in the full deduction of deferred tax assets ($12.6 billion) from our available capital (deficit). Available 

capital (deficit) for common equity tier 1 capital also excludes the value of the non-cumulative perpetual preferred stock ($19.1 billion).

(4) Our capital shortfall consists of the difference between the applicable capital requirement (including buffers) and the applicable available 

capital (deficit).

(5) The sum of (a) core capital (see definition in footnote 6 below); and (b) a general allowance for foreclosure losses, which (i) shall include 

an allowance for portfolio mortgage losses, an allowance for non-reimbursable foreclosure costs on government claims, and an allowance 

for liabilities reflected on the balance sheet for estimated foreclosure losses on mortgage-backed securities; and (ii) shall not include any 

MD&A | Liquidity and Capital Management

Fannie Mae First Quarter 2023 Form 10-Q 49
reserves made or held against specific assets; and (c) any other amounts from sources of funds available to absorb losses that the 

Director of FHFA by regulation determines are appropriate to include in determining total capital.

(6) The sum of (a) the stated value of our outstanding common stock (common stock less treasury stock); (b) the stated value of our 

outstanding non-cumulative perpetual preferred stock; (c) our paid-in capital; and (d) our retained earnings (accumulated deficit). Core 

capital does not include: (a) accumulated other comprehensive income or (b) senior preferred stock.

As a result of our capital shortfall, our maximum payout ratio under the enterprise regulatory capital framework as of 

March 31, 2023 was 0%. While it is not applicable until the date of termination of our conservatorship, our maximum 

payout ratio represents the percentage of eligible retained income that we are permitted to pay out in the form of 

distributions or discretionary bonus payments under the enterprise regulatory capital framework. The maximum payout 

ratio for a given quarter is the lowest of the payout ratios determined by our capital conservation buffer and our leverage 

buffer. See “Note 14, Regulatory Capital Requirements” for information on our capital ratios as of March 31, 2023 under 

the enterprise regulatory capital framework.

The table below presents certain components of our regulatory capital.

Regulatory Capital Components 

(Dollars in billions) As of 

March 31, 2023

Total equity $ 64.0 

Less:

Senior preferred stock 120.8 

Preferred stock 19.1 

Common equity (75.9) 

Less: deferred tax assets arising from temporary differences that exceed 10% of common 

equity tier 1 capital and other regulatory adjustments 12.6 

Common equity tier 1 capital (deficit) (88.5) 

Add: non-cumulative perpetual preferred stock 19.1 

Tier 1 capital (deficit) (69.4) 

Tier 2 capital adjustments — 

Adjusted total capital (deficit) $ (69.4) 

The table below presents certain components of our core capital.

Statutory Capital Components

(Dollars in billions) As of 

March 31, 2023

Total equity $ 64.0 

Less:

Senior preferred stock 120.8 

Accumulated other comprehensive income (loss), net of taxes — 

Core capital (deficit) (56.8) 

Less: general allowance for foreclosure losses (11.5) 

Total capital (deficit) $ (45.3) 

Capital Activity

Under the terms governing the senior preferred stock, no dividends were payable to Treasury for the first quarter of 

2023 and none are payable for the second quarter of 2023. 

Under the terms governing the senior preferred stock, through and including the capital reserve end date, any increase 

in our net worth during a fiscal quarter results in an increase in the same amount of the aggregate liquidation preference 

of the senior preferred stock in the following quarter. The capital reserve end date is defined as the last day of the 

second consecutive fiscal quarter during which we have had and maintained capital equal to, or in excess of, all of the 

capital requirements and buffers under the enterprise regulatory capital framework.

MD&A | Liquidity and Capital Management

Fannie Mae First Quarter 2023 Form 10-Q 50
As a result of these terms governing the senior preferred stock, the aggregate liquidation preference of the senior 

preferred stock increased to $181.8 billion as of March 31, 2023, due to the $1.4 billion increase in our net worth in the 

fourth quarter of 2022. The aggregate liquidation preference of the senior preferred stock will further increase to 

$185.5 billion as of June 30, 2023, due to the $3.8 billion increase in our net worth in the first quarter of 2023. See 

“Business—Conservatorship and Treasury Agreements—Treasury Agreements” in our 2022 Form 10-K for more 

information on the terms of our senior preferred stock, including how the aggregate liquidation preference is determined.

Increases in our net worth improve our capital position and our ability to absorb losses; however, increases in our net 

worth also increase the aggregate liquidation preference of the senior preferred stock by the same amount until the 

capital reserve end date as discussed above.

Treasury Funding Commitment

Treasury made a commitment under the senior preferred stock purchase agreement to provide funding to us under 

certain circumstances if we have a net worth deficit. As of March 31, 2023, the remaining amount of Treasury’s funding 

commitment to us was $113.9 billion. See “Note 11, Equity” in our 2022 Form 10-K for more information on the funding 

commitment provided by Treasury under the senior preferred stock purchase agreement.

Risk Management

Our business activities expose us to the following major categories of risk: credit risk (including mortgage credit risk and 

institutional counterparty credit risk), market risk (including interest-rate risk), liquidity and funding risk, and operational 

risk (including cyber/information security risk, third-party risk and model risk), as well as strategic risk, compliance risk 

and reputational risk. We are also exposed to climate risk, which can manifest through our existing categories of risk, 

particularly credit risk. See “MD&A—Risk Management” in our 2022 Form 10-K for a discussion of our management of 

these risks. This section supplements and updates that discussion but does not address all of the risk management 

categories described in our 2022 Form 10-K. 

Market Risk Management, including Interest-Rate Risk Management

We are subject to market risk, which includes interest-rate risk and spread risk. These risks arise primarily from our 

mortgage asset investments. Interest-rate risk is the risk that movements in interest rates will adversely affect the value 

of our assets or liabilities or our future earnings or capital. Spread risk is the risk from changes in an instrument’s value 

that relate to factors other than changes in interest rates.

We are exposed to interest-rate risk through our “net portfolio,” which we define as our retained mortgage portfolio 

assets; our other investments portfolio; outstanding debt of Fannie Mae used to fund the retained mortgage portfolio 

assets and other investments portfolio; mortgage commitments; and risk management derivatives. Our goal is to 

manage interest-rate risk from our net portfolio to be neutral to changes in interest rates and volatility on an economic 

basis, subject to model constraints and prevailing market conditions. We actively manage the interest-rate risk of our net 

portfolio through the use of interest-rate derivatives and by issuing a broad range of both callable and non-callable debt 

instruments.

We are also exposed to interest-rate risk in connection with mortgage assets held by our consolidated MBS trusts. One 

exposure is cost basis adjustments that often result from upfront cash fees exchanged at the time of loan acquisition, 

which include buy-ups, buy-downs, and loan-level risk-based price adjustments. Another exposure is the float income 

earned by MBS trusts on the short-term reinvestment of loan payments received from borrowers in highly liquid 

investments with short maturities, such as U.S. Treasury securities. This float income is paid to us as trust management 

income and recorded within “Net interest income” in our condensed consolidated financial statements. We do not 

currently actively manage or hedge, on an economic basis, our spread risk or the interest-rate risk arising from cost 

basis adjustments and float income associated with mortgage assets held by our consolidated MBS trusts.

This section supplements and updates information regarding market risk management in our 2022 Form 10-K. See 

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

Market and Industry Risk” in our 2022 Form 10-K for additional information, including our sources of interest-rate risk 

exposure, business risks posed by changes in interest rates, and our strategy for managing interest-rate risk. For 

additional information on the impact of interest-rate risk on our earnings, see “Earnings Exposure to Interest-Rate Risk” 

below.

MD&A | Liquidity and Capital Management

Fannie Mae First Quarter 2023 Form 10-Q 51
Measurement of Interest-Rate Risk

The table below displays the pre-tax market value sensitivity of our net portfolio to changes in the level of interest rates 

and the slope of the yield curve as measured on the last day of each period presented. The table below also provides 

the daily average, minimum, maximum and standard deviation values for duration gap and for the most adverse market 

value impact on the net portfolio to changes in the level of interest rates and the slope of the yield curve for the three 

months ended March 31, 2023 and 2022. Our practice is to allow interest rates to go below zero in the downward shock 

models unless otherwise prevented through contractual floors. 

For information on how we measure our interest-rate risk, see “MD&A—Risk Management—Market Risk Management, 

including Interest-Rate Risk Management” in our 2022 Form 10-K.

Interest-Rate Sensitivity of Net Portfolio to Changes in Interest-Rate Level and Slope of Yield 

Curve

As of(1)(2)

March 31, 2023 December 31, 2022

(Dollars in millions)

Rate level shock:

-100 basis points $ 7 $ (10) 

-50 basis points 12 5 

+50 basis points (18) (14) 

+100 basis points (35) (35) 

Rate slope shock:

-25 basis points (flattening) (8) (8) 

+25 basis points (steepening) 8 10 

For the Three Months Ended March 31,(1)(3)

2023 2022

Duration 

Gap

Rate Slope 

Shock 25 bps

Rate Level 

Shock 50 bps

Duration 

Gap

Rate Slope 

Shock 25 bps

Rate Level 

Shock 50 bps

Market Value Sensitivity Market Value Sensitivity

(In years) (Dollars in millions) (In years) (Dollars in millions)

Average 0.02 $ (14) $ (26) (0.04) $ (8) $ (62) 

Minimum (0.01) (19) (50) (0.10) (31) (133) 

Maximum 0.05 (8) (5) 0.02 (3) (15) 

Standard deviation 0.01 4 12 0.03 4 27 

(1) Computed based on changes in U.S. LIBOR interest-rates swap curve. Changes in the level of interest rates assume a parallel shift in all 

maturities of the U.S. LIBOR interest-rate swap curve. Changes in the slope of the yield curve assume a constant 7-year rate, a shift of 

16.7 basis points for the 1-year rate (and shorter tenors) and an opposite shift of 8.3 basis points for the 30-year rate. Rate shocks for 

remaining maturity points are interpolated. 

(2) Measured on the last business day of each period presented. 

(3) Computed based on daily values during the period presented.

The market value sensitivity of our net portfolio varies across a range of interest-rate shocks depending upon the 

duration and convexity profile of our net portfolio. The market value sensitivity of the net portfolio is measured by 

quantifying the change in the present value of the cash flows of our financial assets and liabilities that would result from 

an instantaneous shock to interest rates, assuming spreads are held constant. For the subset of floating-rate liabilities 

and assets that are indexed to LIBOR or SOFR, the interest component of their future cash flows is calculated using the 

projection of the corresponding index rate. For all assets and liabilities, the discount factor used to calculate the present 

value of the future cash flows is constructed using the LIBOR yield curve.

LIBOR rate quotes will cease on June 30, 2023, and after that date the interest accrued on floating-rate instruments that 

are contractually indexed to LIBOR will reset based on SOFR. We are currently in the process of transitioning our 

portfolio interest-rate risk measurement process from LIBOR to SOFR as the benchmark interest rate. This change is 

not expected to have a significant impact on the measurement of our interest-rate risk or our financial results.

MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 52
We use derivatives to help manage the residual interest-rate risk exposure between the assets and liabilities in our net 

portfolio. Derivatives have enabled us to keep our economic interest-rate risk exposure at consistently low levels in a 

wide range of interest-rate environments. The table below displays an example of how derivatives impacted the net 

market value exposure for a 50 basis point parallel interest-rate shock. For additional information on our derivative 

positions, see “Note 8, Derivative Instruments” in our 2022 Form 10-K and in this report.

Derivative Impact on Interest-Rate Risk (50 Basis Points)

As of(1)

March 31, 2023 December 31, 2022

(Dollars in millions)

Before derivatives $ (233) $ (177) 

After derivatives (18) (14) 

Effect of derivatives 215 163 

(1) Measured on the last business day of each period presented.

Earnings Exposure to Interest-Rate Risk

While we manage the interest-rate risk of our net portfolio with the objective of remaining neutral to movements in 

interest rates and volatility on an economic basis, our earnings can experience volatility due to interest-rate changes 

and differing accounting treatments that apply to certain financial instruments on our balance sheet. Specifically, we 

have exposure to earnings volatility that is driven by changes in interest rates in two primary areas: our net portfolio and 

our consolidated MBS trusts. The exposure in the net portfolio is primarily driven by changes in the fair value of risk 

management derivatives, mortgage commitments, and certain assets, primarily securities, that are carried at fair value. 

The exposure related to our consolidated MBS trusts relates to changes in our credit loss reserves and to the 

amortization of cost basis adjustments resulting from changes in interest rates.

We apply fair value hedge accounting to address some of the exposure to interest rates, particularly the earnings 

volatility related to changes in benchmark interest rates, including LIBOR and SOFR. Our hedge accounting program is 

specifically designed to address the volatility of our financial results associated with changes in fair value related to 

changes in these benchmark interest rates. As such, earnings variability driven by other factors, such as spreads or 

changes in cost basis amortization recognized in net interest income, remains. In addition, our ability to effectively 

reduce earnings volatility is dependent upon the volume and type of interest-rate swaps available, which is driven by our 

interest-rate risk management strategy discussed above. As our range of available interest-rate swaps varies over time, 

our ability to reduce earnings volatility through hedge accounting may vary as well. When the shape of the yield curve 

shifts significantly from period to period, hedge accounting may be less effective. In our current program, we establish 

new hedging relationships daily to provide flexibility in our overall risk management strategy. 

See “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K and “Note 8, Derivative Instruments” in 

this report for additional information on our fair value hedge accounting policy and related disclosures.

Critical Accounting Estimates

The preparation of financial statements in accordance with generally accepted accounting principles in the United 

States of America (“GAAP”) requires management to make a number of judgments, estimates and assumptions that 

affect the reported amount of assets, liabilities, income and expenses in our condensed consolidated financial 

statements. Understanding our accounting policies and the extent to which we use management judgment and 

estimates in applying these policies is integral to understanding our financial statements. We describe our most 

significant accounting policies in “Note 1, Summary of Significant Accounting Policies” in this report and in our 2022 

Form 10-K.

We evaluate our critical accounting estimates and judgments required by our policies on an ongoing basis and update 

them as necessary based on changing conditions. Management has discussed any significant changes in judgments 

and assumptions in applying our critical accounting estimates with the Audit Committee of our Board of Directors. See 

“Risk Factors—General Risk” in our 2022 Form 10-K for a discussion of the risks associated with the need for 

management to make judgments and estimates in applying our accounting policies and methods. We have identified 

one of our accounting estimates, allowance for loan losses, as critical because it involves significant judgments and 

assumptions about highly complex and inherently uncertain matters, and the use of reasonably different judgments and 

assumptions could have a material impact on our reported results of operations or financial condition.

MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management

Fannie Mae First Quarter 2023 Form 10-Q 53
Allowance for Loan Losses

The allowance for loan losses is an estimate of single-family and multifamily HFI loan receivables that we expect will not 

be collected related to loans held by Fannie Mae or by consolidated Fannie Mae MBS trusts. The expected credit losses 

are deducted from the amortized cost basis of HFI loans to present the net amount expected to be received. 

The allowance for loan losses involves substantial judgment on a number of matters including the development and 

weighting of macroeconomic forecasts, the reversion period applied, the assessment of similar risk characteristics, 

which determines the historic loss experience used to derive probability of loan default, the valuation of collateral, and 

the determination of a loan’s remaining expected life. Our most significant judgments involved in estimating our 

allowance for loan losses relate to the macroeconomic data used to develop reasonable and supportable forecasts for 

key economic drivers, which are subject to significant inherent uncertainty. Most notably, for single-family, the model 

uses forecasted single-family home prices as well as a range of possible future interest rate environments, which drive 

prepayment speeds and impact the measurement of the economic concession provided on loans modified in

restructurings that were accounted for as TDRs. For multifamily, the model uses forecasted rental income and property 

valuations over the remaining life of each mortgage loan. In developing a reasonable and supportable forecast, the 

model simulates multiple paths of interest rates, rental income and property values based on current market conditions.

In future periods, changes in projected interest rates may not be as significant to our measurement of expected credit

losses. Pursuant to our adoption of ASU 2022-02 effective January 1, 2022, we prospectively discontinued TDR 

accounting and no longer measure the economic concession for loan modifications occurring on or after the adoption 

date. In addition, modifications to loans previously designated as TDRs that occur on or after January 1, 2022, are 

accounted for under this ASU and result in the elimination of any prior economic concession recorded in the allowance 

related to such loans. Although increases in interest rates were a meaningful driver of our credit-related expense in 

previous periods, we expect the decrease in the balance of loans that were previously designated as TDRs will reduce 

the sensitivity of our benefit (provision) for credit losses to interest rate volatility over time. See “Note 1, Summary of 

Significant Accounting Policies—New Accounting Guidance” in our 2022 Form 10-K for more information about ASU 

2022-02.

Quantitative Component

We use a discounted cash flow method to measure expected credit losses on our single-family mortgage loans and an 

undiscounted loss method to measure expected credit losses on our multifamily mortgage loans. The models use 

reasonable and supportable forecasts for key macroeconomic drivers. 

Our modeled loan performance is based on our historical experience of loans with similar risk characteristics adjusted to 

reflect current conditions and reasonable and supportable forecasts. Our historical loss experience and our loan loss 

estimates capture the possibility of a multitude of events, including remote events that could result in credit losses on 

loans that are considered low risk. Our credit loss models, including the macroeconomic forecast data used as key 

inputs, are subject to our model oversight and review processes as well as other established governance and controls. 

Qualitative Component

Our process for measuring expected credit losses is complex and involves significant management judgment, including 

a reliance on historical loss information and current economic forecasts that may not be representative of credit losses 

we ultimately realize. Management adjustments may be necessary to take into consideration external factors and 

current macroeconomic events that have occurred but are not yet reflected in the data used to derive the model outputs. 

Qualitative factors and events not previously observed by the models through historical loss experience may also be 

considered, as well as the uncertainty of their impact on credit loss estimates. 

Macroeconomic Variables and Sensitivities

Our benefit or provision for credit losses can vary substantially from period to period based on forecasted 

macroeconomic drivers; primarily home prices and interest rates related to our single-family book of business, which for 

the purposes of macroeconomic model inputs, we have determined are the most significant judgments used in our 

estimation of credit losses. We develop regional forecasts for single-family home prices using a multi-path simulation 

that captures home price projections over a five-year period, which is the period for which we can develop reasonable 

and supportable forecasts. After the five-year period, the home price forecast reverts to a historical long-term growth 

rate. Additionally, our model projects the range of possible interest rate scenarios over the life of the loan. This process 

captures multiple possible outcomes of what could be more or less favorable economic environments for the borrower, 

and therefore will increase or decrease the likelihood of default or prepayment depending on the environment in each 

path of the simulation. 

MD&A | Critical Accounting Estimates

Fannie Mae First Quarter 2023 Form 10-Q 54
The table below provides information about our most significant key macroeconomic inputs used in determining our 

single-family allowance for loan losses: forecasted home price growth rates and interest rates. Although the model 

consumes a wide range of possible regional home price forecasts and interest rate scenarios that take into account 

inherent uncertainty, the forecasts below represent the mean path of those simulations used in determining the 

allowance for the quarter ended March 31, 2023, and for each quarter during the year ended December 31, 2022, and 

how those forecasts have changed between periods of estimate. Below we present the two succeeding periods used in 

our estimate of expected credit losses. The forecasts consider periods beyond those presented below. 

Select Single-Family Macroeconomic Model Inputs(1)

Forecasted home price growth (decline) rate by period of estimate:(2)

For the Full Year ending December 31,

2023 2024 2025

First Quarter 2023 (1.2) % (2.2) % (1.1) %

For the Full Year ending December 31,

2022 2023 2024

Fourth Quarter 2022 8.4 % (4.2) % (2.3) %

Third Quarter 2022 9.0 (1.5) (1.4) 

Second Quarter 2022 16.0 4.4 0.5 

First Quarter 2022 10.8 3.2 1.3 

Forecasted 30-year interest rates by period of estimate:(3)

Through the 

end of 

December 31,

For the Full Year ending 

December 31,

2023 2024 2025

First Quarter 2023 6.2 % 5.7 % 5.5 %

Through the 

end of 

December 31,

For the Full Year ending 

December 31,

2022 2023 2024

Fourth Quarter 2022 6.5 % 6.5 % 6.0 %

Third Quarter 2022 6.8 6.7 6.2 

Second Quarter 2022 5.7 5.4 5.2 

First Quarter 2022 4.7 4.8 4.7 

(1) These forecasts are provided here solely for the purpose of providing insight into our credit loss model. Forecasts for future periods are 

subject to significant uncertainty, which increases for periods that are further in the future. We provide our most recent forecasts for certain 

macroeconomic and housing market conditions in “Key Market Economic Indicators.” In addition, each month our Economic & Strategic 

Research group provides its forecast of economic and housing market conditions, which are available in the “About Us/Research and 

Insights” section of our website, www.fanniemae.com. Information on our website is not incorporated into this report.

(2) These estimates are based on our national home price index, which is calculated differently from the S&P/Case-Shiller U.S. National Home 

Price Index and therefore results in different percentages for comparable growth. We periodically update our home price growth estimates 

and forecasts as new data become available. As a result, the forecast data in this table may also differ from the forecasted home price 

growth (decline) rate presented in “Key Market Economic Indicators,” because that section reflects our most recent forecast as of the filing 

date of this report, while this table reflects the quantitative forecast data we used in our model to estimate credit losses for the periods 

shown. Management continues to monitor macroeconomic updates to our inputs in our credit loss model from the time they are approved 

as part of our established governance process to ensure the reasonableness of the inputs used to calculate estimated credit losses. The 

forecast data excludes the impact of any qualitative adjustments.

(3) Forecasted 30-year interest rates represent the mean of possible future interest rate environments that are simulated by our interest rate 

model and used in the estimation of credit losses. Forecasts through the end of December 31, 2023 and 2022 represent the average 

forecasted rate from the quarter-end through the calendar year end of December 31st. The fourth quarter of 2022 interest rate represents 

the 30-year interest rate as of December 31, 2022. This table reflects the forecasted interest rate data we used in estimating credit losses 

for the periods shown and does not reflect changes in interest rates that occurred after the forecast date. 

MD&A | Critical Accounting Estimates

Fannie Mae First Quarter 2023 Form 10-Q 55
It is difficult to estimate how potential changes in any one factor or input might affect the overall credit loss estimates, 

because management considers a wide variety of factors and inputs in estimating the allowance for loan losses. 

Changes in the factors and inputs considered may not occur at the same rate and may not be consistent across all 

geographies or loan types, and changes in factors and inputs may be directionally inconsistent, such that improvement 

in one factor or input may offset deterioration in others. Changes in our assumptions and forecasts of economic 

conditions could significantly affect our estimate of expected credit losses and lead to significant changes in the 

estimate from one reporting period to the next. 

As noted above, our allowance for loan losses is sensitive to changes in home prices and interest rate changes. To 

consider the impact of a hypothetical change in home prices, assuming a positive one-percentage point change in the 

home price growth rate for the first twelve months of the forecast, on a normalized basis, with all other factors held 

constant, the single-family allowance for loan losses as of March 31, 2023 would decrease by approximately 4%. 

Conversely, assuming a negative one-percentage point change in the home price growth rate for the first twelve months 

of the forecast, on a normalized basis, the single-family allowance for loan losses would increase by approximately 4%. 

To consider the impact of a hypothetical change in 30-year interest rates, assuming a 50-basis point increase in 

estimated 30-year interest rates, with all other factors held constant, the single-family allowance for loan losses as of 

March 31, 2023 would increase by approximately 2%. Conversely, assuming a 50-basis point decrease in 30-year 

interest rates, the single-family allowance for loan losses would decrease by approximately 2%.

These sensitivity analyses are hypothetical and are provided solely for the purpose of providing insight into our credit 

loss model inputs. In addition, sensitivities for home price and interest rate changes are non-linear. As a result, changes 

in these estimates are not incrementally proportional. The purpose of this analysis is to provide an indication of the 

impact of home price appreciation and 30-year interest rates on the estimate of the allowance for credit losses. For 

example, it is not intended to imply management’s expectation of future changes in our forecasts or any other variables 

that may change as a result.

We provide more detailed information on our accounting for the allowance for loan losses in “Note 1, Summary of 

Significant Accounting Policies” in our 2022 Form 10-K. See “Note 4, Allowance for Loan Losses” for additional 

information about our current period benefit (provision) for loan losses.

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

estimates, including a discussion of home price growth/decline rates and our home price forecast. Also see 

“Consolidated Results of Operations—Benefit (Provision) for Credit Losses” for information on how our home price 

forecast impacted our single-family benefit (provision) for credit losses.

Impact of Future Adoption of New Accounting Guidance

We identify and discuss the expected impact on our condensed consolidated financial statements of recently issued 

accounting guidance in “Note 1, Summary of Significant Accounting Policies.”

Forward-Looking Statements

This report includes statements that constitute forward-looking statements within the meaning of Section 21E of the 

Securities Exchange Act of 1934 (the “Exchange Act”). In addition, we and our senior management may from time to 

time make forward-looking statements in our other filings with the SEC, our other publicly available written statements, 

and orally to analysts, investors, the news media and others. Forward-looking statements often include words such as 

“expect,” “anticipate,” “intend,” “plan,” “believe,” “seek,” “estimate,” “forecast,” “project,” “would,” “should,” “could,” 

“likely,” “may,” “will” or similar words. Examples of forward-looking statements in this report include, among others, 

statements relating to our expectations regarding the following matters:

• our future financial performance and the factors that will affect such performance;

• our future aggregate liquidation preference and net worth;

• economic, mortgage market and housing market conditions (including expectations regarding economic 

recession, home price changes, unemployment rates, refinance volumes and interest rates), the factors that will 

affect those conditions, and the impact of those conditions on our business and financial results; 

• our business plans and strategies, and their impact;

• the effects of our credit risk transfer transactions;

• volatility in our financial results and the impact of hedge accounting on such volatility; 

MD&A | Critical Accounting Estimates

Fannie Mae First Quarter 2023 Form 10-Q 56
• the size and composition of our retained mortgage portfolio, and the factors that will affect them;

• the impact of the transition from LIBOR to SOFR on our measurement of interest-rate risk and financial results;

• the impact of legislation and regulation on our business or financial results;

• our payments to HUD and Treasury funds under the GSE Act;

• the risks to our business;

• the future credit performance of the loans in our guaranty book of business (including future loan delinquencies 

and foreclosures) and the factors that will affect such performance; 

• how we intend to meet our debt obligations and the factors that will affect our access to debt funding; and 

• our expectations relating to legal and regulatory actions and proceedings.

Forward-looking statements reflect our management’s current expectations, forecasts or predictions of future conditions, 

events or results based on various assumptions and management’s estimates of trends and economic conditions in the 

markets in which we are active and that otherwise impact our business plans. Forward-looking statements are not 

guarantees of future performance. By their nature, forward-looking statements are subject to significant risks and 

uncertainties and changes in circumstances. Our actual results and financial condition may differ, possibly materially, 

from the anticipated results and financial condition indicated in these forward-looking statements. 

There are a number of factors that could cause actual conditions, events or results to differ materially from those 

described in our forward-looking statements, including, among others, the following: 

• factors that will affect future economic conditions, including the persistence of inflationary pressures, the speed 

at which expected monetary policy tightening is adjusted and the risk of further financial market disruptions, 

including additional stress in the banking sector, which could further tighten bank credit conditions, dampen 

consumer and business confidence, and lead to reduced consumer spending, business investment, and hiring 

activity;

• the impact of stress in the banking sector on the financial condition and business activities of our 

counterparties, including stress on small and mid-sized banks and on banks with significant exposure to 

commercial real estate;

• defaults by one or more of our counterparties;

• uncertainty regarding our future, our exit from conservatorship and our ability to raise or earn the capital 

needed to meet our capital requirements; 

• significant challenges we face in retaining and hiring qualified executives and other employees; 

• the prevalence and severity of future COVID-19 outbreaks; the actions taken to contain the virus, or treat its 

impact, including government actions to mitigate the economic impact of the pandemic; borrower and renter 

behavior in response to the pandemic and its economic impact; the short-term and long-term impact of 

COVID-19 infections on the U.S. workforce; and future economic and operating conditions, including the 

economic impact of outbreaks or increases in the number or severity of COVID-19 cases;

• the impact of the senior preferred stock purchase agreement and the enterprise regulatory capital framework, 

as well as future legislative and regulatory requirements or changes, governmental initiatives, or executive 

orders affecting us, such as the enactment of housing finance reform legislation, including changes that limit 

our business activities or our footprint or impose new mandates on us; 

• actions by FHFA, Treasury, HUD, the Consumer Financial Protection Bureau, the SEC or other regulators,

Congress, the Executive Branch, or state or local governments that affect our business;

• a default by the United States government on its obligations;

• changes in the structure and regulation of the financial services industry; 

• the timing and level of, as well as regional variation in, home price changes; 

• future interest rates and credit spreads; 

• developments that may be difficult to predict, including: market conditions that result in changes in our 

amortization income from our guaranty book of business or changes in net interest income from our portfolios, 

fluctuations in the estimated fair value of our derivatives and other financial instruments that we mark to market 

through our earnings; and developments that affect our loss reserves, such as changes in interest rates, home 

prices or accounting standards, or events such as natural or other disasters, the emergence of widespread 

health emergencies or pandemics, or other disruptive or catastrophic events;

MD&A | Forward-Looking Statements

Fannie Mae First Quarter 2023 Form 10-Q 57
• uncertainties relating to the discontinuance of LIBOR, or other market changes that could impact the loans we 

own or guarantee or our MBS; 

• disruptions or instability in the housing and credit markets;

• the size and our share of the U.S. mortgage market and the factors that affect them, including population 

growth and household formation;

• growth, deterioration and the overall health and stability of the U.S. economy, including U.S. GDP, 

unemployment rates, personal income, inflation and other indicators thereof;

• changes in fiscal or monetary policy of the U.S. or other countries, and the impact of such changes on domestic 

and international financial markets; 

• our and our competitors’ future guaranty fee pricing and the impact of that pricing on our competitive 

environment and guaranty fee revenues; 

• the volume of mortgage originations;

• the size, composition, quality and performance of our guaranty book of business and retained mortgage 

portfolio; 

• the competitive environment in which we operate, including the impact of legislative, regulatory or other 

developments on levels of competition in our industry and other factors affecting our market share; 

• how long loans in our guaranty book of business remain outstanding; 

• the effectiveness of our business resiliency plans and systems;

• changes in the demand for Fannie Mae MBS, in general or from one or more major groups of investors;

• our conservatorship, including any changes to or termination (by receivership or otherwise) of the 

conservatorship and its effect on our business; 

• the investment by Treasury, including the impact of past or potential future changes to the terms of the senior 

preferred stock purchase agreement, and their effect on our business, including restrictions imposed on us by 

the terms of the senior preferred stock purchase agreement, the senior preferred stock, and the warrant, as 

well as the extent that these or other restrictions on our business and activities are applied to us through other 

mechanisms even if we cease to be subject to these agreements and instruments; 

• adverse effects from activities we undertake to support the mortgage market and help borrowers, renters, 

lenders and servicers; 

• actions we may be required to take by FHFA, in its role as our conservator or as our regulator, such as changes 

in the type of business we do, or actions relating to UMBS or our resecuritization of Freddie Mac-issued 

securities; 

• limitations on our business imposed by FHFA, in its role as our conservator or as our regulator; 

• our current and future objectives and activities in support of those objectives, including actions we may take to 

reach additional underserved borrowers or address barriers to sustainable housing opportunities and advance 

equity in housing finance; 

• the possibility that changes in leadership at FHFA or the Administration may result in changes that affect our 

company or our business;

• our reliance on Common Securitization Solutions, LLC (“CSS”), a limited liability company we own jointly with 

Freddie Mac, and the common securitization platform CSS operates for a majority of our single-family 

securitization activities; provisions in the CSS limited liability company agreement that permit FHFA to add 

members to the CSS Board of Managers, which may limit the ability of Fannie Mae and Freddie Mac to control 

decisions of the Board; and changes FHFA may require in our relationship with or in our support of CSS;

• a decrease in our credit ratings; 

• limitations on our ability to access the debt capital markets; 

• constraints on our entry into new credit risk transfer transactions;

• significant changes in forbearance, modification and foreclosure activity; 

• the volume and pace of any future nonperforming and reperforming loan sales and their impact on our results 

and serious delinquency rates; 

• changes in borrower behavior; 

MD&A | Forward-Looking Statements

Fannie Mae First Quarter 2023 Form 10-Q 58
• actions we may take to mitigate losses, and the effectiveness of our loss mitigation strategies, management of 

our REO inventory and pursuit of contractual remedies; 

• resolution or settlement agreements we may enter into with our counterparties; 

• our need to rely on third parties to fully achieve some of our corporate objectives; 

• our reliance on mortgage servicers; 

• changes in GAAP, guidance by the Financial Accounting Standards Board (“FASB”) and changes to our 

accounting policies; 

• changes in the fair value of our assets and liabilities; 

• the stability and adequacy of the systems and infrastructure that impact our operations, including ours and 

those of CSS, our other counterparties and other third parties; 

• the impact of interdependence between the single-family mortgage securitization programs of Fannie Mae and 

Freddie Mac in connection with UMBS;

• operational control weaknesses; 

• our reliance on models and future updates we make to our models, including the data and assumptions used 

by these models; 

• the effectiveness of our risk management processes and related controls, including those relating to climate 

risk and model risk;

• domestic and global political risks and uncertainties, including the impact of the Russian war in Ukraine and 

escalating tensions between China and Taiwan; 

• natural disasters, environmental disasters, terrorist attacks, widespread health emergencies or pandemics, 

infrastructure failures, or other disruptive or catastrophic events; 

• severe weather events, fires, floods or other climate change events or impacts, including those for which we 

may be uninsured or under-insured or that may affect our counterparties, and other risks resulting from climate 

change and efforts to address climate change and related risks;

• cyber attacks or other information security breaches or threats; and 

• the other factors described in “Risk Factors” in our 2022 Form 10-K.

Readers are cautioned not to unduly rely on the forward-looking statements we make and to place these forwardlooking statements into proper context by carefully considering the factors discussed in “Risk Factors” in our 2022 Form 

10-K. These forward-looking statements are representative only as of the date they are made, and we undertake no 

obligation to update any forward-looking statement as a result of new information, future events or otherwise, except as 

required under the federal securities laws. 

MD&A | Forward-Looking Statements

Fannie Mae First Quarter 2023 Form 10-Q 59
Item 1. Financial Statements

FANNIE MAE

(In conservatorship)

Condensed Consolidated Balance Sheets — (Unaudited)

(Dollars in millions)

As of

March 31, 

2023

December 31, 

2022

ASSETS

Cash and cash equivalents $ 60,330 $ 57,987 

Restricted cash and cash equivalents (includes $24,639 and $23,348, respectively, related to 

consolidated trusts) 30,507 29,854 

Securities purchased under agreements to resell (includes $5,500 and $3,475, respectively, related to 

consolidated trusts) 26,950 14,565 

Investments in securities, at fair value 51,089 50,825 

Mortgage loans:

Loans held for sale, at lower of cost or fair value 512 2,033 

Loans held for investment, at amortized cost:

Of Fannie Mae 51,645 52,081 

Of consolidated trusts 4,069,513 4,071,669 

 Total loans held for investment (includes $3,599 and $3,645, respectively, at fair value) 4,121,158 4,123,750 

Allowance for loan losses (11,335) (11,347) 

Total loans held for investment, net of allowance 4,109,823 4,112,403 

Total mortgage loans 4,110,335 4,114,436 

Advances to lenders 2,748 1,502 

Deferred tax assets, net 12,615 12,911 

Accrued interest receivable, net (includes $9,236 and $9,241 related to consolidated trusts and net of 

allowance of $68 and $111, respectively) 9,780 9,821 

Other assets 13,106 13,387 

Total assets $ 4,317,460 $ 4,305,288 

LIABILITIES AND EQUITY

Liabilities:

Accrued interest payable (includes $9,545 and $9,347, respectively, related to consolidated trusts) $ 10,182 $ 9,917 

Debt:

Of Fannie Mae (includes $1,132 and $1,161, respectively, at fair value) 139,164 134,168 

Of consolidated trusts (includes $15,972 and $16,260, respectively, at fair value) 4,091,602 4,087,720 

Other liabilities (includes $1,729 and $1,748, respectively, related to consolidated trusts) 12,463 13,206 

Total liabilities 4,253,411 4,245,011 

Commitments and contingencies (Note 13) — — 

Fannie Mae stockholders’ equity:

Senior preferred stock (liquidation preference of $181,776 and $180,339, respectively) 120,836 120,836 

Preferred stock, 700,000,000 shares are authorized—555,374,922 shares issued and outstanding 19,130 19,130 

Common stock, no par value, no maximum authorization—1,308,762,703 shares issued and 

1,158,087,567 shares outstanding 687 687 

Accumulated deficit (69,239) (73,011) 

Accumulated other comprehensive income 35 35 

Treasury stock, at cost, 150,675,136 shares (7,400) (7,400) 

Total stockholders’ equity (See Note 1: Senior Preferred Stock Purchase Agreement and Senior 

Preferred Stock for information on the related dividend obligation and liquidation preference) 64,049 60,277 

Total liabilities and equity $ 4,317,460 $ 4,305,288 

See Notes to Condensed Consolidated Financial Statements

 Financial Statements | Condensed Consolidated Balance Sheets

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 60
FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Operations and 

Comprehensive Income — (Unaudited)

(Dollars and shares in millions, except per share amounts) 

For the Three Months Ended 

March 31,

2023 2022

Interest income:

Investments in securities $ 981 $ 166 

Mortgage loans 32,137 27,142 

Other 452 32 

Total interest income 33,570 27,340 

Interest expense:

Short-term debt (119) (1) 

Long-term debt (26,665) (19,940) 

Total interest expense (26,784) (19,941) 

Net interest income 6,786 7,399 

Provision for credit losses (132) (240) 

Net interest income after provision for credit losses 6,654 7,159 

Investment losses, net (67) (102) 

Fair value gains, net 204 480 

Fee and other income 63 83 

Non-interest income 200 461 

Administrative expenses:

Salaries and employee benefits (480) (407) 

Professional services (184) (209) 

Other administrative expenses (204) (192) 

Total administrative expenses (868) (808) 

TCCA fees (855) (824) 

Credit enhancement expense (341) (278) 

Change in expected credit enhancement recoveries 120 60 

Other expenses, net (130) (197) 

Total expenses (2,074) (2,047) 

Income before federal income taxes 4,780 5,573 

Provision for federal income taxes (1,008) (1,165) 

Net income 3,772 4,408 

Other comprehensive loss — (7) 

Total comprehensive income $ 3,772 $ 4,401 

Net income $ 3,772 $ 4,408 

Dividends distributed or amounts attributable to senior preferred stock (3,772) (4,401) 

Net income attributable to common stockholders $ — $ 7 

Earnings per share:

Basic $ 0.00 $ 0.00 

Diluted 0.00 0.00 

Weighted-average common shares outstanding:

Basic 5,867 5,867 

Diluted 5,867 5,893 

See Notes to Condensed Consolidated Financial Statements

 Financial Statements | Condensed Consolidated Statements of Operations and Comprehensive Income

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 61
FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Cash Flows — 

(Unaudited)

(Dollars in millions)

For the Three Months 

Ended March 31,

2023 2022

Net cash provided by operating activities $ 4,015 $ 3,358 

Cash flows provided by (used in) investing activities:

Purchases of loans held for investment (27,422) (95,844) 

Proceeds from repayments of loans acquired as held for investment of Fannie Mae 1,263 2,307 

Proceeds from sales of loans acquired as held for investment of Fannie Mae 1,539 — 

Proceeds from repayments and sales of loans acquired as held for investment of consolidated trusts 76,775 163,244 

Advances to lenders (22,571) (68,231) 

Proceeds from disposition of acquired property and preforeclosure sales 1,148 701 

Net change in securities purchased under agreements to resell (12,385) 2,836 

Other, net (778) (691) 

Net cash provided by investing activities 17,569 4,322 

Cash flows provided by (used in) financing activities:

Proceeds from issuance of debt of Fannie Mae 102,839 97,899 

Payments to redeem debt of Fannie Mae (98,333) (117,002) 

Proceeds from issuance of debt of consolidated trusts 53,102 180,031 

Payments to redeem debt of consolidated trusts (76,196) (188,258) 

Net cash used in financing activities (18,588) (27,330) 

Net increase (decrease) in cash, cash equivalents and restricted cash and cash equivalents 2,996 (19,650) 

Cash, cash equivalents and restricted cash and cash equivalents at beginning of period 87,841 108,631 

Cash, cash equivalents and restricted cash and cash equivalents at end of period $ 90,837 $ 88,981 

Cash paid during the period for:

Interest $ 27,190 $ 24,475 

Income taxes — — 

See Notes to Condensed Consolidated Financial Statements

 Financial Statements | Condensed Consolidated Statements of Cash Flows

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 62
FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Changes in 

Equity — (Unaudited)

(Dollars and shares in millions)

Fannie Mae Stockholders’ Equity

Shares Outstanding

Senior

Preferred 

Stock

Preferred

Stock

Common

Stock

Accumulated

Deficit

Accumulated 

Other

Comprehensive

Income

Treasury

Stock

Total

Equity

Senior

Preferred Preferred Common

Balance as of December 31, 2022 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (73,011) $ 35 $ (7,400) $ 60,277 

Comprehensive income:

Net income — — — — — — 3,772 — — 3,772 

Other comprehensive income, net of tax effect:

Changes in net unrealized gains on availablefor-sale securities (net of taxes of $0) — — — — — — — 2 — 2 

Other (net of taxes of $0) — — — — — — — (2) — (2) 

Total comprehensive income 3,772 

Balance as of March 31, 2023 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (69,239) $ 35 $ (7,400) $ 64,049 

Fannie Mae Stockholders’ Equity

Shares Outstanding

Senior

Preferred 

Stock

Preferred

Stock

Common

Stock

Accumulated

Deficit

Accumulated 

Other

Comprehensive

Income

Treasury

Stock

Total

Equity

Senior

Preferred Preferred Common

Balance as of December 31, 2021 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (85,934) $ 38 $ (7,400) $ 47,357 

Comprehensive income:

Net income — — — — — — 4,408 — — 4,408 

Other comprehensive income, net of tax effect:

Changes in net unrealized gains on availablefor-sale securities (net of taxes of $2) — — — — — — — (9) — (9) 

Reclassification adjustment for gains included 

in net income (net of taxes of $1) — — — — — — — 4 — 4 

Other (net of taxes of $1) — — — — — — — (2) — (2) 

Total comprehensive income 4,401 

Balance as of March 31, 2022 1 556 1,158 $ 120,836 $ 19,130 $ 687 $ (81,526) $ 31 $ (7,400) $ 51,758 

See Notes to Condensed Consolidated Financial Statements

Financial Statements | Condensed Consolidated Statements of Changes in Equity

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 63
FANNIE MAE

(In conservatorship)

Notes to Condensed Consolidated Financial Statements

(Unaudited)

1. Summary of Significant Accounting Policies

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

corporation organized as a government-sponsored entity (“GSE”) and existing under the Federal National Mortgage 

Association Charter Act (the “Charter Act” or our “charter”). We were chartered by Congress to provide liquidity and 

stability to the residential mortgage market and to promote access to mortgage credit. Our regulators include the 

Federal Housing Finance Agency (“FHFA”), the U.S. Department of Housing and Urban Development (“HUD”), the U.S. 

Securities and Exchange Commission (“SEC”) and the U.S. Department of the Treasury (“Treasury”). The U.S. 

government does not guarantee our securities or other obligations. 

We have been under conservatorship, with FHFA acting as conservator, since September 6, 2008. See below and “Note 

1, Summary of Significant Accounting Policies” in our annual report on Form 10-K for the year ended December 31, 

2022 (“2022 Form 10-K”) for additional information on our conservatorship and the impact of U.S. government support 

of our business.

The unaudited interim condensed consolidated financial statements as of and for the three months ended March 31, 

2023 and related notes should be read in conjunction with our audited consolidated financial statements and related 

notes included in our 2022 Form 10-K. 

Basis of Presentation 

The accompanying unaudited interim condensed consolidated financial statements have been prepared in accordance 

with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial information 

and with the SEC’s instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the 

information and note disclosures required by GAAP for complete consolidated financial statements. In the opinion of 

management, all adjustments of a normal recurring nature considered necessary for a fair presentation have been 

included. The accompanying condensed consolidated financial statements include our accounts as well as the accounts 

of other entities in which we have a controlling financial interest. All intercompany accounts and transactions have been 

eliminated. Results for the three months ended March 31, 2023 may not necessarily be indicative of the results for the 

year ending December 31, 2023.

Use of Estimates

Preparing condensed consolidated financial statements in accordance with GAAP requires management to make 

estimates and assumptions that affect our reported amounts of assets and liabilities and disclosure of contingent assets 

and liabilities as of the dates of our condensed consolidated financial statements, as well as our reported amounts of 

revenues and expenses during the reporting periods. Management has made significant estimates in a variety of areas 

including, but not limited to, the allowance for loan losses. Actual results could be different from these estimates.

Conservatorship

On September 7, 2008, the Secretary of the Treasury and the Director of FHFA announced several actions taken by 

Treasury and FHFA regarding Fannie Mae, which included: (1) placing us in conservatorship, with FHFA acting as our 

conservator, and (2) the execution of a senior preferred stock purchase agreement by our conservator, on our behalf, 

and Treasury, pursuant to which we issued to Treasury both senior preferred stock and a warrant to purchase common 

stock. 

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

Housing and Economic Recovery Act of 2008 (together, the “GSE Act”), the conservator immediately succeeded to (1) 

all rights, titles, powers and privileges of Fannie Mae, and of any stockholder, officer or director of Fannie Mae with 

respect to Fannie Mae and its assets, and (2) title to the books, records and assets of any other legal custodian of 

Fannie Mae. The conservator subsequently issued an order that provided for our Board of Directors to exercise 

specified functions and authorities. The conservator also provided instructions regarding matters for which conservator 

Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 64
decision or notification is required. The conservator retains the authority to amend or withdraw its order and instructions 

at any time.

The conservatorship has no specified termination date and there continues to be significant uncertainty regarding our 

future, including how long we will continue to exist in our current form, the extent of our role in the market, the level of 

government support of our business, how long we will be in conservatorship, what form we will have and what 

ownership interest, if any, our current common and preferred stockholders will hold in us after the conservatorship is 

terminated and whether we will continue to exist following conservatorship. Under the GSE Act, the Director of FHFA 

must place us into receivership if they make a written determination that our assets are less than our obligations or if we 

have not been paying our debts, in either case, for a period of 60 days. In addition, the Director of FHFA may place us 

into receivership at the Director’s discretion at any time for other reasons set forth in the GSE Act, including if we are 

critically undercapitalized or if we are undercapitalized and have no reasonable prospect of becoming adequately 

capitalized. Should we be placed into receivership, different assumptions would be required to determine the carrying 

value of our assets, which would likely lead to substantially different financial results. Treasury has made a commitment 

under the senior preferred stock purchase agreement to provide funding to us under certain circumstances if we have a 

net worth deficit. We are not aware of any plans of FHFA (1) to fundamentally change our business model, or (2) to 

reduce the aggregate amount available to or held by the company under our equity structure, which includes the senior 

preferred stock purchase agreement.

Senior Preferred Stock Purchase Agreement and Senior Preferred 

Stock

We discuss more fully our senior preferred stock and the terms of the senior preferred stock purchase agreement, as 

amended, including Treasury’s funding commitment, in “Note 11, Equity” in our 2022 Form 10-K.

Treasury has made a commitment under the senior preferred stock purchase agreement to provide funding to us under 

certain circumstances if we have a net worth deficit. Pursuant to the senior preferred stock purchase agreement, we 

have received a total of $119.8 billion from Treasury as of March 31, 2023, and the amount of remaining funding 

available to us under the agreement is $113.9 billion. We have not received any funding from Treasury under this 

commitment since the first quarter of 2018. We had positive net worth of $64.0 billion as of March 31, 2023.

The dividend provisions of the senior preferred stock permit us to retain increases in our net worth until our net worth 

exceeds the amount of adjusted total capital necessary for us to meet the capital requirements and buffers under the 

enterprise regulatory capital framework established by FHFA. 

The aggregate liquidation preference of the senior preferred stock increased to $181.8 billion as of March 31, 2023 due 

to the $1.4 billion increase in our net worth in the fourth quarter of 2022. The aggregate liquidation preference of the 

senior preferred stock will further increase to $185.5 billion as of June 30, 2023, due to the $3.8 billion increase in our 

net worth in the first quarter of 2023.

Related Parties

Treasury holds an investment in our senior preferred stock with a liquidation preference as discussed in “Senior 

Preferred Stock Purchase Agreement and Senior Preferred Stock” above, as well as a warrant to purchase shares of 

Fannie Mae common stock equal to 79.9% of the total number of shares of Fannie Mae common stock. Therefore, we 

and Treasury are deemed related parties.

FHFA’s control of both Fannie Mae and Freddie Mac has caused Fannie Mae, FHFA and Freddie Mac to be deemed 

related parties. Additionally, Fannie Mae and Freddie Mac jointly own Common Securitization Solutions, LLC (“CSS”), a 

limited liability company created to operate a common securitization platform; as a result, CSS is deemed a related 

party. As a part of our joint ownership, Fannie Mae, Freddie Mac and CSS are parties to a limited liability company 

agreement that sets forth the overall framework for the joint venture, including Fannie Mae’s and Freddie Mac’s rights 

and responsibilities as members of CSS. Fannie Mae, Freddie Mac and CSS are also parties to a customer services 

agreement that sets forth the terms under which CSS provides mortgage securitization services to us and Freddie Mac, 

including the operation of the common securitization platform, as well as an administrative services agreement. CSS 

operates as a separate company from us and Freddie Mac, with all funding and limited administrative support services 

and other resources provided to it by us and Freddie Mac.

In the ordinary course of business, Fannie Mae may purchase and sell securities issued by Treasury and Freddie Mac 

in the capital markets. Some of the structured securities we issue are backed in whole or in part by Freddie Mac 

securities. Fannie Mae and Freddie Mac each have agreed to indemnify the other party for losses caused by: its failure 

to meet its payment or other specified obligations under the trust agreements pursuant to which the underlying 

resecuritized securities were issued; its failure to meet its obligations under the customer services agreement; its 

Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 65
violations of laws; or with respect to material misstatements or omissions in offering documents, ongoing disclosures 

and materials relating to the underlying resecuritized securities. Additionally, we make regular income tax payments to 

and receive tax refunds from the Internal Revenue Service (“IRS”), a bureau of Treasury.

Transactions with Treasury

Treasury Making Home Affordable Program

Our administrative expenses were reduced by $3 million and $4 million for the three months ended March 31, 2023 and 

2022, respectively, due to reimbursements from Treasury and Freddie Mac for expenses incurred as program 

administrator for Treasury’s Home Affordable Modification Program (“HAMP”) and other initiatives under Treasury’s 

Making Home Affordable Program.

Obligation to Pay TCCA Fees to Treasury

In December 2011, Congress enacted the Temporary Payroll Cut Continuation Act of 2011 (“TCCA”) which, among other 

provisions, required that we increase our single-family guaranty fees by at least 10 basis points and remit this increase 

to Treasury. To meet our obligations under the TCCA and at the direction of FHFA, we increased the guaranty fee on all 

single-family residential mortgages delivered to us by 10 basis points in April 2012. The resulting fee revenue and 

expense are recorded in “Interest income: Mortgage loans” and “TCCA fees,” respectively, in our condensed 

consolidated statements of operations and comprehensive income.

In November 2021, the Infrastructure Investment and Jobs Act was enacted, which extended to October 1, 2032 our 

obligation under the TCCA to collect 10 basis points in guaranty fees on single-family residential mortgages delivered to 

us and pay the associated revenue to Treasury. In January 2022, FHFA advised us to continue to pay these TCCA fees 

to Treasury with respect to all single-family loans acquired by us before October 1, 2032, and to continue to remit these 

amounts to Treasury on and after October 1, 2032 with respect to loans we acquired before this date until those loans 

are paid off or otherwise liquidated.

We recognized TCCA fees of $855 million and $824 million for the three months ended March 31, 2023 and 2022, 

respectively, of which $855 million had not been remitted to Treasury as of March 31, 2023.

Treasury Interest in Affordable Housing Allocations 

The GSE Act requires us to set aside certain funding obligations, a portion of which is attributable to Treasury’s Capital 

Magnet Fund. These funding obligations are measured as the product of 4.2 basis points and the unpaid principal 

balance of our total new business purchases for the respective period, with 35% of this amount payable to Treasury’s 

Capital Magnet Fund. We recognized a total of $11 million and $38 million in “Other expenses, net” for the three months 

ended March 31, 2023 and 2022, respectively, in connection with Treasury’s Capital Magnet Fund, of which $11 million

has not been remitted as of March 31, 2023.

Transactions with FHFA

The GSE Act authorizes FHFA to establish an annual assessment for regulated entities, including Fannie Mae, which is 

payable on a semi-annual basis (April and October), for FHFA’s costs and expenses, as well as to maintain FHFA’s 

working capital. We recognized FHFA assessment fees, which are recorded in “Administrative expenses” in our 

condensed consolidated statements of operations and comprehensive income, of $39 million and $32 million for the 

three months ended March 31, 2023 and 2022, respectively.

Transactions with CSS and Freddie Mac

We contributed funds to CSS, the company we jointly own with Freddie Mac, of $26 million and $22 million for the three

months ended March 31, 2023 and 2022, respectively. Net operating losses associated with our investment in CSS are 

recorded in “Other expenses, net” in our condensed consolidated statements of operations and comprehensive income. 

Acquired Property, Net 

We recognize foreclosed property (i.e., “Acquired property, net”) upon the earlier of the loan foreclosure event or when 

we take physical possession of the property (i.e., through a deed-in-lieu of foreclosure transaction). We present 

foreclosed property in “Other assets” in our condensed consolidated balance sheets. We held $1.6 billion of acquired 

property, net as of March 31, 2023 and December 31, 2022.

Earnings per Share 

Earnings per share (“EPS”) is presented for basic and diluted EPS. We compute basic EPS by dividing net income 

attributable to common stockholders by the weighted-average number of shares of common stock outstanding during 

Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 66
the period. However, as a result of our conservatorship status and the terms of the senior preferred stock, no amounts 

would be available to distribute as dividends to common or preferred stockholders (other than to Treasury as the holder 

of the senior preferred stock). Net income attributable to common stockholders excludes amounts attributable to the 

senior preferred stock, which increases the liquidation preference as described above in “Senior Preferred Stock 

Purchase Agreement and Senior Preferred Stock.” Weighted average common shares include 4.7 billion shares for the 

periods ended March 31, 2023 and 2022 that would have been issued upon the full exercise of the warrant issued to 

Treasury from the date the warrant was issued through March 31, 2023 and 2022.

The calculation of diluted EPS includes all the components of basic earnings per share, plus the dilutive effect of 

common stock equivalents such as convertible securities and stock options. Weighted average shares outstanding is 

increased to include the number of additional common shares that would have been outstanding if the dilutive potential 

common shares had been issued. For the three months ended March 31, 2022, our diluted EPS weighted-average 

shares outstanding includes 26 million shares issuable upon the conversion of convertible preferred stock. For the three 

months ended March 31, 2023, convertible preferred stock is not included in the calculation because it would have an 

anti-dilutive effect. 

New Accounting Guidance

Fair Value Hedging - Portfolio Layer Method

On March 28, 2022, the FASB issued ASU 2022-01, Fair Value Hedging - Portfolio Layer Method, which clarifies the 

guidance on fair value hedge accounting of interest rate risk portfolios of financial assets. The ASU expands the scope 

of the previous last-of-layer method to allow entities to apply this method, renamed the portfolio layer method, to nonprepayable financial assets and to designate multiple hedge relationships within a single closed portfolio of financial 

assets. Additionally, the ASU clarifies that basis adjustments related to existing portfolio layer hedge relationships 

should not be allocated to the individual financial assets of the closed portfolio and should not be considered when 

measuring credit losses on those assets. Further, the ASU clarifies that any reversal of fair value hedge basis 

adjustments associated with an actual breach should be recognized in interest income immediately.

The ASU is effective for public business entities for fiscal years beginning after December 15, 2022, and interim periods 

within those years. The adoption of this guidance on January 1, 2023 did not have a material impact on our financial 

statements.

2. Consolidations and Transfers of Financial Assets

We have interests in various entities that are considered to be variable interest entities (“VIEs”). The primary types of 

entities are securitization and resecuritization trusts, limited partnerships and special purpose vehicles (“SPVs”). These 

interests include investments in securities issued by VIEs, such as Fannie Mae MBS created pursuant to our 

securitization transactions and our guaranty to the entity. We consolidate the substantial majority of our single-class 

securitization trusts because our role as guarantor and master servicer provides us with the power to direct matters 

(primarily the servicing of mortgage loans) that impact the credit risk to which we are exposed. In contrast, we do not 

consolidate single-class securitization trusts when other organizations have the power to direct these activities unless 

we have the unilateral ability to dissolve the trust. We also do not consolidate our resecuritization trusts unless we have 

the unilateral ability to dissolve the trust. The underlying assets of our resecuritization trusts include both Fannie Mae 

securities collateralized solely by mortgage loans held in consolidated trusts as well as uniform mortgage-backed 

securities (“UMBS®”) collateralized with securities issued by Fannie Mae or Freddie Mac. The mortgage loans that serve 

as collateral for Freddie Mac-issued securities are not held in trusts that are consolidated by Fannie Mae.

Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 67
Unconsolidated VIEs

We do not consolidate VIEs when we are not deemed to be the primary beneficiary. Our unconsolidated VIEs include 

securitization and resecuritization trusts, limited partnerships, and certain SPVs designed to transfer credit risk. The 

following table displays the carrying amount and classification of our assets and liabilities that relate to our involvement 

with unconsolidated securitization and resecuritization trusts.

As of

March 31, 2023 December 31, 2022

(Dollars in millions)

Assets and liabilities recorded in our condensed consolidated balance sheets 

related to unconsolidated mortgage-backed trusts:

Investments in securities, at fair value $ 2,992 $ 3,353 

Other assets 40 40 

Other liabilities (45) (45) 

Net carrying amount $ 2,987 $ 3,348 

Our maximum exposure to loss generally represents the greater of our carrying value in the entity or the unpaid 

principal balance of the assets covered by our guaranty. Our involvement in unconsolidated resecuritization trusts may 

give rise to additional exposure to loss depending on the type of resecuritization trust. Fannie Mae non-commingled 

resecuritization trusts are backed entirely by Fannie Mae MBS. These non-commingled single-class and multi-class 

resecuritization trusts are not consolidated and do not give rise to any additional exposure to loss as we already 

consolidate the underlying collateral. 

Fannie Mae commingled resecuritization trusts are backed in whole or in part by Freddie Mac securities. The guaranty 

that we provide to these commingled resecuritization trusts may increase our exposure to loss to the extent that we are 

providing a guaranty for the timely payment and interest on the underlying Freddie Mac securities that we have not 

previously guaranteed. Our maximum exposure to loss for these unconsolidated trusts is measured by the amount of 

Freddie Mac securities that are held in these resecuritization trusts. 

Our maximum exposure to loss related to unconsolidated securitization and resecuritization trusts, which includes but is 

not limited to our exposure to these Freddie Mac securities, was approximately $235 billion and $240 billion as of March 

31, 2023 and December 31, 2022, respectively. The total assets of our unconsolidated securitization and 

resecuritization trusts were approximately $241 billion and $240 billion as of March 31, 2023 and December 31, 2022, 

respectively.

The maximum exposure to loss for our unconsolidated limited partnerships and similar legal entities, which consist of 

low-income housing tax credit (“LIHTC”) investments, community investments and other entities, was $433 million and 

the related net carrying value was $429 million as of March 31, 2023. As of December 31, 2022, the maximum exposure 

to loss was $427 million and the related net carrying value was $424 million. The total assets of these limited 

partnership investments were $4.3 billion as of March 31, 2023 and December 31, 2022.

The maximum exposure to loss related to our involvement with unconsolidated SPVs that transfer credit risk represents 

the unpaid principal balance and accrued interest payable of obligations issued by the Connecticut Avenue Securities®

(“CAS”) and Multifamily Connecticut Avenue SecuritiesTM (“MCASTM”) SPVs. The maximum exposure to loss related to 

these unconsolidated SPVs was $18.1 billion and $16.9 billion as of March 31, 2023 and December 31, 2022, 

respectively. The total assets related to these unconsolidated SPVs were $18.2 billion and $17.0 billion as of March 31, 

2023 and December 31, 2022, respectively.

The unpaid principal balance of our multifamily loan portfolio was $436.3 billion as of March 31, 2023. As our lending 

relationship does not provide us with a controlling financial interest in the borrower entity, we do not consolidate these 

borrowers regardless of their status as either a VIE or a voting interest entity. We have excluded these entities from our 

VIE disclosures. However, the disclosures we have provided in “Note 3, Mortgage Loans,” “Note 4, Allowance for Loan 

Losses” and “Note 6, Financial Guarantees” with respect to this population are consistent with the FASB’s stated 

objectives for the disclosures related to unconsolidated VIEs.

Transfers of Financial Assets

We issue Fannie Mae MBS through portfolio securitization transactions by transferring pools of mortgage loans or 

mortgage-related securities to one or more trusts or special purpose entities. We are considered to be the transferor 

when we transfer assets from our own retained mortgage portfolio in a portfolio securitization transaction. For the three

months ended March 31, 2023 and 2022, the unpaid principal balance of portfolio securitizations was $28.3 billion and 

Notes to Condensed Consolidated Financial Statements | Consolidations and Transfers of Financial Assets

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 68
$102.8 billion, respectively. The substantial majority of these portfolio securitization transactions generally do not qualify 

for sale treatment. Portfolio securitization trusts that do qualify for sale treatment primarily consist of loans that are 

guaranteed or insured, in whole or in part, by the U.S. government.

We retain interests from the transfer and sale of mortgage-related securities to unconsolidated single-class and multiclass portfolio securitization trusts. As of March 31, 2023, the unpaid principal balance of retained interests was $875 

million and its related fair value was $1.4 billion. As of December 31, 2022, the unpaid principal balance of retained 

interests was $910 million and its related fair value was $1.4 billion. For the three months ended March 31, 2023 and 

2022, the principal, interest and other fees received on retained interests was $78 million and $114 million, respectively.

3. Mortgage Loans

We own single-family mortgage loans, which are secured by four or fewer residential dwelling units, and multifamily 

mortgage loans, which are secured by five or more residential dwelling units. We classify these loans as either held for 

investment (“HFI”) or held for sale (“HFS”). For purposes of our notes to the condensed consolidated financial 

statements, we report the amortized cost of HFI loans for which we have not elected the fair value option at the unpaid 

principal balance, net of unamortized premiums and discounts, hedge-related basis adjustments, other cost basis 

adjustments, and accrued interest receivable in these “Note 3, Mortgage Loans” disclosures. For purposes of our 

condensed consolidated balance sheets, we present accrued interest receivable, net separately from the amortized cost 

of our loans held for investment. We report the carrying value of HFS loans at the lower of cost or fair value and record 

valuation changes in “Investment losses, net” in our condensed consolidated statements of operations and 

comprehensive income.

For purposes of the single-family mortgage loan disclosures below, we display loans by class of financing receivable 

type. Financing receivable classes used for disclosure consist of: “20- and 30-year or more, amortizing fixed-rate,” “15-

year or less, amortizing fixed-rate,” “Adjustable-rate,” and “Other.” The “Other” class primarily consists of reverse 

mortgage loans, interest-only loans, negative-amortizing loans and second liens. 

The following table displays the carrying value of our mortgage loans and allowance for loan losses.

As of

March 31, 2023 December 31, 2022

(Dollars in millions)

Single-family $ 3,636,329 $ 3,644,158 

Multifamily 436,307 431,440 

Total unpaid principal balance of mortgage loans 4,072,636 4,075,598 

Cost basis and fair value adjustments, net 49,034 50,185 

Allowance for loan losses for HFI loans (11,335) (11,347) 

Total mortgage loans(1) $ 4,110,335 $ 4,114,436 

(1) Excludes $9.5 billion of accrued interest receivable, net of allowance as of March 31, 2023 and December 31, 2022.

Notes to Condensed Consolidated Financial Statements | Consolidations and Transfers of Financial Assets

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 69
The following table displays information about our purchase of HFI loans, redesignation of loans from HFI to HFS and 

the sales of mortgage loans during the period.

For the Three Months 

Ended March 31,

2023 2022

(Dollars in millions)

Purchase of HFI loans:

Single-family unpaid principal balance $ 67,467 $ 239,468 

Multifamily unpaid principal balance 10,235 16,009 

Single-family loans redesignated from HFI to HFS:

Amortized cost $ — $ 1,181 

Lower of cost or fair value adjustment at time of redesignation(1) — (13) 

Allowance reversed at time of redesignation — 63 

Single-family loans sold:

Unpaid principal balance $ 1,842 $ — 

Realized gains, net 17 — 

(1) Consists of the write-off against the allowance at the time of redesignation.

The amortized cost of single-family mortgage loans for which formal foreclosure proceedings were in process was $4.6 

billion as of March 31, 2023 and December 31, 2022. As a result of our various loss mitigation and foreclosure 

prevention efforts, we expect that a portion of the loans in the process of formal foreclosure proceedings will not 

ultimately foreclose.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 70
Aging Analysis

The following tables display an aging analysis of the total amortized cost of our HFI mortgage loans by portfolio 

segment and class of financing receivable, excluding loans for which we have elected the fair value option.

As of March 31, 2023

30 - 59 

Days 

Delinquent

60 - 89 

Days 

Delinquent

Seriously 

Delinquent(1)

Total 

Delinquent Current Total

Loans 90 

Days or 

More 

Delinquent 

and 

Accruing 

Interest

Nonaccrual 

Loans with 

No 

Allowance

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 21,710 $ 5,910 $ 18,512 $ 46,132 $ 3,110,579 $ 3,156,711 $ 6,929 $ 3,000 

15-year or less, 

amortizing 

fixed-rate 1,308 266 722 2,296 473,257 475,553 366 96 

Adjustable-rate 143 30 113 286 27,138 27,424 50 22 

Other(2) 538 154 801 1,493 28,915 30,408 310 287 

Total single-family 23,699 6,360 20,148 50,207 3,639,889 3,690,096 7,655 3,405 

Multifamily(3) 214 N/A 1,321 1,535 435,503 437,038 198 647 

Total $ 23,913 $ 6,360 $ 21,469 $ 51,742 $ 4,075,392 $ 4,127,134 $ 7,853 $ 4,052 

As of December 31, 2022

30 - 59 

Days 

Delinquent

60 - 89 

Days 

Delinquent

Seriously 

Delinquent(1)

Total 

Delinquent Current Total

Loans 90 

Days or 

More 

Delinquent 

and 

Accruing 

Interest

Nonaccrual 

Loans with 

No 

Allowance

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 27,891 $ 6,774 $ 19,990 $ 54,655 $ 3,092,199 $ 3,146,854 $ 13,257 $ 3,254 

15-year or less, 

amortizing 

fixed-rate 1,902 314 800 3,016 488,452 491,468 666 82 

Adjustable-rate 176 38 127 341 26,767 27,108 90 24 

Other(2) 660 179 898 1,737 30,362 32,099 424 324 

Total single-family 30,629 7,305 21,815 59,749 3,637,780 3,697,529 14,437 3,684 

Multifamily(3) 173 N/A 955 1,128 431,094 432,222 11 13 

Total $ 30,802 $ 7,305 $ 22,770 $ 60,877 $ 4,068,874 $ 4,129,751 $ 14,448 $ 3,697 

(1) Single-family seriously delinquent loans are loans that are 90 days or more past due or in the foreclosure process. Multifamily seriously 

delinquent loans are loans that are 60 days or more past due. 

(2) Reverse mortgage loans included in “Other” are not aged due to their nature and are included in the current column. 

(3) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.

Credit Quality Indicators and Write-offs by Year of Origination

The estimated mark-to-market loan-to-value (“LTV”) ratio is a primary factor we consider when estimating our allowance 

for loan losses for single-family loans. As a borrower’s LTV ratio increases, their equity in the home decreases, which 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 71
may negatively affect the borrower’s ability to refinance or to sell the property for an amount at or above the outstanding 

balance of the loan.

The following tables display information about the credit quality of our single-family HFI loans, based on total amortized 

cost. Effective January 1, 2023, we adopted amendments to ASU 2022-02 that require us to disclose current-period 

gross write-offs by year of origination for financing receivables. As a result, for the periods beginning January 1, 2023, 

the tables below includes current year write-offs of our single-family HFI mortgage loans by class of financing receivable 

and year of origination, excluding loans for which we have elected the fair value option.

Credit Quality Indicators as of March 31, 2023 and Write-offs For the Three Months 

Ended March 31, 2023, by Year of Origination(1)

2023 2022 2021 2020 2019 Prior Total

(Dollars in millions)

Estimated mark-to-market LTV ratio:(2)

20- and 30-year or more, amortizing fixed-rate:

Less than or equal to 80% $ 22,412 $ 279,467 $ 877,834 $ 806,520 $ 145,978 $ 703,955 $ 2,836,166 

Greater than 80% and less than or equal to 90% 6,625 94,815 87,316 6,836 1,293 1,682 198,567 

Greater than 90% and less than or equal to 100% 11,194 88,919 13,722 1,280 177 315 115,607 

Greater than 100% — 5,506 511 83 21 246 6,367 

Total 20- and 30-year or more, amortizing fixed-rate 40,231 468,707 979,383 814,719 147,469 706,198 3,156,707 

Current-period 20- and 30-year or more, 

 amortizing fixed-rate write-offs $ — $ 3 $ 10 $ 5 $ 2 $ 15 $ 35 

15-year or less, amortizing fixed-rate:

Less than or equal to 80% 1,494 37,382 180,495 130,210 19,451 103,939 472,971 

Greater than 80% and less than or equal to 90% 86 1,475 372 27 2 2 1,964 

Greater than 90% and less than or equal to 100% 79 509 20 1 — 1 610 

Greater than 100% — 6 — — — 2 8 

Total 15-year or less, amortizing fixed-rate 1,659 39,372 180,887 130,238 19,453 103,944 475,553 

Current-period 15-year or less, amortizing 

 fixed-rate write-offs — — — — — 1 1 

Adjustable-rate:

Less than or equal to 80% 349 4,093 6,239 1,812 796 11,533 24,822 

Greater than 80% and less than or equal to 90% 128 1,237 251 11 3 4 1,634 

Greater than 90% and less than or equal to 100% 97 816 28 1 — 1 943 

Greater than 100% — 24 1 — — — 25 

Total adjustable-rate 574 6,170 6,519 1,824 799 11,538 27,424 

Current-period adjustable-rate write-offs — — — — — — — 

Other:

Less than or equal to 80% — — — — 28 21,604 21,632 

Greater than 80% and less than or equal to 90% — — — — — 127 127 

Greater than 90% and less than or equal to 100% — — — — — 60 60 

Greater than 100% — — — — — 61 61 

Total other — — — — 28 21,852 21,880 

Current-period other write-offs — — — — — 4 4 

Total for all classes by LTV ratio:(2)

Less than or equal to 80% $ 24,255 $ 320,942 $ 1,064,568 $ 938,542 $ 166,253 $ 841,031 $ 3,355,591 

Greater than 80% and less than or equal to 90% 6,839 97,527 87,939 6,874 1,298 1,815 202,292 

Greater than 90% and less than or equal to 100% 11,370 90,244 13,770 1,282 177 377 117,220 

Greater than 100% — 5,536 512 83 21 309 6,461 

Total $ 42,464 $ 514,249 $ 1,166,789 $ 946,781 $ 167,749 $ 843,532 $ 3,681,564 

Total current-period write-offs $ — $ 3 $ 10 $ 5 $ 2 $ 20 $ 40 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 72
Credit Quality Indicators as of December 31, 2022, by Year of Origination(1)

2022 2021 2020 2019 2018 Prior Total

(Dollars in millions)

Estimated mark-to-market LTV ratio:(2)

20- and 30-year or more, amortizing fixed-rate:

Less than or equal to 80% $ 281,257 $ 896,977 $ 820,452 $ 149,067 $ 70,306 $ 651,297 $ 2,869,356 

Greater than 80% and less than or equal to 90% 84,864 86,335 5,904 1,152 618 1,062 179,935 

Greater than 90% and less than or equal to 100% 84,664 9,284 1,333 217 77 224 95,799 

Greater than 100% 1,230 208 56 18 12 240 1,764 

Total 20- and 30-year or more, amortizing fixed-rate 452,015 992,804 827,745 150,454 71,013 652,823 3,146,854 

15-year or less, amortizing fixed-rate:

Less than or equal to 80% 37,830 185,511 134,336 20,239 7,324 103,841 489,081 

Greater than 80% and less than or equal to 90% 1,363 410 33 3 — 2 1,811 

Greater than 90% and less than or equal to 100% 552 16 1 — — 1 570 

Greater than 100% 3 1 — — — 2 6 

Total 15-year or less, amortizing fixed-rate 39,748 185,938 134,370 20,242 7,324 103,846 491,468 

Adjustable-rate:

Less than or equal to 80% 3,971 6,383 1,865 821 906 11,226 25,172 

Greater than 80% and less than or equal to 90% 1,013 236 12 3 1 3 1,268 

Greater than 90% and less than or equal to 100% 645 21 — — 1 — 667 

Greater than 100% 1 — — — — — 1 

Total adjustable-rate 5,630 6,640 1,877 824 908 11,229 27,108 

Other:

Less than or equal to 80% — — — 29 222 22,103 22,354 

Greater than 80% and less than or equal to 90% — — — — 1 129 130 

Greater than 90% and less than or equal to 100% — — — — 1 56 57 

Greater than 100% — — — — — 57 57 

Total other — — — 29 224 22,345 22,598 

Total $ 497,393 $ 1,185,382 $ 963,992 $ 171,549 $ 79,469 $ 790,243 $ 3,688,028 

Total for all classes by LTV ratio:(2)

Less than or equal to 80% $ 323,058 $ 1,088,871 $ 956,653 $ 170,156 $ 78,758 $ 788,467 $ 3,405,963 

Greater than 80% and less than or equal to 90% 87,240 86,981 5,949 1,158 620 1,196 183,144 

Greater than 90% and less than or equal to 100% 85,861 9,321 1,334 217 79 281 97,093 

Greater than 100% 1,234 209 56 18 12 299 1,828 

Total $ 497,393 $ 1,185,382 $ 963,992 $ 171,549 $ 79,469 $ 790,243 $ 3,688,028 

(1) Excludes amortized cost of $8.5 billion and $9.5 billion as of March 31, 2023 and December 31, 2022, respectively, of mortgage loans 

guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies, which represents primarily reverse mortgages for 

which we do not calculate an estimated mark-to-market LTV ratio. For the three months ended March 31, 2023, it also excludes write-offs 

of $2 million, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies. Year of loan 

origination may not be the same as the period in which we subsequently acquired the loan.

(2) The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan divided by the estimated current 

value of the property as of the end of each reported period, which we calculate using an internal valuation model that estimates periodic 

changes in home value.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 73
The following tables display the total amortized cost of our multifamily HFI loans by year of origination and credit-risk 

rating, excluding loans for which we have elected the fair value option. Property rental income and property valuations 

are key inputs to our internally assigned credit risk ratings. For the periods beginning January 1, 2023, the tables below 

includes current year write-offs of our multifamily HFI mortgage loans by year of origination, excluding loans for which 

we have elected the fair value option.

Credit Quality Indicators as of March 31, 2023 and Write-offs for the Three Months 

Ended March 31, 2023, by Year of Origination(1)

2023 2022 2021 2020 2019 Prior Total

(Dollars in millions)

Internally assigned credit risk rating:

Pass(2) $ 8,098 $ 59,264 $ 62,849 $ 74,920 $ 59,164 $ 148,085 $ 412,380 

Special mention(3)

 — 8 99 82 24 293 506 

Substandard(4)

 — 2,238 2,278 1,692 2,905 15,035 24,148 

Doubtful(5)

 — — — — — 4 4 

Total $ 8,098 $ 61,510 $ 65,226 $ 76,694 $ 62,093 $ 163,417 $ 437,038 

Current-period write-offs $ — $ 3 $ — $ 1 $ — $ 233 $ 237 

Credit Quality Indicators as of December 31, 2022, by Year of Origination(1)

2022 2021 2020 2019 2018 Prior Total

(Dollars in millions)

Internally assigned credit risk rating:

Pass(2) $ 57,976 $ 64,165 $ 75,468 $ 59,507 $ 48,720 $ 103,772 $ 409,608 

Special mention(3) 11 41 128 55 54 306 595 

Substandard(4) 1,415 1,580 1,388 2,816 2,488 12,324 22,011 

Doubtful(5)

 — — — — 8 — 8 

Total $ 59,402 $ 65,786 $ 76,984 $ 62,378 $ 51,270 $ 116,402 $ 432,222 

(1) In the current period, we updated our presentation of credit quality indicators. Previously, “Pass” and “Special mention” were disclosed as 

“Non-classified,” and “Substandard” and “Doubtful” were disclosed as “Classified.” Prior periods have been updated to conform to the 

current period presentation. Year of loan origination may not be the same as the period in which we subsequently acquired the loan. 

(2) A loan categorized as “Pass” is current or is adequately protected by the current financial strength and debt service capability of the 

borrower. 

(3)

“Special mention” refers to loans that are otherwise performing but have potential weaknesses that, if left uncorrected, may result in 

deterioration in the borrower’s ability to repay in full.

(4) Loans classified as “Substandard” have a well-defined weakness that jeopardizes the timely full repayment. We had seniors housing loans 

with an amortized cost of $8.9 billion as of March 31, 2023 and $9.2 billion as of December 31, 2022 classified as substandard. 

(5) “Doubtful” refers to a loan with a weakness that makes collection or liquidation in full highly questionable and improbable based on existing 

conditions and values.

Loss Mitigation Options for Borrowers Experiencing Financial 

Difficulty

As part of our loss mitigation activities, we may agree to modify the contractual terms of a loan to a borrower 

experiencing financial difficulty. In addition to loan modifications, we also provide other loss mitigation options to assist 

borrowers who experience financial difficulties.

Below we provide disclosures relating to loan restructurings where borrowers were experiencing financial difficulty, 

including restructurings that resulted in an insignificant payment delay. The disclosures exclude loans classified as held 

for sale and those for which we have elected the fair value option. See “Note 1, Summary of Significant Accounting 

Policies” in our 2022 Form 10-K for additional information on our accounting policies for single-family and multifamily 

loans that have been restructured.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 74
Single-Family Loan Restructurings

We offer several types of restructurings to single-family borrowers that may result in a payment delay, interest rate 

reduction, term extension, or combination thereof. We do not typically offer principal forgiveness.

We offer the following types of restructurings to single-family borrowers that only result in a payment delay:

• A forbearance plan is a short-term loss mitigation option that grants a period of time (typically in 6-month 

increments and generally not in excess of a total of 12 months) during which the borrower’s monthly payment 

obligations are reduced or suspended. A forbearance plan does not impact our reporting of when a loan is 

considered past due, which remains based on the contractual terms of the loan. Borrowers may exit a 

forbearance plan by repaying all past due amounts to fully reinstate the loan, paying off the loan in full, or 

entering into another loss mitigation option, such as a repayment plan, a payment deferral, or a loan 

modification.

• A repayment plan is a short-term loss mitigation option that allows borrowers a specific period of time to return 

the loan to current status by paying the regular monthly payment plus additional agreed-upon delinquent 

amounts (generally for a period up to 12 months, and the monthly repayment plan amount must not exceed 

150% of the contractual mortgage payment). A repayment plan does not impact our reporting of when a loan is 

considered past due, which remains based on the contractual terms of the loan. At the end of the repayment 

plan, the borrower resumes making the regular monthly payment.

• A payment deferral is a loss mitigation option that defers the repayment of the delinquent principal and interest 

payments and other eligible default-related amounts that were advanced on behalf of the borrower by 

converting them into a non-interest-bearing balance due at the earlier of the payoff date, the maturity date, or 

sale or transfer of the property. The remaining mortgage terms, interest rate, payment schedule, and maturity 

date remain unchanged, and no trial period is required. The number of months of payments deferred varies 

based on the types of hardships the borrower is facing.

We also offer single-family borrowers loan modifications, which contractually change the terms of the loan. Our loan 

modification programs generally require completion of a trial period of three to four months during which the borrower 

makes reduced monthly payments prior to receiving the modification. During the trial period, the mortgage loan is not 

contractually modified and continues to be reported as past due according to its contractual terms. The reduced 

payments that are made by the borrower during the trial period will result in a payment delay with respect to the original 

contractual terms of the loan. After successful completion of the trial period, and the borrower’s execution of a 

modification agreement, the mortgage loan is contractually modified. 

Our loan modifications include the following concessions: 

• capitalization of past due amounts, a form of payment delay, which capitalizes interest and other eligible default 

related amounts that were advanced on behalf of the borrower that are past due into the unpaid principal 

balance; and 

• a term extension, which typically extends the contractual maturity date of the loan to 40 years from the effective 

date of the modification.

In addition to these concessions, loan modifications may also include an interest rate reduction, which reduces the 

contractual interest rate of the loan, or a principal forbearance, which is another form of payment delay that includes 

forbearing repayment of a portion of the principal balance as a non-interest bearing amount that is due at the earlier of 

the payoff date, the maturity date, or sale or transfer of the property. 

Multifamily Loan Restructurings

For multifamily borrowers, loan restructurings include short-term forbearance plans and loan modification programs, 

which primarily result in term extensions of up to one year with no change to the loan’s interest rate. In certain cases, 

we may make more significant modifications of terms for borrowers experiencing financial difficulty, such as reducing the 

interest rate, converting to interest-only payments, extending the maturity for longer than one year, providing principal 

forbearance, or some combination of these terms. 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 75
Restructurings for Borrowers Experiencing Financial Difficulty

The following tables display the amortized cost of HFI mortgage loans that were restructured during the period 

indicated, presented by portfolio segment and class of financing receivable. 

For the Three Months Ended March 31, 2023

Payment Delay (Only)

Forbearance 

Plan

Payment 

Deferral

Trial 

Modification 

and 

Repayment 

Plans

Payment 

Delay and 

Term 

Extension(1)

Payment 

Delay, Term 

Extension 

and Interest 

Rate 

Reduction(1) Total

Percentage 

of Total by 

Financing 

Class(2)

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 9,333 $ 3,661 $ 2,629 $ 1,778 $ 267 $ 17,668 1 %

15-year or less, 

amortizing 

fixed-rate 419 159 104 — — 682 *

Adjustable-rate 46 17 8 — 1 72 *

Other 121 51 67 35 29 303 1 

Total single-family 9,919 3,888 2,808 1,813 297 18,725 1 

Multifamily 572 — — — 570 1,142 *

Total(3) $ 10,491 $ 3,888 $ 2,808 $ 1,813 $ 867 $ 19,867 *

For the Three Months Ended March 31, 2022

Payment Delay (Only)

Forbearance 

Plan(4)

Payment 

Deferral

Trial 

Modification 

and 

Repayment 

Plans(4)

Payment 

Delay and 

Term 

Extension(1)

Payment 

Delay, Term 

Extension 

and Interest 

Rate 

Reduction(1) Total

Percentage 

of Total by 

Financing 

Class(2)

(Dollars in millions)

Single-family:

20- and 30-year 

or more, 

amortizing 

fixed-rate $ 15,662 $ 6,784 $ 5,858 $ 1,103 $ 4,547 $ 33,954 1 %

15-year or less, 

amortizing 

fixed-rate 803 394 239 — 1 1,437 *

Adjustable-rate 97 57 54 — 5 213 1 

Other 382 197 241 93 226 1,139 3 

Total single-family 16,944 7,432 6,392 1,196 4,779 36,743 1 

Multifamily 267 — — 29 — 296 *

Total(3) $ 17,211 $ 7,432 $ 6,392 $ 1,225 $ 4,779 $ 37,039 1 

* Represents less than 0.5% of total by financing class.

(1) Represents loans that received a contractual modification.

(2) Based on the amortized cost basis as of period end, divided by the period-end amortized cost basis of the corresponding class of financing 

receivable. 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 76
(3) Excludes loans that were the subject of loss mitigation activity during the period that paid off, were repurchased or sold prior to period end.

Also excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale. Loans may move from one 

category to another, as a result of the restructuring(s) they received during the period, in which case they appear in the table above only in 

the category that best reflects the cumulative effects of the loan restructurings received during the periods.

(4) We have updated the presentation of repayment plans for the three months ended March 31, 2022. Previously, repayment plans were 

included within the table as “Forbearance and Repayment Plans,” however we have reclassified these as component of “Trial Modification 

and Repayment Plans” to conform with the current year presentation.

Our estimate of future credit losses uses a lifetime methodology, derived from modeled loan performance based on

extensive historical experience of loans with similar risk characteristics, adjusted to reflect current conditions and 

reasonable and supportable forecasts. The historical loss experience used in our single-family and multifamily credit 

loss models includes the impact of the loss mitigation options provided to borrowers experiencing financial difficulty, and 

also includes the impact of projected loss severities as a result of a loan default.

The following tables summarize the financial impacts of loan modifications and payment deferrals for single-family HFI 

loans presented by class of financing receivable. The qualitative impact of forbearance plans, repayment plans, and trial 

modifications are discussed earlier in this footnote; these loss mitigation options are not included in the table below.

For the Three Months Ended March 31, 2023

Weighted-Average 

Interest Rate 

Reduction

Weighted-Average 

Term Extension 

(in Months)

Average Amount 

Capitalized as a 

Result of a 

Payment Delay(1) 

Loan by class of financing receivable(2):

20- and 30-year or more, amortizing fixed-rate 1.08 % 175 $ 16,984 

15-year or less, amortizing fixed-rate 0.74 54 14,558 

Adjustable-rate 2.00 — 15,629 

Other 1.54 185 20,269 

For the Three Months Ended March 31, 2022

Weighted-Average 

Interest Rate 

Reduction

Weighted-Average 

Term Extension 

(in Months)

Average Amount 

Capitalized as a 

Result of a 

Payment Delay(1) 

Loan by class of financing receivable(2):

20- and 30-year or more, amortizing fixed-rate 1.59 % 178 $ 23,146 

15-year or less, amortizing fixed-rate 0.88 52 20,664 

Adjustable-rate 0.22 — 24,838 

Other 1.62 186 24,759 

(1) Represents the average amount of delinquency-related amounts that were capitalized as part of the loan balance. Amounts are in whole 

dollars.

(2) Excludes the financial effects of modifications for loans that were paid off or otherwise liquidated as of period-end. 

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 77
The following table displays the amortized cost of HFI loans that defaulted during the period and had received a 

completed modification or payment deferral in the twelve months prior to the payment default. The substantial majority 

of loans that received a completed modification or a payment deferral during the first quarter of 2023 did not default 

during the period. For purposes of this disclosure, we define loans that had a payment default as single-family loans 

with completed modifications that are two or more months delinquent during the period; or multifamily loans with 

completed modifications that are one or more months delinquent during the period. For loans that receive a forbearance 

plan, repayment plan or trial modification, these loss mitigation options generally remain in default until the loan is no 

longer delinquent as a result of the payment of all past-due amounts or as a result of a loan modification or payment 

deferral. Therefore, forbearance plans, repayment plans and trial modifications are not included in default tables below.

For the Three Months Ended March 31, 2023

Payment Delay 

as a Result of a 

Payment 

Deferral (Only)

Payment Delay 

and Term 

Extension

Payment Delay, 

Term Extension 

and Interest 

Rate Reduction Total

(Dollars in millions)

Single-family:

20- and 30-year or more, amortizing fixed-rate $ 766 $ 200 $ 284 $ 1,250 

15-year or less, amortizing fixed-rate 27 — — 27 

Adjustable-rate 3 — 1 4 

Other 14 4 14 32 

Total single-family 810 204 299 1,313 

 Multifamily — — — — 

Total loans that subsequently defaulted(1) $ 810 $ 204 $ 299 $ 1,313 

(1) Represents amortized cost as of period end. Excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a 

short sale.

The substantial majority of loans that received a completed modification or payment deferral on or after January 1, 

2022, the date we adopted ASU 2022-02, through March 31, 2022 did not default during the first quarter of 2022. See 

“Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K for additional information about our 

adoption of ASU 2022-02.

The following table displays an aging analysis of HFI mortgage loans that were restructured during the twelve months 

prior to March 31, 2023, presented by portfolio segment and class of financing receivable.

As of March 31, 2023(1)

30-59 Days 

Delinquent 

60-89 Days 

Delinquent(2)

Seriously 

Delinquent 

Total 

Delinquent Current Total 

(Dollars in millions)

Single-family:

20- and 30-year or more, 

amortizing fixed-rate $ 3,061 $ 2,180 $ 12,376 $ 17,617 $ 22,071 $ 39,688 

15-year or less, amortizing 

fixed-rate 104 83 479 666 744 1,410 

Adjustable-rate 15 9 58 82 78 160 

Other 79 45 293 417 532 949 

Total single-family loans 

modified 3,259 2,317 13,206 18,782 23,425 42,207 

 Multifamily — N/A 638 638 594 1,232 

Total loans restructured(3) $ 3,259 $ 2,317 $ 13,844 $ 19,420 $ 24,019 $ 43,439 

(1) The substantial majority of loans that received a completed modification or a payment deferral during the first quarter of 2023 were not 

delinquent.

(2) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.

(3) Represents the amortized cost basis of the loan as of period end.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 78
The following table displays an aging analysis of HFI mortgage loans that entered into a forbearance plan, repayment 

plan or trial modification on or after January 1, 2022, the date we adopted ASU 2022-02, through March 31, 2022 

presented by portfolio segment and class of financing receivable. The substantial majority of loans that received a 

completed modification or a payment deferral during the first quarter of 2022 were not delinquent. 

As of March 31, 2022

30-59 Days 

Delinquent 

60-89 Days 

Delinquent(1)

Seriously 

Delinquent 

Total 

Delinquent Current Total 

(Dollars in millions)

Single-family:

20- and 30-year or more, 

amortizing fixed-rate $ 1,765 $ 2,048 $ 16,040 $ 19,853 $ 1,667 $ 21,520 

15-year or less, amortizing 

fixed-rate 98 108 715 921 121 1,042 

Adjustable-rate 8 9 119 136 15 151 

Other 35 42 507 584 39 623 

Total single-family loans 

modified 1,906 2,207 17,381 21,494 1,842 23,336 

 Multifamily — N/A 243 243 24 267 

Total loans restructured(2) $ 1,906 $ 2,207 $ 17,624 $ 21,737 $ 1,866 $ 23,603 

(1) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.

(2) Represents the amortized cost basis of the loan as of period end.

Nonaccrual Loans

We recognize interest income on an accrual basis except when we believe the collection of principal and interest is not 

reasonably assured. This generally occurs when a single-family loan is three or more months past due and a multifamily 

loan is two or more months past due according to its contractual terms. A loan is reported as past due if a full payment 

of principal and interest is not received within one month of its due date. When a loan is placed on nonaccrual status 

based on delinquency status, interest previously accrued but not collected on the loan is reversed through interest 

income.

We have generally elected not to measure an allowance for credit losses on accrued interest receivable balances as we 

have a nonaccrual policy to ensure the timely reversal of unpaid accrued interest. See “Note 4, Allowance for Loan 

Losses” for additional information about our current-period provision for loan losses. 

For single-family loans, we recognize any contractual interest payments received on the loan while on nonaccrual status 

as interest income on a cash basis. For multifamily loans we apply any payment received on a cost recovery basis to 

reduce the amortized cost of the mortgage loan. Thus, we do not recognize any interest income on a multifamily loan 

placed on nonaccrual status until the amortized cost of the loan has been reduced to zero. Cost basis adjustments on 

held-for-investment loans are amortized into interest income over the contractual life of the loan using the effective 

interest method. No amortization is recognized during periods in which the loan is on non-accrual status. 

A nonaccrual loan is returned to accrual status when the collectability of principal and interest in full is reasonably 

assured. We generally determine that collectability is reasonably assured when the loan returns to current payment 

status. If a loan is restructured for a borrower experiencing financial difficulty, we require a performance period of up to 6 

months before we return the loan to accrual status. Upon a loan’s return to accrual status, we resume the recognition of 

interest income and the amortization of cost basis adjustments, if any, into interest income. If interest is capitalized 

pursuant to a restructuring, any capitalized interest that had not been previously recognized as interest income or that 

had been reversed through interest income when the loan was placed on nonaccrual status is recorded as a discount to 

the loan and amortized over the remaining contractual life of the loan.

For single-family loans negatively impacted by the COVID-19 pandemic that were three or more months past due as of 

December 31, 2022, we continue to recognize interest income for up to six months of delinquency provided that the loan 

was either current as of March 1, 2020, or originated after March 1, 2020. We continue to accrue interest income 

beyond six months of delinquency provided that the collection of principal and interest continues to be reasonably 

assured. For multifamily loans that are in a COVID-19 forbearance arrangement on December 31, 2022, we continue to 

recognize interest income for up to six months of delinquency and then place them on nonaccrual status when the 

borrower is six months past due.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 79
For loans that are subject to the COVID-19-related nonaccrual policy, we establish a valuation allowance for expected 

credit losses on the accrued interest receivable balance applying the process that we have established for both singlefamily and multifamily loans. The credit expense related to this valuation allowance is classified as a component of the 

provision for credit losses. Accrued interest receivable is written off when the amount is deemed to be uncollectible. 

Loans that are in active forbearance arrangements are not evaluated for write-off. 

The table below displays the accrued interest receivable written off through the reversal of interest income for 

nonaccrual loans. 

For the Three Months Ended March 31,

2023 2022

(Dollars in millions)

Accrued interest receivable written off through the reversal of interest income:

Single-family $ 79 $ 17 

Multifamily 2 1 

The tables below include the amortized cost of and interest income recognized on our HFI single-family and multifamily 

loans on nonaccrual status by class, excluding loans for which we have elected the fair value option. 

As of

For the Three Months 

March 31, 2023 December 31, 2022 Ended March 31, 2023

Amortized Cost

Total Interest Income 

Recognized(1)

(Dollars in millions)

Single-family:

20- and 30-year or more, amortizing fixed-rate $ 14,172 $ 9,447 $ 7 

15-year or less, amortizing fixed-rate 429 200 — 

Adjustable-rate 75 53 — 

Other 601 617 2 

Total single-family 15,277 10,317 9 

Multifamily 1,541 2,200 29 

Total nonaccrual loans $ 16,818 $ 12,517 $ 38 

As of

For the Three Months 

March 31, 2022 December 31, 2021 Ended March 31, 2022

Amortized Cost

Total Interest Income 

Recognized(1)

(Dollars in millions)

Single-family:

20- and 30-year or more, amortizing fixed-rate $ 13,692 $ 17,599 $ 47 

15-year or less, amortizing fixed-rate 331 430 1 

Adjustable-rate 84 107 — 

Other 913 1,101 3 

Total single-family 15,020 19,237 51 

Multifamily 1,258 1,259 5 

Total nonaccrual loans $ 16,278 $ 20,496 $ 56 

(1) Interest income recognized includes amortization of any deferred cost basis adjustments while the loan is performing and that is not 

reversed when the loan is placed on nonaccrual status. For loans negatively impacted by the COVID-19 pandemic, also includes amounts 

accrued but not collected prior to the loan being placed on nonaccrual status. For single-family, interest income recognized includes 

payments received on nonaccrual loans held as of period end.

Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 80
4. Allowance for Loan Losses

We maintain an allowance for loan losses for HFI loans held by Fannie Mae and by consolidated Fannie Mae MBS 

trusts, excluding loans for which we have elected the fair value option. When calculating our allowance for loan losses, 

we consider the unpaid principal balance, net of unamortized premiums and discounts, and other cost basis 

adjustments of HFI loans at the balance sheet date. We record write-offs as a reduction to our allowance for loan losses 

at the point of foreclosure, completion of a short sale, upon the redesignation of nonperforming and reperforming loans 

from HFI to HFS or when a loan is determined to be uncollectible.

The following table displays changes in our allowance for single-family loans, multifamily loans and total allowance for 

loan losses. The benefit or provision for loan losses excludes provision for accrued interest receivable losses, guaranty 

loss reserves and credit losses on available-for-sale (“AFS”) debt securities. Cumulatively, these amounts are 

recognized as “Provision for credit losses” in our condensed consolidated statements of operations and comprehensive 

income. 

For the Three Months Ended March 31,

2023 2022

(Dollars in millions)

Single-family allowance for loan losses:

Beginning balance $ (9,443) $ (4,950) 

Benefit (provision) for loan losses 4 (282) 

Write-offs 42 27 

Recoveries (76) (33) 

Other (6) (3) 

Ending balance $ (9,479) $ (5,241) 

Multifamily allowance for loan losses:

Beginning balance $ (1,904) $ (679) 

Benefit (provision) for loan losses (180) 28 

Write-offs 237 — 

Recoveries (9) (7) 

Ending balance $ (1,856) $ (658) 

Total allowance for loan losses:

Beginning balance $ (11,347) $ (5,629) 

Benefit (provision) for loan losses (176) (254) 

Write-offs 279 27 

Recoveries (85) (40) 

Other (6) (3) 

Ending balance $ (11,335) $ (5,899) 

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

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

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

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

the volume and pricing of loans redesignated from HFI to HFS. Our benefit or provision can also be impacted by 

updates to the models, assumptions, and data used in determining our allowance for loan losses.

Notes to Condensed Consolidated Financial Statements | Allowance for Loan Losses

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 81
We recognized a modest single-family benefit for loan losses in the first quarter of 2023, primarily driven by a benefit 

from actual and forecasted home price growth, substantially offset by a provision on newly acquired loans, as described 

in more detail below: 

• Benefit from actual and forecasted home price growth. During the first quarter of 2023, we observed modest 

actual home price appreciation. In addition, our updated 2023 home price forecast changed from our prior 

estimate, resulting in a lower estimate of home price declines for the year. Higher home prices decrease the 

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

estimate of losses and ultimately reduces our loss reserves and provision for loan losses.

• Provision on newly acquired loans. The portion of our single-family acquisitions consisting of purchase loans 

increased in the first quarter of 2023 compared with the first quarter of 2022. As we shift to more purchase 

loans, which generally have higher origination loan to value (“LTV”) ratios than refinance loans, the credit profile 

of our acquisitions weakens. In addition, the average original LTV ratio of purchase loans acquired in the first 

quarter of 2023 was higher than for purchase loan acquisitions in the first quarter of 2022. These factors drove 

a higher estimated risk of default and loss severity in the allowance and therefore a higher loan loss provision 

for those loans at the time of acquisition.

The primary factors that contributed to our single-family provision for loan losses in the first quarter of 2022 were a 

provision for higher actual and projected interest rates partially offset by a benefit from the release of economic 

concessions, as described in more detail below:

• Provision from actual and projected interest rates. Interest rates were higher as of March 31, 2022 compared 

with December 31, 2021. As mortgage rates increased, we expected a decrease in future prepayments on 

single-family loans, including modified loans accounted for as TDRs. Lower expected prepayments extended 

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

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

• Benefit from the release of economic concessions on loans previously designated as TDRs that received loss 

mitigation arrangements during the quarter. Pursuant to our adoption of accounting guidance ASU 2022-02, we 

removed from our allowance the prior economic concession recorded on a loan previously designated as a 

TDR when the loan was modified or received or extended a loss mitigation arrangement such as a forbearance 

plan, repayment plan or other loan workout during the period. See “Note 1, Summary of Significant Accounting 

Policies” in our 2022 Form 10-K for additional information about our adoption of ASU 2022-02.

The primary factors that contributed to our multifamily provision for loan losses for the first quarter of 2023 were:

• Provision for actual and projected economic data, which was primarily driven by decreases in multifamily actual 

and projected property values. This resulted in higher estimated LTV ratios, which increased our estimate of 

expected loan losses. 

• Provision relating to our multifamily seniors housing loans. In the first quarter of 2023, uncertainty related to our 

seniors housing loans remained elevated, including uncertainty related to adjustable-rate loans.

The impact of these factors was partially offset by the following, which reduced our multifamily provision for loan loss:

• Benefit from actual and projected interest rates. Actual and projected interest rates decreased as of March 31, 

2023 compared with December 31, 2022, which reduced the probability of default resulting in a benefit for loan 

losses.

Multifamily write-offs for the first quarter of 2023 were due to the write-off of a seniors housing portfolio. The seniors 

housing loans in our multifamily book have been disproportionately affected by the COVID-19 pandemic and ongoing 

economic trends, higher operating costs exacerbated by the increase in inflation, and higher short-term interest rates for 

adjustable-rate mortgages, resulting in increased costs for these borrowers.

In the first quarter of 2022, the multifamily benefit for loan losses was the result of a reduction in our loan loss reserves 

primarily due to strong multifamily market fundamentals. 

Notes to Condensed Consolidated Financial Statements | Allowance for Loan Losses

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 82
5. Investments in Securities

Trading Securities

Trading securities are recorded at fair value with subsequent changes in fair value recorded as “Fair value gains, net” in 

our condensed consolidated statements of operations and comprehensive income. The following table displays our 

investments in trading securities.

As of

March 31, 2023 December 31, 2022

(Dollars in millions)

 Mortgage-related securities (includes $410 million and $427 million, 

respectively, related to consolidated trusts) $ 2,852 $ 3,211 

Non-mortgage-related securities (includes $4.1 billion and $3.9 billion, 

respectively, pledged as collateral)(1) 47,558 46,918 

Total trading securities $ 50,410 $ 50,129 

(1) Primarily includes U.S. Treasury securities.

The following table displays information about our net trading gains (losses).

For the Three Months Ended March 31,

2023 2022

(Dollars in millions)

Net trading gains (losses) $ 746 $ (1,770) 

Net trading gains (losses) recognized in the period related to securities still 

held at period end 799 (1,714) 

Available-for-Sale Securities

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

comprehensive loss” and we recognize realized gains and losses from the sale of AFS securities in “Investment losses, 

net” in our condensed consolidated statements of operations and comprehensive income. We define the amortized cost 

basis of our AFS securities as unpaid principal balance, net of unamortized premiums and discounts, and other cost 

basis adjustments. We record an allowance for credit losses for AFS securities that reflects the impairment for credit 

losses, which are limited to the amount that fair value is less than the amortized cost. Impairment due to non-credit 

losses are recorded as unrealized losses within “Other comprehensive loss.”

The following tables display the amortized cost, allowance for credit losses, gross unrealized gains and losses in 

accumulated other comprehensive income (loss) (“AOCI”), and fair value by major security type for AFS securities.

As of March 31, 2023

Total 

Amortized 

Cost

Allowance 

for Credit 

Losses

Gross 

Unrealized 

Gains in 

AOCI

Gross 

Unrealized 

Losses in 

AOCI

Total Fair 

Value

(Dollars in millions)

Agency securities(1) $ 435 $ — $ 3 $ (24) $ 414 

Other mortgage-related securities 260 (3) 8 — 265 

Total $ 695 $ (3) $ 11 $ (24) $ 679 

Notes to Condensed Consolidated Financial Statements | Investments in Securities

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 83
As of December 31, 2022

Total 

Amortized 

Cost

Allowance 

for Credit 

Losses

Gross 

Unrealized 

Gains in 

AOCI

Gross 

Unrealized 

Losses in 

AOCI

Total Fair 

Value

(Dollars in millions)

Agency securities(1) $ 445 $ — $ 3 $ (22) $ 426 

Other mortgage-related securities 269 (3) 5 (1) 270 

Total $ 714 $ (3) $ 8 $ (23) $ 696 

(1) Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae.

Our Fannie Mae and other agency AFS securities consist of securities issued by us, Freddie Mac, or Ginnie Mae. The 

principal and interest on these securities are guaranteed by the issuing agency. We believe that the guaranty provided 

by the issuing agency, the support provided to the agencies by the U.S. government, the importance of the agencies to 

the liquidity and stability in the secondary mortgage market, and the long history of zero credit losses on agency 

mortgage-related securities are all indicators that there are currently no credit losses on these securities, even if the 

security is in an unrealized loss position. In addition, we generally hold these securities that are in an unrealized loss 

position to recovery. As a result, unless we intend to sell the security, we do not recognize an allowance for credit losses 

on agency mortgage-related securities. 

The following tables display additional information regarding gross unrealized losses and fair value by major security 

type for AFS securities in an unrealized loss position, excluding allowance for credit losses. 

As of

March 31, 2023 December 31, 2022

Less Than 12 

Consecutive Months

12 Consecutive 

Months or Longer

Less Than 12 

Consecutive Months

12 Consecutive 

Months or Longer

Gross 

Unrealized 

Losses in 

AOCI

Fair 

Value

Gross 

Unrealized 

Losses in 

AOCI

Fair 

Value

Gross 

Unrealized 

Losses in 

AOCI

Fair 

Value

Gross 

Unrealized 

Losses in 

AOCI

Fair 

Value

(Dollars in millions)

Agency securities $ (14) $ 144 $ (10) $ 155 $ (12) $ 161 $ (10) $ 159 

Other mortgage-related securities — — — — (1) 8 — — 

Total $ (14) $ 144 $ (10) $ 155 $ (13) $ 169 $ (10) $ 159 

There were no sales of AFS securities in the first quarter of 2023 or the first quarter of 2022. As a result, no gross 

realized gains (losses) or proceeds from sales were recognized in either period.

The following tables display net unrealized gains and losses on AFS securities and other amounts recorded within our 

accumulated other comprehensive income, net of tax.

As of 

March 31, 2023 December 31, 2022

(Dollars in millions)

 Net unrealized gains (losses) on AFS securities for which we have not recorded 

an allowance for credit losses $ (11) $ (13) 

Other 46 48 

Accumulated other comprehensive income $ 35 $ 35 

Notes to Condensed Consolidated Financial Statements | Investments in Securities

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 84
Maturity Information

The following table displays the amortized cost and fair value of our AFS securities by major security type and remaining 

contractual maturity, assuming no principal prepayments. The contractual maturity of mortgage-backed securities is not 

a reliable indicator of their expected life because borrowers generally have the right to prepay their obligations at any 

time.

As of March 31, 2023

Total 

Carrying 

Amount(1)

Total

Fair 

Value

One Year or Less

After One Year 

Through Five Years

After Five Years 

Through Ten Years After Ten Years

Net 

Carrying 

Amount(1)

Fair 

Value

Net 

Carrying 

Amount(1)

Fair 

Value

Net 

Carrying 

Amount(1)

Fair 

Value

Net 

Carrying 

Amount(1)

Fair 

Value

(Dollars in millions)

Agency securities $ 435 $ 414 $ — $ — $ 3 $ 3 $ 20 $ 19 $ 412 $ 392 

Other mortgage-related 

securities 257 265 1 1 16 17 16 17 224 230 

Total $ 692 $ 679 $ 1 $ 1 $ 19 $ 20 $ 36 $ 36 $ 636 $ 622 

(1) Net carrying amount consists of amortized cost, net of allowance for credit losses on AFS debt securities but does not include any 

unrealized fair value gains or losses.

We held no securities classified as held-to-maturity as of March 31, 2023 or December 31, 2022.

6. Financial Guarantees

We recognize a guaranty obligation for our obligation to stand ready to perform on our guarantees to unconsolidated 

trusts and other guaranty arrangements. These off-balance sheet guarantees expose us to credit losses primarily 

relating to the unpaid principal balance of our unconsolidated Fannie Mae MBS and other financial guarantees. The 

maximum remaining contractual term of our guarantees is 30 years; however, the actual term of each guaranty may be 

significantly less than the contractual term based on the prepayment characteristics of the related mortgage loans. We 

measure our guaranty reserve for estimated credit losses for off-balance sheet exposures over the contractual period 

for which they are exposed to the credit risk, unless that obligation is unconditionally cancellable by the issuer. 

As the guarantor of structured securities backed in whole or in part by Freddie Mac-issued securities, we extend our 

guaranty to the underlying Freddie Mac securities in our resecuritization trusts. However, Freddie Mac continues to 

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

When we began issuing UMBS, we entered into an indemnification agreement under which Freddie Mac agreed to 

indemnify us for losses caused by its failure to meet its payment or other specified obligations under the trust 

agreements pursuant to which the underlying resecuritized securities were issued. As a result, and due to the funding 

commitment available to Freddie Mac through its senior preferred stock purchase agreement with Treasury, we have 

concluded that the associated credit risk is negligible. Accordingly, we exclude from the following table Freddie Mac 

securities backing unconsolidated Fannie Mae-issued structured securities of $229.3 billion and $234.0 billion as of 

March 31, 2023 and December 31, 2022, respectively.

The following table displays our off-balance sheet maximum exposure, guaranty obligation recognized in our condensed 

consolidated balance sheets and the potential maximum recovery from third parties through available credit 

enhancements and recourse related to our financial guarantees.

As of

March 31, 2023 December 31, 2022

Maximum 

Exposure

Guaranty 

Obligation

Maximum 

Recovery(1)

Maximum 

Exposure

Guaranty 

Obligation

Maximum 

Recovery(1)

(Dollars in millions)

Unconsolidated Fannie Mae MBS $ 3,067 $ 15 $ 2,989 $ 3,139 $ 15 $ 3,058 

Other guaranty arrangements(2) 9,459 75 2,000 9,573 79 2,012 

Total $ 12,526 $ 90 $ 4,989 $ 12,712 $ 94 $ 5,070 

(1) Recoverability of such credit enhancements and recourse is subject to, among other factors, the ability of our mortgage insurers and the 

U.S. government, as a financial guarantor, to meet their obligations to us. For information on our mortgage insurers, see “Note 10, 

Concentrations of Credit Risk.”

(2) Primarily consists of credit enhancements and long-term standby commitments.

Notes to Condensed Consolidated Financial Statements | Investments in Securities

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 85
7. Short-Term and Long-Term Debt

Short-Term Debt

The following table displays our outstanding short-term debt (debt with an original contractual maturity of one year or 

less) and weighted-average interest rates of this debt.

As of

March 31, 2023 December 31, 2022

Outstanding

WeightedAverage 

Interest Rate(1) Outstanding

WeightedAverage 

Interest Rate(1)

(Dollars in millions)

Short-term debt of Fannie Mae $ 13,967 4.58 % $ 10,204 3.93 %

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

Long-Term Debt

Long-term debt represents debt with an original contractual maturity of greater than one year. The following table 

displays our outstanding long-term debt.

As of

March 31, 2023 December 31, 2022

Maturities Outstanding(1)

WeightedAverage 

Interest 

Rate(2) Maturities Outstanding(1)

WeightedAverage 

Interest 

Rate(2)

(Dollars in millions)

Senior fixed: 

Benchmark notes and bonds 2023 - 2030 $ 70,682 2.36 % 2023 - 2030 $ 72,261 2.35 %

Medium-term notes(3) 2023 - 2031 42,344 1.03 2023 - 2031 39,476 0.78 

Other(4) 2023 - 2038 6,817 4.03 2023 - 2038 6,778 4.00 

Total senior fixed 119,843 2.00 118,515 1.94 

Senior floating:

Connecticut Avenue Securities(5) 2023 - 2031 5,104 9.75 2023 - 2031 5,207 8.80 

Other(6) 2037 250 9.68 2037 242 10.00 

Total senior floating 5,354 9.75 5,449 8.86 

Total long-term debt of Fannie Mae(7) 125,197 2.32 123,964 2.23 

Debt of consolidated trusts 2023 - 2062 4,091,602 2.56 2023 - 2062 4,087,720 2.47 

Total long-term debt $ 4,216,799 2.55 % $ 4,211,684 2.47 %

(1) Outstanding debt balance consists of the unpaid principal balance, premiums and discounts, fair value adjustments, hedge-related basis 

adjustments, and other cost basis adjustments.

(2) Excludes the effects of fair value adjustments and hedge-related basis adjustments.

(3) Includes long-term debt with an original contractual maturity of greater than 1 year and up to 10 years, excluding zero-coupon debt.

(4) Includes other long-term debt with an original contractual maturity of greater than 10 years and foreign exchange bonds. 

(5) Consists of CAS debt issued prior to November 2018, a portion of which is reported at fair value.

(6) Consists of structured debt instruments that are reported at fair value.

(7) Includes unamortized discounts and premiums, fair value adjustments, hedge-related cost basis adjustments, and other cost basis 

adjustments in a net discount position of $4.6 billion and $5.1 billion as of March 31, 2023 and December 31, 2022, respectively.

Notes to Condensed Consolidated Financial Statements | Short-Term and Long-Term Debt

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 86
8. Derivative Instruments

Derivative instruments are an integral part of our strategy in managing interest-rate risk. Derivative instruments may be 

privately-negotiated, bilateral contracts or they may be listed and traded on an exchange. We refer to our derivative 

transactions made pursuant to bilateral contracts as our over-the-counter (“OTC”) derivative transactions and our 

derivative transactions accepted for clearing by a derivatives clearing organization as our cleared derivative 

transactions. We typically do not settle the notional amount of our risk management derivatives; rather, notional 

amounts provide the basis for calculating actual payments or settlement amounts. The derivative contracts we use for 

interest-rate risk management purposes consist primarily of interest-rate swaps and interest-rate options. See “Note 8, 

Derivative Instruments” in our 2022 Form 10-K for additional information on interest-rate risk management.

We account for certain forms of credit risk transfer transactions as derivatives. In our credit risk transfer transactions, a 

portion of the credit risk associated with losses on a reference pool of mortgage loans is transferred to a third party. We 

enter into derivative transactions that are associated with some of our credit risk transfer transactions, whereby we 

manage investment risk to guarantee that certain unconsolidated VIEs have sufficient cash flows to pay their contractual 

obligations.

We enter into forward purchase and sale commitments that lock in the future delivery of mortgage loans and mortgagerelated securities at a fixed price or yield. Certain commitments to purchase mortgage loans and purchase or sell 

mortgage-related securities meet the criteria of a derivative. We typically settle the notional amount of our mortgage 

commitments that are accounted for as derivatives.

We recognize all derivatives as either assets or liabilities in our condensed consolidated balance sheets at their fair 

value on a trade date basis. Fair value amounts, which are (1) netted to the extent a legal right of offset exists and is 

enforceable by law at the counterparty level and (2) inclusive of the right or obligation associated with the cash collateral 

posted or received, are recorded in “Other assets” or “Other liabilities” in our condensed consolidated balance sheets.

See “Note 12, Fair Value” for additional information on derivatives recorded at fair value. We present cash flows from 

derivatives as operating activities in our condensed consolidated statements of cash flows.

Fair Value Hedge Accounting

Pursuant to our fair value hedge accounting program, we may designate certain interest-rate swaps as hedging 

instruments in hedges of the change in fair value attributable to the designated benchmark interest rate for certain 

closed pools of fixed-rate, single-family mortgage loans or our funding debt. For hedged items in qualifying fair value 

hedging relationships, changes in fair value attributable to the designated risk are recognized as a basis adjustment to 

the hedged item. We also report changes in the fair value of the derivative hedging instrument in the same condensed 

consolidated statements of operations and comprehensive income line item used to recognize the earnings effect of the 

hedged item’s basis adjustment. The objective of our fair value hedges is to reduce GAAP earnings volatility related to 

changes in benchmark interest rates. For additional discussion of our fair value hedge accounting policy, see “Note 1, 

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

Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 87
Notional and Fair Value Position of our Derivatives

The following table displays the notional amount and estimated fair value of our asset and liability derivative 

instruments, including derivative instruments designated as hedges.

As of March 31, 2023 As of December 31, 2022

Notional 

Amount

Estimated Fair Value

Notional 

Amount

Estimated Fair Value

Asset 

Derivatives

Liability 

Derivatives

Asset 

Derivatives

Liability 

Derivatives

(Dollars in millions)

Risk management derivatives designated as 

hedging instruments:

Swaps:(1)

Pay-fixed $ 3,996 $ — $ — $ 5,582 $ — $ — 

Receive-fixed 44,766 — — 33,276 — — 

Total risk management derivatives designated 

as hedging instruments 48,762 — — 38,858 — — 

Risk management derivatives not designated 

as hedging instruments:

Swaps:(1)

Pay-fixed 120,646 — — 97,808 — — 

Receive-fixed 113,353 20 (3,867) 99,799 1 (4,525) 

Basis 41,250 24 — 41,250 25 — 

Foreign currency 306 — (87) 300 — (98) 

Swaptions:(1)

Pay-fixed 5,816 164 (11) 5,286 204 (18) 

Receive-fixed 2,666 6 (45) 2,136 7 (45) 

Total risk management derivatives not 

designated as hedging instruments 284,037 214 (4,010) 246,579 237 (4,686) 

Netting adjustment(2) — (164) 3,910 — (154) 4,662 

Total risk management derivatives portfolio 332,799 50 (100) 285,437 83 (24) 

Mortgage commitment derivatives:

Mortgage commitments to purchase whole 

loans 4,230 14 (2) 2,596 4 (8) 

Forward contracts to purchase mortgagerelated securities 20,647 83 (12) 17,808 50 (57) 

Forward contracts to sell mortgage-related 

securities 37,973 3 (129) 35,302 35 (13) 

Total mortgage commitment derivatives 62,850 100 (143) 55,706 89 (78) 

Credit enhancement derivatives 24,755 3 (65) 23,784 3 (66) 

Derivatives at fair value $ 420,404 $ 153 $ (308) $ 364,927 $ 175 $ (168) 

(1) Centrally cleared derivatives have no ascribable fair value because the positions are settled daily.

(2) The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with 

the same counterparty on a net basis, including cash collateral posted and received. Cash collateral posted was $3.8 billion and 

$4.5 billion as of March 31, 2023 and December 31, 2022, respectively. Cash collateral received was $101 million and $5 million as of 

March 31, 2023 and December 31, 2022, respectively.

Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 88
We record all gains and losses, including accrued interest, on derivatives while they are not in a qualifying designated 

hedging relationship in “Fair value gains, net” in our condensed consolidated statements of operations and 

comprehensive income. The following table displays, by type of derivative instrument, the fair value gains and losses, 

net on our derivatives. 

For the Three Months Ended March 31,

2023 2022

(Dollars in millions)

Risk management derivatives:

Swaps:

Pay-fixed $ (1,590) $ 2,125 

Receive-fixed 1,572 (2,260) 

Basis 13 (68) 

Foreign currency 8 (24) 

Swaptions:

Pay-fixed (33) 44 

Receive-fixed (1) (3) 

Futures — — 

Net contractual interest expense on interest-rate swaps (178) (11) 

Total risk management derivatives fair value losses, net (209) (197) 

Mortgage commitment derivatives fair value gains (losses), net (114) 1,572 

Credit enhancement derivatives fair value losses, net (15) (22) 

Total derivatives fair value gains (losses), net $ (338) $ 1,353 

Effect of Fair Value Hedge Accounting

The following table displays the effect of fair value hedge accounting on our condensed consolidated statements of 

operations and comprehensive income, including gains and losses recognized on fair value hedging relationships.

For the Three Months Ended March 31,

2023 2022

Interest 

Income: 

Mortgage 

Loans

Interest 

Expense: 

Long-Term 

Debt

Interest 

Income: 

Mortgage 

Loans

Interest 

Expense: 

Long-Term 

Debt

(Dollars in millions)

Total amounts presented in our condensed consolidated 

statements of operations and comprehensive income $ 32,137 $ (26,665) $ 27,142 $ (19,940) 

Gains (losses) from fair value hedging relationships: 

Mortgage loans HFI and related interest-rate contracts:

Hedged items $ 177 $ — $ (238) $ — 

Discontinued hedge related basis adjustment amortization 11 — — — 

Derivatives designated as hedging instruments (214) — 227 — 

Interest accruals on hedging instruments 26 — (8) — 

Debt of Fannie Mae and related interest-rate contracts:

Hedged items — (239) — 1,623 

Discontinued hedge-related basis adjustment amortization — (196) — (65) 

Derivatives designated as hedging instruments — 432 — (1,524) 

Interest accruals on derivative hedging instruments — (229) — 47 

Total effect of fair value hedges $ — $ (232) $ (19) $ 81 

Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 89
Hedged Items in Fair Value Hedging Relationships

The following table displays the carrying amounts of the hedged items that have been in qualifying fair value hedges

recorded in our condensed consolidated balance sheets, including the hedged item’s cumulative basis adjustments and 

the closed portfolio balances under the portfolio layer method. The hedged item carrying amounts and total basis 

adjustments include both open and discontinued hedges. The amortized cost and designated UPB consists only of open 

hedges as of March 31, 2023 and December 31, 2022.

As of March 31, 2023

Carrying 

Amount Assets 

(Liabilities)

Cumulative Amount of Fair Value 

Hedging Basis Adjustments Included in 

the Carrying Amount

Closed Portfolio of Mortgage Loans 

Under Portfolio Layer Method

Total Basis 

Adjustments(1)(2)

Remaining 

Adjustments - 

Discontinued Hedge

Total Amortized 

Cost Designated UPB

(Dollars in millions)

Mortgage loans HFI $ 330,541 $ (440) $ (440) $ 132,035 $ 3,787 

Debt of Fannie Mae (74,239) 4,278 4,278 N/A N/A

As of December 31, 2022

Carrying 

Amount Assets 

(Liabilities)

Cumulative Amount of Fair Value 

Hedging Basis Adjustments Included in 

the Carrying Amount

Closed Portfolio of Mortgage Loans 

Under Portfolio Layer Method

Total Basis 

Adjustments(1)(2)

Remaining 

Adjustments - 

Discontinued Hedge

Total Amortized 

Cost Designated UPB

(Dollars in millions)

Mortgage loans HFI $ 293,788 $ (628) $ (628) $ 98,377 $ 5,187 

Debt of Fannie Mae (73,790) 4,713 4,713 N/A N/A

(1) No basis adjustment associated with open hedges, as all hedges are designated at the close of business with a one-day term.

(2) Based on the unamortized balance of the hedge-related cost basis.

Derivative Counterparty Credit Exposure

Our derivative counterparty credit exposure relates principally to interest-rate derivative contracts. We are exposed to 

the risk that a counterparty in a derivative transaction will default on payments due to us, which may require us to seek 

a replacement derivative from a different counterparty. This replacement may be at a higher cost, or we may be unable 

to find a suitable replacement. We manage our derivative counterparty credit exposure relating to our risk management 

derivative transactions mainly through enforceable master netting arrangements, which allow us to net derivative assets 

and liabilities with the same counterparty or clearing organization and clearing member. For our OTC derivative 

transactions, we require counterparties to post collateral, which may include cash, U.S. Treasury securities, agency debt 

and agency mortgage-related securities.

See “Note 11, Netting Arrangements” for information on our rights to offset assets and liabilities as of March 31, 2023

and December 31, 2022. 

Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 90
9. Segment Reporting

We have two reportable business segments, which are based on the type of business activities each perform: SingleFamily and Multifamily. Results of our two business segments are intended to reflect each segment as if it were a standalone business. The sum of the results for our two business segments equals our condensed consolidated results of 

operations. For additional information related to our business segments, including basis of organization and other 

segment activities, see “Note 10, Segment Reporting” in our 2022 Form 10-K.

Segment Allocations and Results 

The majority of our revenues and expenses are directly associated with each respective business segment and are 

included in determining its operating results. Those revenues and expenses that are not directly attributable to a 

particular business segment are allocated based on the size of each segment’s guaranty book of business. The 

substantial majority of the gains and losses associated with our risk management derivatives, including the impact of 

hedge accounting, are allocated to our Single-Family business segment.

The following table displays our segment results.

For the Three Months Ended March 31,

2023 2022

SingleFamily Multifamily TotalSingleFamily Multifamily Total

(Dollars in millions)

Net interest income(1) $ 5,672 $ 1,114 $ 6,786 $ 6,255 $ 1,144 $ 7,399 

Fee and other income(2) 48 15 63 61 22 83 

Net revenues 5,720 1,129 6,849 6,316 1,166 7,482 

Investment gains (losses), net(3) (71) 4 (67) (66) (36) (102) 

Fair value gains (losses), net(4) 166 38 204 527 (47) 480 

Administrative expenses (720) (148) (868) (683) (125) (808) 

Benefit (provision) for credit losses(5) 47 (179) (132) (270) 30 (240) 

TCCA fees(6) (855) — (855) (824) — (824) 

Credit enhancement expense(7) (287) (54) (341) (210) (68) (278) 

Change in expected credit enhancement 

recoveries(8) 95 25 120 69 (9) 60 

Other expenses, net (116) (14) (130) (164) (33) (197) 

Income before federal income taxes 3,979 801 4,780 4,695 878 5,573 

Provision for federal income taxes (847) (161) (1,008) (986) (179) (1,165) 

Net income $ 3,132 $ 640 $ 3,772 $ 3,709 $ 699 $ 4,408 

(1) Net interest income primarily consists of guaranty fees received as compensation for assuming and managing the credit risk on loans 

underlying Fannie Mae MBS held by third parties for the respective business segment, and the difference between the interest income 

earned on the respective business segment’s mortgage assets in our retained mortgage portfolio and the interest expense associated with 

the debt funding those assets. Revenues from single-family guaranty fees include revenues generated by the 10 basis point increase in 

guaranty fees pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by us. Also includes 

yield maintenance revenue we recognized on the prepayment of multifamily loans.

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

services. Multifamily fee and other income consists of fees associated with Multifamily business activities, including credit enhancements 

for tax-exempt multifamily housing revenue bonds.

(3) Single-family investment gains and losses primarily consist of gains and losses on the sale of mortgage assets. Multifamily investment 

gains and losses primarily consist of gains and losses on resecuritization activity. 

(4) Single-family fair value gains and losses primarily consist of fair value gains and losses on risk management and mortgage commitment 

derivatives, trading securities, fair value option debt, and other financial instruments associated with our single-family guaranty book of 

business. Multifamily fair value gains and losses primarily consist of fair value gains and losses on MBS commitment derivatives, trading 

securities and other financial instruments associated with our multifamily guaranty book of business.

(5) Benefit (provision) for credit losses is based on loans underlying the segment’s guaranty book of business. 

(6) Consists of the portion of our single-family guaranty fees that is remitted to Treasury pursuant to the TCCA.

(7) Single-family credit enhancement expense consists of costs associated with our freestanding credit enhancements, which include primarily 

costs associated with our Credit Insurance Risk TransferTM (“CIRTTM”), Connecticut Avenue Securities® (“CAS”) and enterprise-paid 

mortgage insurance (“EPMI”) programs. Multifamily credit enhancement expense primarily consists of costs associated with our Multifamily 

Notes to Condensed Consolidated Financial Statements | Segment Reporting

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 91
CIRTTM (“MCIRTTM”) and Multifamily Connecticut Avenue SecuritiesTM (“MCASTM”) programs as well as amortization expense for certain 

lender risk-sharing programs. Excludes CAS transactions accounted for as debt instruments and credit risk transfer programs accounted 

for as derivative instruments.

(8) Consists of change in benefits recognized from our freestanding credit enhancements, primarily from our CAS and CIRT programs as well 

as certain lender risk-sharing arrangements, including our multifamily Delegated Underwriting and Servicing (“DUS®”) program. 

10. Concentrations of Credit Risk

Risk Characteristics of our Guaranty Book of Business

One of the measures by which we gauge our credit risk is the delinquency status of the mortgage loans in our guaranty 

book of business. 

For single-family and multifamily loans, we use this information, in conjunction with housing market and other economic 

data, to structure our pricing and our eligibility and underwriting criteria to reflect the current risk of loans with higher-risk 

characteristics, and in some cases we decide to significantly reduce our participation in riskier loan product categories. 

Management also uses this data together with other credit risk measures to identify key trends that guide the 

development of our loss mitigation strategies.

We report the delinquency status of our single-family and multifamily guaranty book of business below. We report loans 

receiving payment forbearance as delinquent according to the contractual terms of the loans.

Single-Family Credit Risk Characteristics

For single-family loans, management monitors the serious delinquency rate, which is the percentage of single-family 

loans, based on the number of loans, that are 90 days or more past due or in the foreclosure process, and loans that 

have higher risk characteristics, such as high mark-to-market LTV ratios.

The following tables display the delinquency status and serious delinquency rates for specified loan categories of our 

single-family conventional guaranty book of business.

As of

March 31, 2023 December 31, 2022

30 Days 

Delinquent

60 Days 

Delinquent

Seriously 

Delinquent(1)

30 Days 

Delinquent

60 Days 

Delinquent

Seriously 

Delinquent(1)

Percentage of single-family conventional 

guaranty book of business based on UPB 0.65 % 0.17 % 0.55 % 0.84 % 0.20 % 0.60 %

Percentage of single-family conventional 

loans based on loan count 0.74 0.19 0.59 0.96 0.23 0.65 

Notes to Condensed Consolidated Financial Statements | Segment Reporting

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 92
As of

March 31, 2023 December 31, 2022

Percentage of 

Single-Family

Conventional

Guaranty Book of 

Business

Based on UPB

Serious 

Delinquency 

Rate(1)

Percentage of 

Single-Family

Conventional

Guaranty Book of 

Business

Based on UPB

Serious 

Delinquency 

Rate(1)

Estimated mark-to-market LTV ratio:

80.01% to 90% 6 % 0.68 % 5 % 0.68 %

90.01% to 100% 3 0.53 3 0.40 

Greater than 100% * 1.67 * 4.04 

Geographical distribution:

California 19 0.43 19 0.46 

Florida 6 0.81 6 0.90 

Illinois 3 0.79 3 0.86 

New Jersey 3 0.76 3 0.85 

New York 5 1.02 5 1.12 

All other states 64 0.55 64 0.62 

Vintages:

2008 and prior 2 2.62 2 2.78 

2009-2023 98 0.48 98 0.53 

* Represents less than 0.5% of single-family conventional guaranty book of business.

(1) Based on loan count, consists of single-family conventional loans that were 90 days or more past due or in the foreclosure process as of 

March 31, 2023 or December 31, 2022. 

Multifamily Credit Risk Characteristics

For multifamily loans, management monitors the serious delinquency rate, which is the percentage of multifamily loans, 

based on unpaid principal balance, that are 60 days or more past due, and loans with other higher risk characteristics to 

determine the overall credit quality of our multifamily book of business. Higher risk characteristics include, but are not 

limited to, current debt service coverage ratio (“DSCR”) below 1.0 and original LTV ratios greater than 80%. We stratify 

multifamily loans into different internal risk categories based on the credit risk inherent in each individual loan.

The following tables display the delinquency status and serious delinquency rates for specified loan categories of our 

multifamily guaranty book of business.

As of

March 31, 2023(1) December 31, 2022(1)

30 Days 

Delinquent

Seriously 

Delinquent(2)

30 Days 

Delinquent

Seriously 

Delinquent(2)

Percentage of multifamily guaranty book of business 0.06 % 0.35 % 0.04 % 0.24 %

As of

March 31, 2023 December 31, 2022

Percentage of 

Multifamily 

Guaranty Book 

of Business(1)

Serious 

Delinquency 

Rate(2)(3)

Percentage of 

Multifamily 

Guaranty Book 

of Business(1)

Serious 

Delinquency 

Rate(2)(3)

Original LTV ratio:

Greater than 80% 1 % 0.22 % 1 % 0.85 %

Less than or equal to 80% 99 0.35 99 0.24 

Current DSCR below 1.0(4) 3 7.89 3 3.88 

(1) Calculated based on the aggregate unpaid principal balance of multifamily loans for each category divided by the aggregate unpaid 

principal balance of loans in our multifamily guaranty book of business.

(2) Consists of multifamily loans that were 60 days or more past due as of the dates indicated. 

Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 93
(3) Calculated based on the unpaid principal balance of multifamily loans that were seriously delinquent divided by the aggregate unpaid 

principal balance of multifamily loans for each category included in our multifamily guaranty book of business.

(4) Our estimates of current DSCRs are based on the latest available income information covering a 12 month period, from quarterly and 

annual statements for these properties including the related debt service.

Other Concentrations

Mortgage Insurers. Mortgage insurance “risk in force” refers to our maximum potential loss recovery under the 

applicable mortgage insurance policies in force and is generally based on the loan-level insurance coverage percentage 

and, if applicable, any aggregate pool loss limit, as specified in the policy.

The following table displays our total mortgage insurance risk in force by primary and pool insurance, as well as the total 

risk-in-force mortgage insurance coverage as a percentage of the single-family conventional guaranty book of business.

As of

March 31, 2023 December 31, 2022

Risk in Force

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business Risk in Force

Percentage of 

Single-Family 

Conventional 

Guaranty Book 

of Business

(Dollars in millions)

Mortgage insurance risk in force:

Primary mortgage insurance $ 194,232 $ 193,549 

Pool mortgage insurance 236 237 

Total mortgage insurance risk in force $ 194,468 5% $ 193,786 5%

The table below displays our mortgage insurer counterparties that provided approximately 10% or more of the risk-inforce mortgage insurance coverage on mortgage loans in our single-family conventional guaranty book of business. 

Percentage of Risk-in-Force 

Coverage by Mortgage Insurer

As of

March 31, 2023 December 31, 2022

Counterparty:(1)

Mortgage Guaranty Insurance Corp. 19 % 19 %

Arch Capital Group Ltd. 18 18 

Radian Guaranty, Inc. 17 17 

Enact Mortgage Insurance Corp. 17 17 

Essent Guaranty, Inc. 16 16 

National Mortgage Insurance Corp. 12 12 

Others 1 1 

Total 100 % 100 %

(1) Insurance coverage amounts provided for each counterparty may include coverage provided by affiliates and subsidiaries of the 

counterparty.

We have counterparty credit risk relating to the potential insolvency of, or non-performance by, monoline mortgage 

insurers that insure single-family loans we purchase or guarantee. There is risk that these counterparties may fail to 

fulfill their obligations to pay our claims under insurance policies. On at least a quarterly basis, we assess our mortgage 

insurer counterparties’ respective abilities to fulfill their obligations to us. Our assessment includes financial reviews and 

analyses of the insurers’ portfolios and capital adequacy. If we determine that it is probable that we will not collect all of 

our claims from one or more of our mortgage insurer counterparties, it could increase our loss reserves, which could 

adversely affect our results of operations, liquidity, financial condition and net worth.

When we estimate the credit losses that are inherent in our mortgage loans and under the terms of our guaranty 

obligations, we also consider the recoveries that we expect to receive from primary mortgage insurance, as mortgage 

insurance recoveries reduce the severity of the loss associated with defaulted loans if the borrower defaults and title to 

the property is subsequently transferred. Mortgage insurance does not cover credit losses that result from a reduction in 

mortgage interest paid by the borrower in connection with a loan modification, forbearance of principal, or forbearance 

Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 94
of scheduled loan payments. We evaluate the financial condition of our mortgage insurer counterparties and adjust the 

contractually due recovery amounts to ensure that expected credit losses as of the balance sheet date are included in 

our loss reserve estimate. As a result, if our assessment of one or more of our mortgage insurer counterparties’ ability to 

fulfill their respective obligations to us worsens, it could increase our loss reserves. As of March 31, 2023 and December 

31, 2022, our estimated benefit from mortgage insurance, which is based on estimated credit losses as of period end, 

reduced our loss reserves by $2.2 billion.

As of March 31, 2023 and December 31, 2022, we had outstanding receivables of $513 million and $515 million, 

respectively, recorded in “Other assets” in our condensed consolidated balance sheets related to amounts claimed on 

insured, defaulted loans excluding government-insured loans. As of March 31, 2023 and December 31, 2022, we 

assessed these outstanding receivables for collectability, and established a valuation allowance of $462 million.

Mortgage Servicers and Sellers. Mortgage servicers collect mortgage and escrow payments from borrowers, pay taxes 

and insurance costs from escrow accounts, monitor and report delinquencies, and perform other required activities, 

including loss mitigation, on our behalf. Our mortgage servicers and sellers may also be obligated to repurchase loans 

or real estate owned (“REO”) properties, reimburse us for losses or provide other remedies under certain 

circumstances, such as if it is determined that the mortgage loan did not meet our underwriting or eligibility 

requirements, if certain loan representations and warranties are violated or if mortgage insurers rescind coverage. Our 

representation and warranty framework does not require repurchase for loans that have breaches of certain selling 

representations and warranties if they have met specified criteria for relief.

Our business with mortgage servicers is concentrated. The table below displays the percentage of our single-family 

guaranty book of business serviced by our top five depository single-family mortgage servicers and top five nondepository single-family mortgage servicers (i.e., servicers that are not insured depository institutions) based on unpaid 

principal balance. There were no servicers that serviced 10% or more of our single-family guaranty book of business as 

of March 31, 2023 or December 31, 2022.

Percentage of Single-Family

Guaranty Book of Business

As of

March 31, 2023 December 31, 2022

Top five depository servicers 23 % 22 %

Top five non-depository servicers 23 23 

Total 46 % 45 %

Compared with depository financial institutions, our non-depository servicers pose additional risks because they may 

not have the same financial strength or operational capacity, or be subject to the same level of regulatory oversight as 

depository financial institutions.

The table below displays the percentage of our multifamily guaranty book of business serviced by our top five 

multifamily mortgage servicers, and identifies two servicers that serviced 10% or more of our multifamily guaranty book 

of business based on unpaid principal balance. 

Percentage of Multifamily

Guaranty Book of Business

As of

March 31, 2023 December 31, 2022

Walker & Dunlop, Inc. 13 % 13 %

Wells Fargo Bank, N.A. (together with its affiliates) 11 11 

Remaining top five servicers 24 24 

Total 48 % 48 %

If a significant mortgage servicer or seller counterparty, or a number of mortgage servicers or sellers, fails to meet their 

obligations to us, it could adversely affect our results of operations and financial condition. We mitigate these risks in 

several ways, including: 

• establishing minimum standards and financial requirements for our servicers;

• monitoring financial and portfolio performance as compared with peers and internal benchmarks; and

• for our largest mortgage servicers, conducting periodic financial reviews to confirm compliance with servicing 

guidelines and servicing performance expectations.

Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 95
We may take one or more of the following actions to mitigate our credit exposure to mortgage servicers that present a 

higher risk:

• require a guaranty of obligations by higher-rated entities;

• transfer exposure to third parties;

• require collateral;

• establish more stringent financial requirements;

• work with underperforming servicers to improve operational processes; and

• suspend or terminate the selling and servicing relationship if deemed necessary.

Derivatives Counterparties. For information on credit risk associated with our derivative transactions and repurchase 

agreements see “Note 8, Derivative Instruments” and “Note 11, Netting Arrangements.”

11. Netting Arrangements

We use master netting arrangements, which allow us to offset certain financial instruments and collateral with the same 

counterparty, to minimize counterparty credit exposure. The tables below display information related to derivatives, 

securities purchased under agreements to resell, and securities sold under agreements to repurchase, which are 

subject to an enforceable master netting arrangement or similar agreement that are either offset or not offset in our 

condensed consolidated balance sheets.

As of March 31, 2023

Gross 

Amount 

Offset(1)

Net Amount 

Presented in 

our Condensed 

Consolidated 

Balance Sheets

Amounts Not Offset in our 

Condensed Consolidated 

Balance Sheets

Gross 

Amount

Financial 

Instruments(2) Collateral(3)

Net 

Amount

(Dollars in millions)

Assets:

OTC risk management derivatives $ 214 $ (165) $ 49 $ — $ — $ 49 

Cleared risk management derivatives — 1 1 — — 1 

Mortgage commitment derivatives 100 — 100 (55) (1) 44 

Total derivative assets 314 (164) 150 (4) (55) (1) 94 

Securities purchased under agreements 

to resell(5) 81,550 — 81,550 — (81,550) — 

Total assets $ 81,864 $ (164) $ 81,700 $ (55) $ (81,551) $ 94 

Liabilities:

OTC risk management derivatives $ (4,010) $ 4,007 $ (3) $ — $ — $ (3) 

Cleared risk management derivatives — (97) (97) — 97 — 

Mortgage commitment derivatives (143) — (143) 55 — (88) 

Total liabilities $ (4,153) $ 3,910 $ (243) (4) $ 55 $ 97 $ (91) 

Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 96
As of December 31, 2022

Gross 

Amount 

Offset(1)

Net Amount 

Presented in 

our Condensed 

Consolidated 

Balance Sheets

Amounts Not Offset in our 

Condensed Consolidated 

Balance Sheets

Gross 

Amount

Financial 

Instruments(2) Collateral(3)

Net 

Amount

(Dollars in millions)

Assets:

OTC risk management derivatives $ 237 $ (234) $ 3 $ — $ — $ 3 

Cleared risk management derivatives — 80 80 — — 80 

Mortgage commitment derivatives 89 — 89 (50) (12) 27 

Total derivative assets 326 (154) 172 (4) (50) (12) 110 

Securities purchased under agreements 

to resell(5) 69,415 — 69,415 — (69,415) — 

Total assets $ 69,741 $ (154) $ 69,587 $ (50) $ (69,427) $ 110 

Liabilities:

OTC risk management derivatives $ (4,686) $ 4,662 $ (24) $ — $ — $ (24) 

Cleared risk management derivatives — — — — — — 

Mortgage commitment derivatives (78) — (78) 50 7 (21) 

Total liabilities $ (4,764) $ 4,662 $ (102) (4) $ 50 $ 7 $ (45) 

(1) Represents the effect of the right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a 

net basis, including cash collateral posted and received and accrued interest.

(2) Mortgage commitment derivative amounts reflect where we have recognized both an asset and a liability with the same counterparty under 

an enforceable master netting arrangement but we have not elected to offset the related amounts in our condensed consolidated balance 

sheets.

(3) Represents collateral received that has not been recognized and not offset in our condensed consolidated balance sheets, as well as 

collateral posted which has been recognized but not offset in our condensed consolidated balance sheets. Does not include collateral held 

or posted in excess of our exposure. The fair value of non-cash collateral we pledged which the counterparty was permitted to sell or 

repledge was $2.2 billion and $2.1 billion as of March 31, 2023 and December 31, 2022, respectively. The fair value of non-cash collateral 

received was $81.6 billion and $69.5 billion, of which $41.5 billion and $28.7 billion could be sold or repledged as of March 31, 2023 and 

December 31, 2022, respectively. None of the underlying collateral was sold or repledged as of March 31, 2023 or December 31, 2022.

(4) Excludes derivative assets of $3 million as of March 31, 2023 and December 31, 2022, and derivative liabilities of $65 million and $66 

million recognized in our condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively, that were 

not subject to enforceable master netting arrangements.

(5) Includes $45.5 billion and $45.2 billion in securities purchased under agreements to resell classified as “Cash and cash equivalents” in our 

condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively. Includes $9.1 billion and $9.7 billion

in securities purchased under agreements to resell classified as “Restricted cash and cash equivalents” in our condensed consolidated 

balance sheets as of March 31, 2023 and December 31, 2022, respectively.

Derivative instruments are recorded at fair value and securities purchased under agreements to resell are recorded at 

amortized cost in our condensed consolidated balance sheets. For a discussion of how we determine our rights to offset 

the assets and liabilities presented above with the same counterparty, including collateral posted or received, see “Note 

14, Netting Arrangements” in our 2022 Form 10-K.

12. Fair Value

We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of 

certain assets and liabilities on a recurring or nonrecurring basis. 

Fair Value Measurement

Fair value measurement guidance defines fair value, establishes a framework for measuring fair value, and sets forth 

disclosures around fair value measurements. This guidance applies whenever other accounting guidance requires or 

permits assets or liabilities to be measured at fair value. The guidance establishes a three-level fair value hierarchy that 

prioritizes the inputs into the valuation techniques used to measure fair value. The hierarchy gives the highest priority, 

Level 1, to measurements based on unadjusted quoted prices in active markets for identical assets or liabilities. The 

next highest priority, Level 2, is given to measurements of assets and liabilities based on limited observable inputs or 

observable inputs for similar assets and liabilities. The lowest priority, Level 3, is given to measurements based on 

unobservable inputs.

Notes to Condensed Consolidated Financial Statements | Netting Arrangements

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 97
We use valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. 

See “Note 15, Fair Value” in our 2022 Form 10-K for information on the valuation control processes and the valuation 

techniques we use for fair value measurement and disclosure as well as our basis for classifying these measurements 

as Level 1, Level 2 or Level 3 of the valuation hierarchy in more specific situations. If the inputs used to measure assets 

or liabilities at fair value change, it may also result in a change in classification between levels 1, 2, and 3. We made no 

material changes to the valuation control processes or the valuation techniques for the three months ended March 31, 

2023.

Recurring Changes in Fair Value 

The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair 

value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair 

value option.

Fair Value Measurements as of March 31, 2023

Quoted Prices 

in Active 

Markets for 

Identical Assets 

(Level 1)

Significant 

Other 

Observable 

Inputs

(Level 2)

Significant 

Unobservable 

Inputs

(Level 3)

Netting 

Adjustment(1)

Estimated Fair 

Value

(Dollars in millions)

Recurring fair value measurements:

Assets:

Trading securities:

Mortgage-related $ — $ 2,820 $ 32 $ — $ 2,852 

Non-mortgage-related(2) 47,537 21 — — 47,558 

Total trading securities 47,537 2,841 32 — 50,410 

Available-for-sale securities:

Agency(3) — 52 362 — 414 

Other mortgage-related — 5 260 — 265 

Total available-for-sale securities — 57 622 — 679 

Mortgage loans — 3,073 526 — 3,599 

Derivative assets — 290 27 (164) 153 

Total assets at fair value $ 47,537 $ 6,261 $ 1,207 $ (164) $ 54,841 

Liabilities:

Long-term debt:

Of Fannie Mae $ — $ 882 $ 250 $ — $ 1,132 

Of consolidated trusts — 15,839 133 — 15,972 

Total long-term debt — 16,721 383 — 17,104 

Derivative liabilities — 4,153 65 (3,910) 308 

Total liabilities at fair value $ — $ 20,874 $ 448 $ (3,910) $ 17,412 

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 98
Fair Value Measurements as of December 31, 2022

Quoted Prices 

in Active 

Markets for 

Identical Assets 

(Level 1)

Significant 

Other 

Observable 

Inputs

(Level 2)

Significant 

Unobservable 

Inputs 

(Level 3)

Netting 

Adjustment(1)

Estimated Fair 

Value

(Dollars in millions)

Recurring fair value measurements:

Assets:

Trading securities:

Mortgage-related $ — $ 3,164 $ 47 $ — $ 3,211 

Non-mortgage-related(2) 46,898 20 — — 46,918 

Total trading securities 46,898 3,184 47 — 50,129 

Available-for-sale securities:

Agency(3) — 55 371 — 426 

Other mortgage-related — 7 263 — 270 

Total available-for-sale securities — 62 634 — 696 

Mortgage loans — 3,102 543 — 3,645 

Derivative assets — 300 29 (154) 175 

Total assets at fair value $ 46,898 $ 6,648 $ 1,253 $ (154) $ 54,645 

Liabilities:

Long-term debt:

Of Fannie Mae $ — $ 919 $ 242 $ — $ 1,161 

Of consolidated trusts — 16,124 136 — 16,260 

Total long-term debt — 17,043 378 — 17,421 

Derivative liabilities — 4,764 66 (4,662) 168 

Total liabilities at fair value $ — $ 21,807 $ 444 $ (4,662) $ 17,589 

(1) Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under 

legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and 

received.

(2) Primarily includes U.S. Treasury securities.

(3) Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae.

The following tables display a reconciliation of all assets and liabilities measured at fair value on a recurring basis using 

significant unobservable inputs (Level 3). The tables also display gains and losses due to changes in fair value, 

including both realized and unrealized gains and losses, recognized in our condensed consolidated statements of 

operations and comprehensive income for Level 3 assets and liabilities. 

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 99
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

For the Three Months Ended March 31, 2023

Total Gains (Losses)

(Realized/Unrealized) 

Net 

Unrealized 

Gains 

(Losses) 

Included in 

Net Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

March 31, 

2023(4)(5)

Net 

Unrealized 

Gains 

(Losses) 

Included in 

OCI Related to 

Assets and 

Liabilities Still 

Held as of 

March 31, 

2023(1)

Balance, 

December 31, 

2022

Included 

in Net 

Income

Included 

in Total 

OCI 

(Loss)(1) Purchases(2) Sales(2) Issues(3) Settlements(3)

Transfers 

out of 

Level 3

Transfers 

into 

Level 3

Balance, 

March 31, 

2023

(Dollars in millions)

Trading securities:

Mortgage-related $ 47 $ (6) (5)(6) $ — $ — $ — $ — $ — $ (9) $ — $ 32 $ (4) $ — 

Available-for-sale 

securities:

Agency $ 371 $ — $ (1) $ — $ — $ — $ (8) $ — $ — $ 362 $ — $ (1) 

Other mortgagerelated 263 2 4 — — — (10) — 1 260 — 3 

Total available-forsale securities $ 634 $ 2 

(6)(7)

$ 3 $ — $ — $ — $ (18) $ — $ 1 $ 622 $ — $ 2 

Mortgage loans $ 543 $ 7 (5)(6) $ — $ — $ — $ — $ (25) $ (9) $ 10 $ 526 $ 6 $ — 

Net derivatives (37) (6) (5) — — — — 5 — — (38) (1) — 

Long-term debt:

Of Fannie Mae $ (242) $ (8) (5) $ — $ — $ — $ — $ — $ — $ — $ (250) $ (8) $ — 

Of consolidated 

trusts (136) (2) 

(5)(6)

 — — — — 5 — — (133) (2) — 

Total long-term debt $ (378) $ (10) $ — $ — $ — $ — $ 5 $ — $ — $ (383) $ (10) $ — 

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

For the Three Months Ended March 31, 2022

Total Gains (Losses)

(Realized/Unrealized) 

Net 

Unrealized 

Gains 

(Losses) 

Included in 

Net Income 

Related to 

Assets and 

Liabilities Still 

Held as of 

March 31, 

2022(4)(5)

Net 

Unrealized 

Gains 

(Losses) 

Included in 

OCI Related to 

Assets and 

Liabilities Still 

Held as of 

March 31, 

2022(1)

Balance, 

December 31, 

2021

Included 

in Net 

Income

Included 

in Total 

OCI 

(Loss)(1) Purchases(2) Sales(2) Issues(3) Settlements(3)

Transfers 

out of 

Level 3

Transfers 

into 

Level 3

Balance, 

March 31, 

2022

(Dollars in millions)

Trading securities:

Mortgage-related $ 57 $ (6) (5)(6) $ — $ — $ — $ — $ — $ (9) $ 5 $ 47 $ (4) $ — 

Available-for-sale 

securities:

Agency $ 431 $ 1 $ (4) $ — $ — $ — $ (10) $ — $ — $ 418 $ — $ (3) 

Other mortgagerelated 322 (8) (1) — — — (3) (2) 1 309 — (1) 

Total available-forsale securities $ 753 $ (7) 

(6)(7)

$ (5) $ — $ — $ — $ (13) $ (2) $ 1 $ 727 $ — $ (4) 

Mortgage loans $ 755 $ (25) (5)(6) $ — $ — $ — $ — $ (41) $ (44) $ 23 $ 668 $ (21) $ — 

Net derivatives 131 (82) (5) — — — — 8 — — 57 (74) — 

Long-term debt:

Of Fannie Mae $ (373) $ 66 (5) $ — $ — $ — $ — $ — $ — $ — $ (307) $ 66 $ — 

Of consolidated 

trusts (95) 2 

(5)(6)

 — — — (86) 18 1 (1) (161) 2 — 

Total long-term debt $ (468) $ 68 $ — $ — $ — $ (86) $ 18 $ 1 $ (1) $ (468) $ 68 $ — 

(1) Gains (losses) included in “Other comprehensive loss” in our condensed consolidated statements of operations and comprehensive 

income.

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 100
(2) Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.

(3) Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.

(4) Amount represents temporary changes in fair value. Amortization, accretion and the impairment of credit losses are not considered 

unrealized and are not included in this amount.

(5) Gains (losses) are included in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income.

(6) Gains (losses) included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income 

includes amortization of cost basis adjustments.

(7) Gains (losses) are included in “Investment losses, net” in our condensed consolidated statements of operations and comprehensive 

income.

The following tables display valuation techniques and the range and the weighted average of significant unobservable 

inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis, excluding instruments for which 

we have elected the fair value option. Changes in these unobservable inputs can result in significantly higher or lower 

fair value measurements of these assets and liabilities as of the reporting date.

Fair Value Measurements as of March 31, 2023

Fair Value

Significant Valuation 

Techniques

Significant 

Unobservable

Inputs(1) Range(1)

Weighted - 

Average(1)(2)

(Dollars in millions)

Recurring fair value measurements:

Trading securities:

Mortgage-related(3) $ 32 Various

Available-for-sale securities:

Agency(3) 362 Consensus

Other mortgage-related 138 Discounted Cash Flow Spreads (bps) 530.0 - 560.0 545.5

 97 Single Vendor

 25 Various

Total other mortgage-related 260 

Total available-for-sale securities $ 622 

Net derivatives $ 25 Dealer Mark

 (63) Discounted Cash Flow

Total net derivatives $ (38) 

Fair Value Measurements as of December 31, 2022

Fair Value

Significant Valuation 

Techniques

Significant 

Unobservable

Inputs(1) Range(1)

Weighted - 

Average(1)(2)

(Dollars in millions)

Recurring fair value measurements:

Trading securities:

Mortgage-related(3) $ 47 Various

Available-for-sale securities:

Agency(3) 371 Consensus

Other mortgage-related 142 Discounted Cash Flow Spreads (bps) 531.0 - 582.0 557.7

 96 Single Vendor

 25 Various

Total other mortgage-related 263 

Total available-for-sale securities $ 634 

Net derivatives $ 25 Dealer Mark

 (62) Discounted Cash Flow

Total net derivatives $ (37) 

(1) Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and 

the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have 

disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the 

security level using discounted cash flows.

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 101
(2) Unobservable inputs were weighted by the relative fair value of the instruments. 

(3) Includes Fannie Mae and Freddie Mac securities.

In our condensed consolidated balance sheets, certain assets and liabilities are measured at fair value on a 

nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair 

value adjustments in certain circumstances (for example, when we evaluate loans for impairment). We held no Level 1 

assets or liabilities that were measured at fair value on a nonrecurring basis as of March 31, 2023 or December 31, 

2022. We held $11 million and $30 million in Level 2 assets as of March 31, 2023 and December 31, 2022, respectively, 

composed of mortgage loans held for sale that were impaired. We held no Level 2 or Level 3 liabilities that were 

measured at fair value on a nonrecurring basis as of March 31, 2023 or December 31, 2022.

The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis. 

Fair Value Measurements as of

Valuation Techniques

March 31, 

2023

December 31, 

2022

(Dollars in millions)

Nonrecurring fair value measurements: 

Mortgage loans:(1)

Mortgage loans held for sale, at lower of cost or fair value Consensus $ 205 $ 1,571 

Single Vendor 121 92 

Total mortgage loans held for sale, at lower of cost or fair value 326 1,663 

Single-family mortgage loans held for investment, at amortized cost Internal Model 926 1,636 

Multifamily mortgage loans held for investment, at amortized cost Appraisal 12 3 

Broker Price Opinion 697 614 

Internal Model 146 27 

Total multifamily mortgage loans held for investment, at amortized 

cost 855 644 

Acquired property, net:

Single-family Accepted Offer 23 17 

Appraisal 43 65 

Internal Model 211 215 

Walk Forward 98 91 

Various 20 12 

Total single-family 395 400 

Multifamily Various 36 119 

Total nonrecurring assets at fair value $ 2,538 $ 4,462 

(1) When we measure impairment, including recoveries, based on the fair value of the loan or the underlying collateral and impairment is 

recorded on any component of the mortgage loan, including accrued interest receivable and amounts due from the borrower for advances 

of taxes and insurance, we present the entire fair value measurement amount with the corresponding mortgage loan.

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 102
Fair Value of Financial Instruments

The following table displays the carrying value and estimated fair value of our financial instruments. The fair value of 

financial instruments we disclose includes commitments to purchase multifamily and single-family mortgage loans that 

we do not record in our condensed consolidated balance sheets. The fair values of these commitments are included as 

“Mortgage loans held for investment, net of allowance for loan losses.” The disclosure excludes all non-financial 

instruments; therefore, the fair value of our financial assets and liabilities does not represent the underlying fair value of 

our total consolidated assets and liabilities.

As of March 31, 2023

Carrying 

Value

Quoted 

Prices in 

Active 

Markets for 

Identical 

Assets 

(Level 1)

Significant 

Other 

Observable 

Inputs 

(Level 2)

Significant 

Unobservable 

Inputs 

(Level 3) 

Netting 

Adjustment

Estimated 

Fair Value

(Dollars in millions)

Financial assets:

Cash and cash equivalents, including 

restricted cash and cash equivalents $ 90,837 $ 36,237 $ 54,600 $ — $ — $ 90,837 

Securities purchased under agreements 

to resell 26,950 — 26,950 — — 26,950 

Trading securities 50,410 47,537 2,841 32 — 50,410 

Available-for-sale securities 679 — 57 622 — 679 

Mortgage loans held for sale 512 — 23 503 — 526 

Mortgage loans held for investment, net 

of allowance for loan losses 4,109,823 — 3,489,281 170,658 — 3,659,939 

Advances to lenders 2,748 — 2,748 — — 2,748 

Derivative assets at fair value 153 — 290 27 (164) 153 

Guaranty assets and buy-ups 83 — — 172 — 172 

Total financial assets $ 4,282,195 $ 83,774 $ 3,576,790 $ 172,014 $ (164) $ 3,832,414 

Financial liabilities:

Short-term debt:

Of Fannie Mae $ 13,967 $ — $ 13,969 $ — $ — $ 13,969 

Long-term debt:

Of Fannie Mae 125,197 — 124,585 577 — 125,162 

Of consolidated trusts 4,091,602 — 3,573,396 41,490 — 3,614,886 

Derivative liabilities at fair value 308 — 4,153 65 (3,910) 308 

Guaranty obligations 90 — — 68 — 68 

Total financial liabilities $ 4,231,164 $ — $ 3,716,103 $ 42,200 $ (3,910) $ 3,754,393 

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 103
As of December 31, 2022

Carrying 

Value

Quoted 

Prices in 

Active 

Markets for 

Identical 

Assets 

(Level 1)

Significant 

Other 

Observable 

Inputs 

(Level 2)

Significant 

Unobservable 

Inputs 

(Level 3)

Netting 

Adjustment

Estimated 

Fair Value

(Dollars in millions)

Financial assets:

Cash and cash equivalents, including 

restricted cash and cash equivalents $ 87,841 $ 32,991 $ 54,850 $ — $ — $ 87,841 

Securities purchased under agreements 

to resell 14,565 — 14,565 — — 14,565 

Trading securities 50,129 46,898 3,184 47 — 50,129 

Available-for-sale securities 696 — 62 634 — 696 

Mortgage loans held for sale 2,033 — 48 2,029 — 2,077 

Mortgage loans held for investment, net 

of allowance for loan losses 4,112,403 — 3,437,979 171,857 — 3,609,836 

Advances to lenders 1,502 — 1,502 — — 1,502 

Derivative assets at fair value 175 — 300 29 (154) 175 

Guaranty assets and buy-ups 87 — — 166 — 166 

Total financial assets $ 4,269,431 $ 79,889 $ 3,512,490 $ 174,762 $ (154) $ 3,766,987 

Financial liabilities:

Short-term debt:

Of Fannie Mae $ 10,204 $ — $ 10,208 $ — $ — $ 10,208 

Long-term debt:

Of Fannie Mae 123,964 — 122,066 558 — 122,624 

Of consolidated trusts 4,087,720 — 3,511,958 42,150 — 3,554,108 

Derivative liabilities at fair value 168 — 4,764 66 (4,662) 168 

Guaranty obligations 94 — — 66 — 66 

Total financial liabilities $ 4,222,150 $ — $ 3,648,996 $ 42,840 $ (4,662) $ 3,687,174 

For a detailed description and classification of our financial instruments, see “Note 15, Fair Value” in our 2022 Form 10-

K.

Fair Value Option

We elected the fair value option for loans and debt that contain embedded derivatives that would otherwise require 

bifurcation. Under the fair value option, we elected to carry these instruments at fair value instead of bifurcating the 

embedded derivative from such instruments.

Interest income for the mortgage loans is recorded in “Interest income: Mortgage loans” and interest expense for the 

debt instruments is recorded in “Interest expense: Long-term debt” in our condensed consolidated statements of 

operations and comprehensive income.

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 104
The following table displays the fair value and unpaid principal balance of the financial instruments for which we have 

elected the fair value option.

As of

March 31, 2023 December 31, 2022

Loans(1)

Long-Term 

Debt of 

Fannie Mae

Long-Term Debt 

of Consolidated 

Trusts Loans(1)

Long-Term 

Debt of 

Fannie Mae

Long-Term Debt 

of Consolidated 

Trusts

(Dollars in millions)

Fair value $ 3,599 $ 1,132 $ 15,972 $ 3,645 $ 1,161 $ 16,260 

Unpaid principal balance 3,730 1,105 15,835 3,835 1,145 16,311 

(1) Includes nonaccrual loans with a fair value of $35 million and $40 million as of March 31, 2023 and December 31, 2022, respectively. 

Includes loans that are 90 days or more past due with a fair value of $41 million and $48 million as of March 31, 2023 and December 31, 

2022, respectively.

Changes in Fair Value under the Fair Value Option Election

We recorded gains of $71 million for the three months ended March 31, 2023 and losses of $191 million for the three 

months ended March 31, 2022 from changes in the fair value of loans recorded at fair value in “Fair value gains, net” in 

our condensed consolidated statements of operations and comprehensive income.

We recorded losses of $269 million and gains of $1.1 billion for the three months ended March 31, 2023 and March 31, 

2022, respectively, from changes in the fair value of long-term debt recorded at fair value in “Fair value gains, net” in our 

condensed consolidated statements of operations and comprehensive income.

13. Commitments and Contingencies

We are party to various types of legal actions and proceedings, including actions brought on behalf of various classes of 

claimants. We also are subject to regulatory examinations, inquiries and investigations, and other information gathering 

requests. In some of the matters, indeterminate amounts are sought. Modern pleading practice in the U.S. permits 

considerable variation in the assertion of monetary damages or other relief. Jurisdictions may permit claimants not to 

specify the monetary damages sought or may permit claimants to state only that the amount sought is sufficient to 

invoke the jurisdiction of the trial court. This variability in pleadings, together with our and our counsel’s actual 

experience in litigating or settling claims, leads us to conclude that the monetary relief that may be sought by plaintiffs 

bears little relevance to the merits or disposition value of claims. 

We have substantial and valid defenses to the claims in the proceedings described below and intend to defend these 

matters vigorously. However, legal actions and proceedings of all types are subject to many uncertain factors that 

generally cannot be predicted with assurance. Accordingly, the outcome of any given matter and the amount or range of 

potential loss at particular points in time is frequently difficult to ascertain. Uncertainties can include how fact finders will 

evaluate documentary evidence and the credibility and effectiveness of witness testimony, and how the court will apply 

the law. Disposition valuations are also subject to the uncertainty of how opposing parties and their counsel may view 

the evidence and applicable law.

On a quarterly basis, we review relevant information about all pending legal actions and proceedings for the purpose of 

evaluating and revising our contingencies, accruals and disclosures. We establish an accrual only for matters when the 

likelihood of a loss is probable and we can reasonably estimate the amount of such loss. We are often unable to 

estimate the possible losses or ranges of losses, particularly for proceedings that are in their early stages of 

development, where plaintiffs seek indeterminate or unspecified damages, where there may be novel or unsettled legal 

questions relevant to the proceedings, or where settlement negotiations have not occurred or progressed. Given the 

uncertainties involved in any action or proceeding, regardless of whether we have established an accrual, the ultimate 

resolution of certain of these matters may be material to our operating results for a particular period, depending on, 

among other factors, the size of the loss or liability imposed and the level of our net income or loss for that period. 

In addition to the matters specifically described below, we are involved in a number of legal and regulatory proceedings 

that arise in the ordinary course of business that we do not expect will have a material impact on our business or 

financial condition.

Senior Preferred Stock Purchase Agreements Litigation

A consolidated class action (“In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action 

Litigations”) and a non-class action lawsuit, Fairholme Funds v. FHFA, filed by Fannie Mae and Freddie Mac 

shareholders against us, FHFA as our conservator, and Freddie Mac are pending in the U.S. District Court for the 

Notes to Condensed Consolidated Financial Statements | Fair Value

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 105
District of Columbia. The lawsuits challenge the August 2012 amendment to each company’s senior preferred stock 

purchase agreement with Treasury.

Plaintiffs in these lawsuits allege that the net worth sweep dividend provisions of the senior preferred stock that were 

implemented pursuant to the August 2012 amendments nullified certain of the shareholders’ rights and caused them 

harm. Plaintiffs in the class action represent a class of Fannie Mae preferred shareholders and classes of Freddie Mac 

common and preferred shareholders. On September 23, 2022, the court issued a summary judgment ruling that 

permitted the plaintiffs in these lawsuits to present to a jury their claims for breach of the implied covenant of good faith 

and fair dealing. The cases were consolidated for trial and the trial was conducted from October 17, 2022 to November 

1, 2022. Jury deliberations began on November 1, 2022. The jury was not able to reach a verdict and the judge 

declared a mistrial on November 7, 2022. A new trial is scheduled to begin on July 24, 2023. 

In the trial, plaintiffs requested $779 million in damages from Fannie Mae and prejudgment interest on the amount of 

any damages. We estimate that prejudgment interest, if awarded in the new trial, would be calculated at a rate of 5.75%

and expect plaintiffs to seek such interest from August 17, 2012. Prejudgment interest calculated from August 17, 2012 

through March 31, 2023 based on the amount of damages plaintiffs requested would be approximately $475 million. 

The ultimate amount of prejudgment interest awarded, if any, would be impacted by the amount of damages awarded, 

the date from and through which interest is calculated, and other determinations by the court. At this time, we do not 

believe the likelihood of loss is probable; therefore, we have not established an accrual in connection with these 

lawsuits. However, it is reasonably possible that the plaintiffs could ultimately prevail in this matter and, if so, we may 

incur a loss up to the amount of damages discussed above and any related interest.

14. Regulatory Capital Requirements

FHFA has established an enterprise regulatory capital framework that went into effect in February 2021; however, we 

are not required to hold capital according to the framework’s requirements until the date of termination of our 

conservatorship, or such later date as may be ordered by FHFA. 

The enterprise regulatory capital framework includes the following requirements under the standardized approach 

related to the amount and form of capital we must hold:

• Supplemental leverage and risk-based capital requirements based largely on definitions of capital used in U.S. 

banking regulators’ regulatory capital framework. Under the leverage capital requirements, we must maintain a 

tier 1 capital ratio of 2.5% of adjusted total assets. Under the risk-based capital requirements, we must maintain 

minimum common equity tier 1 capital, tier 1 capital, and adjusted total capital ratios of 4.5%, 6%, and 8%, 

respectively, of risk-weighted assets;

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

then rebuilt over time as economic conditions improve. If we fall below the prescribed buffer amounts, we must 

restrict capital distributions such as stock repurchases and dividends, as well as discretionary bonus payments 

to executives, until the buffer amounts are restored. The prescribed capital buffers represent the amount of 

capital we are required to hold above the minimum leverage and risk-based capital requirements.

◦ The prescribed leverage buffer amount (“PLBA”) represents the amount of tier 1 capital we are 

required to hold above the minimum tier 1 leverage capital requirement; 

◦ The risk-based capital buffers consist of three separate components: a stability capital buffer, a stress 

capital buffer, and a countercyclical capital buffer. Taken together, these risk-based buffers comprise 

the prescribed capital conservation buffer amount (“PCCBA”). The PCCBA must be comprised entirely 

of common equity tier 1 capital; and

• Specific minimum percentages, or “floors,” on the risk-weights applicable to single-family and multifamily 

exposures, as well as retained portions of credit risk transfer transactions.

The table below sets forth information about our capital requirements under the standardized approach of the enterprise 

regulatory capital framework. Available capital for purposes of the enterprise regulatory capital framework excludes the 

stated value of the senior preferred stock ($120.8 billion) and other amounts specified in footnote 2 to the table. 

Because of these exclusions, we had a deficit in available capital as of March 31, 2023, even though we had positive 

net worth under GAAP of $64.0 billion as of March 31, 2023.

Notes to Condensed Consolidated Financial Statements | Commitments and Contingencies

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 106
As of March 31, 2023, we had a $253 billion shortfall of our available capital (deficit) to the adjusted total capital 

requirement (including buffers) of $184 billion under the standardized approach of the rule as shown in the table below.

As of March 31, 2023, our risk-based adjusted total capital requirement (including buffers) represented the amount of 

capital needed to be fully capitalized under the standardized approach to the rule. 

Capital Metrics under the Enterprise Regulatory Capital Framework as of March 31, 2023(1)

(Dollars in billions)

Adjusted total assets $ 4,560 

Risk-weighted assets 1,308 

Amounts Ratios

Available 

Capital 

(Deficit)(2)

Minimum 

Capital 

Requirement

Total Capital 

Requirement 

(including 

Buffers)(3)

Available 

Capital 

(Deficit) 

Ratio(4)

Minimum 

Capital Ratio 

Requirement

Total Capital 

Requirement 

Ratio (including 

Buffers)

Risk-based capital:

Total capital (statutory)(5) $ (45) $ 105 $ 105 (3.5) % 8.0 % 8.0 %

Common equity tier 1 capital (89) 59 138 (6.8) 4.5 10.6 

Tier 1 capital (69) 78 157 (5.3) 6.0 12.0 

Adjusted total capital (69) 105 184 (5.3) 8.0 14.1 

Leverage capital:

Core capital (statutory)(6) (57) 114 114 (1.2) 2.5 2.5 

Tier 1 capital (69) 114 137 (1.5) 2.5 3.0 

(1) Ratios are calculated as a percentage of risk-weighted assets for risk-based capital metrics and as a percentage of adjusted total assets 

for leverage capital metrics.

(2) Available capital (deficit) for all line items excludes the stated value of the senior preferred stock ($120.8 billion). Available capital (deficit) 

for all line items except total capital and core capital also deducts a portion of deferred tax assets. Deferred tax assets arising from 

temporary differences between GAAP and tax requirements are deducted from capital to the extent they exceed 10% of common equity. 

As of March 31, 2023, this resulted in the full deduction of deferred tax assets ($12.6 billion) from our available capital (deficit). Available 

capital (deficit) for common equity tier 1 capital also excludes the value of the non-cumulative perpetual preferred stock ($19.1 billion).

(3) The applicable buffer for common equity tier 1 capital, tier 1 capital, and adjusted total capital is the PCCBA, comprised of a stress capital 

buffer, a stability capital buffer, and a countercyclical capital buffer. The applicable buffer for tier 1 capital (leverage based) is the PLBA. 

The stress capital buffer and countercyclical capital buffer are each calculated by multiplying prescribed factors by adjusted total assets as 

of the last day of the previous calendar quarter. The 2023 stability capital buffer is calculated by multiplying a factor determined based on 

our share of mortgage debt outstanding by adjusted total assets as of December 31, 2020. The prescribed leverage buffer for 2023 is set 

at 50% of the 2023 stability buffer. Going forward the stability buffer and the prescribed leverage buffer will be updated with an effective 

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

(4) Ratios are negative because we had a deficit in available capital for each tier of capital.

(5) The sum of (a) core capital (see definition in footnote 6 below); and (b) a general allowance for foreclosure losses, which (i) shall include 

an allowance for portfolio mortgage losses, an allowance for non-reimbursable foreclosure costs on government claims, and an allowance 

for liabilities reflected on the balance sheet for estimated foreclosure losses on mortgage-backed securities; and (ii) shall not include any 

reserves made or held against specific assets; and (c) any other amounts from sources of funds available to absorb losses that the 

Director of FHFA by regulation determines are appropriate to include in determining total capital.

(6) The sum of (a) the stated value of our outstanding common stock (common stock less treasury stock); (b) the stated value of our 

outstanding non-cumulative perpetual preferred stock; (c) our paid-in capital; and (d) our retained earnings (accumulated deficit). Core 

capital does not include: (a) accumulated other comprehensive income or (b) senior preferred stock.

As a result of our capital shortfall, our maximum payout ratio under the enterprise regulatory capital framework as of 

March 31, 2023 was 0%. While it is not applicable until the date of termination of our conservatorship, our maximum 

payout ratio represents the percentage of eligible retained income that we are permitted to pay out in the form of 

distributions or discretionary bonus payments under the enterprise regulatory capital framework. The maximum payout 

ratio for a given quarter is the lowest of the payout ratios determined by our capital conservation buffer and our leverage 

buffer.

Notes to Condensed Consolidated Financial Statements | Regulatory Capital Requirements

Fannie Mae (In conservatorship) First Quarter 2023 Form 10-Q 107
Item 3. Quantitative and Qualitative Disclosures about 

Market Risk

Information about market risk is set forth in “MD&A—Risk Management—Market Risk Management, including InterestRate Risk Management.”

Item 4. Controls and Procedures

Overview

We are required under applicable laws and regulations to maintain controls and procedures, which include disclosure 

controls and procedures as well as internal control over financial reporting, as further described below.

Evaluation of Disclosure Controls and Procedures

Disclosure Controls and Procedures

Disclosure controls and procedures refer to controls and other procedures designed to provide reasonable assurance 

that information required to be disclosed in the reports we file or submit under the Exchange Act is recorded, processed, 

summarized and reported within the time periods specified in the rules and forms of the SEC. Disclosure controls and 

procedures include, without limitation, controls and procedures designed to provide reasonable assurance that 

information required to be disclosed by us in the reports that we file or submit under the Exchange Act is accumulated 

and communicated to management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to 

allow timely decisions regarding our required disclosure. In designing and evaluating our disclosure controls and 

procedures, management recognizes that any controls and procedures, no matter how well designed and operated, can 

provide only reasonable assurance of achieving the desired control objectives, and management was required to apply 

its judgment in evaluating and implementing possible controls and procedures.

Evaluation of Disclosure Controls and Procedures

As required by Rule 13a-15 under the Exchange Act, management has evaluated, with the participation of our Chief 

Executive Officer and Chief Financial Officer, the effectiveness of our disclosure controls and procedures in effect as of 

March 31, 2023, the end of the period covered by this report. As a result of management’s evaluation, our Chief 

Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were not effective at 

a reasonable assurance level as of March 31, 2023, or as of the date of filing this report. 

Our disclosure controls and procedures were not effective as of March 31, 2023, or as of the date of filing this report 

because they did not adequately ensure the accumulation and communication to management of information known to 

FHFA that is needed to meet our disclosure obligations under the federal securities laws. As a result, we were not able 

to rely upon the disclosure controls and procedures that were in place as of March 31, 2023, or as of the date of this 

filing, and we continue to have a material weakness in our internal control over financial reporting. This material 

weakness is described in more detail below under “Description of Material Weakness.” Based on discussions with FHFA 

and the structural nature of this material weakness, we do not expect to remediate this material weakness while we are 

under conservatorship.

Description of Material Weakness

The Public Company Accounting Oversight Board’s Auditing Standard 2201 defines a material weakness as a 

deficiency, or a combination of deficiencies, in internal control over financial reporting, such that there is a reasonable 

possibility that a material misstatement of the company’s annual or interim financial statements will not be prevented or 

detected on a timely basis.

Management has determined that we continued to have the following material weakness as of March 31, 2023, and as 

of the date of filing this report:

• Disclosure Controls and Procedures. We have been under the conservatorship of FHFA since September 6, 

2008. Under the GSE Act, FHFA is an independent agency that currently functions as both our conservator and 

our regulator with respect to our safety, soundness, and mission. Because of the nature of the conservatorship 

under the GSE Act, which places us under the “control” of FHFA (as that term is defined by securities laws), 

some of the information that we may need to meet our disclosure obligations may be solely within the 

knowledge of FHFA. As our conservator, FHFA has the power to take actions without our knowledge that could 

be material to our shareholders and other stakeholders and could significantly affect our financial performance 

or our continued existence as an ongoing business. Although we and FHFA attempted to design and implement 

Quantitative and Qualitative Disclosures about Market Risk

Fannie Mae First Quarter 2023 Form 10-Q 108
disclosure policies and procedures that would account for the conservatorship and accomplish the same 

objectives as a disclosure controls and procedures policy of a typical reporting company, there are inherent 

structural limitations on our ability to design, implement, operate, and test effective disclosure controls and 

procedures. As both our regulator and our conservator under the GSE Act, FHFA is limited in its ability to design 

and implement a complete set of disclosure controls and procedures relating to Fannie Mae, particularly with 

respect to current reporting pursuant to Form 8-K. Similarly, as a regulated entity, we are limited in our ability to 

design, implement, operate, and test the controls and procedures for which FHFA is responsible.

Due to these circumstances, we have not been able to update our disclosure controls and procedures in a manner that 

adequately ensures the accumulation and communication to management of information known to FHFA that is needed 

to meet our disclosure obligations under the federal securities laws, including disclosures affecting our condensed 

consolidated financial statements. As a result, we did not maintain effective controls and procedures designed to ensure 

complete and accurate disclosure as required by GAAP as of March 31, 2023, or as of the date of filing this report. 

Based on discussions with FHFA and the structural nature of this weakness, we do not expect to remediate this material 

weakness while we are under conservatorship.

Mitigating Actions Related to Material Weakness

As described above under “Description of Material Weakness,” we continue to have a material weakness in our internal 

control over financial reporting relating to our disclosure controls and procedures. However, we and FHFA have 

engaged in the following practices intended to permit accumulation and communication to management of information 

needed to meet our disclosure obligations under the federal securities laws:

• FHFA has established the Division of Conservatorship Oversight and Readiness, which is intended to facilitate 

operation of the company with the oversight of the conservator.

• We have provided drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We 

also have provided drafts of external press releases, statements, and speeches to FHFA personnel for their 

review and comment prior to release.

• FHFA personnel, including senior officials, have reviewed our SEC filings prior to filing, including this quarterly 

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

discussions regarding issues associated with the information contained in those filings. Prior to filing our First 

Quarter 2023 Form 10-Q, FHFA provided Fannie Mae management with written acknowledgment that it had 

reviewed the First Quarter 2023 Form 10-Q, and it was not aware of any material misstatements or omissions 

in the First Quarter 2023 Form 10-Q and had no objection to our filing the First Quarter 2023 Form 10-Q.

• Our senior management meets regularly with senior leadership at FHFA, including, but not limited to, the

Director.

• FHFA representatives attend meetings frequently with various groups within the company to enhance the flow 

of information and to provide oversight on a variety of matters, including accounting, credit and market risk 

management, external communications, and legal matters.

• Senior officials within FHFA’s Office of the Chief Accountant have met frequently with our senior finance 

executives regarding our accounting policies, practices, and procedures.

Changes in Internal Control Over Financial Reporting

Management has evaluated, with the participation of our Chief Executive Officer and Chief Financial Officer, whether 

any changes in our internal control over financial reporting that occurred during our last fiscal quarter have materially 

affected, or are reasonably likely to materially affect, our internal control over financial reporting. There were no changes 

in our internal control over financial reporting from January 1, 2023, through March 31, 2023, that management believes 

have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

In the ordinary course of business, we review our system of internal control over financial reporting and make changes 

that we believe will improve these controls and increase efficiency, while continuing to ensure that we maintain effective 

internal controls. Changes may include implementing new, more efficient systems, automating manual processes, and 

updating existing systems. 

Controls and Procedures

Fannie Mae First Quarter 2023 Form 10-Q 109
PART II—OTHER INFORMATION

Item 1. Legal Proceedings

The information in this item supplements and updates information regarding certain legal proceedings set forth in “Legal 

Proceedings” in our 2022 Form 10-K. We also provide information regarding material legal proceedings in “Note 13, 

Commitments and Contingencies,” which is incorporated herein by reference. In addition to the matters specifically 

described or incorporated by reference in this item, we are involved in legal and regulatory proceedings that arise in the 

ordinary course of business that we do not expect will have a material impact on our business or financial condition. 

However, litigation claims and proceedings of all types are subject to many factors and their outcome and effect on our 

business and financial condition generally cannot be predicted accurately. 

We establish an accrual for legal claims only when a loss is probable and we can reasonably estimate the amount of 

such loss. The actual costs of resolving legal claims may be substantially higher or lower than the amounts accrued for 

those claims. If certain of these matters are determined against us, FHFA or Treasury, it could have a material adverse 

effect on our results of operations, liquidity and financial condition, including our net worth. 

Senior Preferred Stock Purchase Agreements Litigation

Since June 2013, preferred and common stockholders of Fannie Mae and Freddie Mac filed lawsuits in multiple federal 

courts against one or more of the United States, Treasury and FHFA, challenging actions taken by the defendants 

relating to the Fannie Mae and Freddie Mac senior preferred stock purchase agreements and the conservatorships of 

Fannie Mae and Freddie Mac. Some of these lawsuits also contain claims against Fannie Mae and Freddie Mac. The 

legal claims being advanced by one or more of these lawsuits include challenges to the net worth sweep dividend 

provisions of the senior preferred stock that were implemented pursuant to August 2012 amendments to the 

agreements, the payment of dividends to Treasury under the net worth sweep dividend provisions, and FHFA’s decision 

to require Fannie Mae and Freddie Mac to draw funds from Treasury to pay dividends to Treasury prior to the August 

2012 amendments. The plaintiffs seek various forms of equitable and injunctive relief as well as damages. The cases 

that remain pending or were terminated after December 31, 2022 are as follows:

District of Columbia (In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action 

Litigations and Fairholme Funds v. FHFA). Fannie Mae is a defendant in two cases in the U.S. District Court for the 

District of Columbia, including a consolidated class action. The cases were consolidated for trial and a trial was 

conducted from October 17, 2022 to November 1, 2022. The jury was not able to reach a verdict and the judge declared 

a mistrial on November 7, 2022. A new trial is scheduled to begin on July 24, 2023. See “Note 13, Commitments and 

Contingencies” for additional information. 

Southern District of Texas (Collins, et al. v. Yellen, et al.). On October 20, 2016, preferred and common stockholders 

filed a complaint against FHFA and Treasury in the U.S. District Court for the Southern District of Texas. On May 22, 

2017, the court dismissed the case. On September 6, 2019, the U.S. Court of Appeals for the Fifth Circuit, sitting en 

banc, affirmed the district court’s dismissal of claims against Treasury, but reversed the dismissal of claims against 

FHFA. 

On June 23, 2021, the U.S. Supreme Court held that FHFA did not exceed its statutory powers as conservator when it 

agreed to the net worth sweep dividend provisions of the third amendment to the senior preferred stock purchase 

agreements in August 2012. The court also held that the provision of the Housing and Economic Recovery Act of 2008 

that restricts the President’s power to remove the FHFA Director without cause violates the Constitution’s separation of 

powers and, thus, the FHFA Director may be removed by the President for any reason. The court rejected plaintiffs’ 

request to rescind the third amendment to the senior preferred stock purchase agreements. However, the Supreme 

Court remanded the case to the Fifth Circuit for further proceedings on the sole issue of whether the stockholders 

suffered compensable harm related to the constitutional claim during the limited time-period when a Senate-confirmed 

FHFA Director was in office. On March 4, 2022, the Fifth Circuit remanded the case to the district court for further 

proceedings on the compensable harm issue. On June 3, 2022, the stockholders filed an amended complaint and on 

July 18, 2022, FHFA and Treasury moved to dismiss that complaint. On November 21, 2022, the district court dismissed 

the case and on December 5, 2022, plaintiffs filed a notice of appeal.

Western District of Michigan (Rop et al. v. FHFA et al.). On June 1, 2017, preferred and common stockholders of Fannie 

Mae and Freddie Mac filed a complaint for declaratory and injunctive relief against FHFA and Treasury in the U.S. 

District Court for the Western District of Michigan. FHFA and Treasury moved to dismiss the case on September 8, 

2017, and plaintiffs filed a motion for summary judgment on October 6, 2017. On September 8, 2020, the court denied 

plaintiffs’ motion for summary judgment and granted defendants’ motion to dismiss. On October 4, 2022, the U.S. Court 

of Appeals for the Sixth Circuit reversed the dismissal and remanded the case to the district court to determine whether 

Other Information

Fannie Mae First Quarter 2023 Form 10-Q 110
the stockholders suffered compensable harm. On February 2, 2023, plaintiffs filed a petition with the Supreme Court 

seeking review of the Sixth Circuit’s decision.

District of Minnesota (Bhatti et al. v. FHFA et al.). On June 22, 2017, preferred and common stockholders of Fannie 

Mae and Freddie Mac filed a complaint for declaratory and injunctive relief against FHFA and Treasury in the U.S. 

District Court for the District of Minnesota. The court dismissed the case on July 6, 2018. On October 6, 2021, the U.S. 

Court of Appeals for the Eighth Circuit affirmed in part and reversed in part the district court’s ruling and remanded the 

case to the district court to determine whether the stockholders suffered compensable harm. On January 26, 2022, 

plaintiffs filed an amended complaint. On March 11, 2022 and March 14, 2022, Treasury and FHFA each filed motions to 

dismiss the new complaint. On December 16, 2022, the district court dismissed the case and on January 9, 2023, 

plaintiffs filed a notice of appeal.

Eastern District of Pennsylvania (Wazee Street Opportunities Fund IV L.P. et al. v. FHFA et al.). On August 16, 2018, 

common stockholders of Fannie Mae and Freddie Mac filed a complaint for declaratory and injunctive relief against 

FHFA and Treasury in the U.S. District Court for the Eastern District of Pennsylvania. FHFA and Treasury moved to 

dismiss the case on November 16, 2018, and plaintiffs filed a motion for summary judgment on December 21, 2018. 

This case is currently stayed.

U.S. Court of Federal Claims. Numerous cases were filed against the United States in the U.S. Court of Federal Claims, 

with four of those cases listing Fannie Mae as a nominal defendant: Fisher v. United States of America, filed on 

December 2, 2013; Rafter v. United States of America, filed on August 14, 2014; Perry Capital LLC v. United States of 

America, filed on August 15, 2018; and Fairholme Funds Inc. v. United States, which was originally filed on July 9, 2013, 

and amended to include Fannie Mae as a nominal defendant on October 2, 2018. Plaintiffs in these cases alleged that 

the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to the August 

2012 amendment constituted a taking of Fannie Mae’s property without just compensation in violation of the U.S. 

Constitution; certain plaintiffs alleged other claims, including breach of contract and breach of fiduciary duty. The Fisher

plaintiffs are pursuing only derivative claims on behalf of Fannie Mae, while the plaintiffs in Rafter, Perry Capital and 

Fairholme Funds alleged direct claims against the United States, in addition to derivative claims on behalf of Fannie 

Mae. The United States filed a motion to dismiss the Fisher, Rafter and Fairholme Funds cases, as well as other cases 

that did not list Fannie Mae as a nominal defendant, on August 1, 2018. On December 6, 2019, the court entered an 

order in the Fairholme Funds case that granted the government’s motion to dismiss all the direct claims but denied the 

motion as to the derivative claims brought on behalf of Fannie Mae. In the Fisher case, the court denied the 

government’s motion to dismiss on May 8, 2020 and, on August 21, 2020, the Federal Circuit denied the Fisher 

plaintiffs’ request for interlocutory appeal. The plaintiffs in Fairholme Funds and other cases affected by the court’s 

December 6, 2019 decision appealed that decision to the Federal Circuit. On February 22, 2022, the Federal Circuit 

affirmed the dismissal of the plaintiffs’ direct claims but reversed the U.S. Court of Federal Claims’ ruling on plaintiffs’ 

derivative claims, holding that those claims should also be dismissed. On July 22, 2022, the plaintiffs in Fairholme 

Funds and in other cases that did not list Fannie Mae as a nominal defendant filed petitions with the Supreme Court 

seeking review of the Federal Circuit’s decision. On January 9, 2023, the Supreme Court denied these petitions. 

With the exception of the Fisher case, the four cases filed in the U.S. Court of Federal Claims that listed Fannie Mae as 

a nominal defendant have been dismissed. The Perry Capital case was dismissed on January 30, 2023, the Fairholme 

Funds case was dismissed on February 1, 2023, and the Rafter case was dismissed on March 1, 2023.

Item 1A. Risk Factors

In addition to the information in this report, you should carefully consider the risks relating to our business that we 

identify in “Risk Factors” in our 2022 Form 10-K. Also refer to “MD&A—Key Market Economic Indicators,” “MD&A—Risk 

Management,” “MD&A—Single-Family Business” and “MD&A—Multifamily Business” in our 2022 Form 10-K and in this 

report for more detailed descriptions of the primary risks to our business and how we seek to manage those risks.

The risks we face could materially adversely affect our business, results of operations, financial condition, liquidity and 

net worth, and could cause our actual results to differ materially from our past results or the results contemplated by any 

forward-looking statements we make. We believe the risks described in the other sections of this report and our 2022

Form 10-K referenced above are the most significant we face; however, these are not the only risks we face. We face 

additional risks and uncertainties not currently known to us or that we currently believe are immaterial.

Other Information

Fannie Mae First Quarter 2023 Form 10-Q 111
Item 2. Unregistered Sales of Equity Securities and Use of 

Proceeds

Common Stock

Our common stock is traded in the over-the-counter market and quoted on the OTCQB, operated by OTC Markets 

Group Inc., under the ticker symbol “FNMA.”

Recent Sales of Unregistered Equity Securities

Under the terms of our senior preferred stock purchase agreement with Treasury, we are prohibited from selling or 

issuing our equity interests without the prior written consent of Treasury except under limited circumstances, which are 

described in “Business—Conservatorship and Treasury Agreements—Treasury Agreements—Covenants under 

Treasury Agreements” in our 2022 Form 10-K. During the quarter ended March 31, 2023, we did not sell any equity 

securities.

Information about Certain Securities Issuances by Fannie Mae

Pursuant to SEC regulations, public companies are required to disclose certain information when they incur a material 

direct financial obligation or become directly or contingently liable for a material obligation under an off-balance sheet 

arrangement. The disclosure must be made in a current report on Form 8-K under Item 2.03 or, if the obligation is 

incurred in connection with certain types of securities offerings, in prospectuses for that offering that are filed with the 

SEC.

Because the securities we issue are exempted securities under the Securities Act of 1933, we do not file registration 

statements or prospectuses with the SEC with respect to our securities offerings. To comply with the disclosure 

requirements of Form 8-K relating to the incurrence of material financial obligations, in accordance with a “no-action” 

letter we received from the SEC staff in 2004, we report our incurrence of these types of obligations in offering circulars 

or prospectuses (or supplements thereto) that we post on our website within the same time period that a prospectus for 

a non-exempt securities offering would be required to be filed with the SEC. To the extent we incur a material financial 

obligation that is not disclosed in this manner, we would file a Form 8-K if required to do so under applicable Form 8-K 

requirements. 

The website address for disclosure about our debt securities is www.fanniemae.com/debtsearch. From this address, 

investors can access the offering circular and related supplements for debt securities offerings under Fannie Mae’s 

universal debt facility, including pricing supplements for individual issuances of debt securities.

Disclosure about our obligations pursuant to the MBS we issue, some of which may be off-balance sheet obligations, 

can be found at www.fanniemae.com/mbsdisclosure. From this address, investors can access information and 

documents about our MBS, including prospectuses and related prospectus supplements.

We are providing our website address solely for your information. Information appearing on our website is not 

incorporated into this report.

Our Purchases of Equity Securities

We did not repurchase any of our equity securities during the first quarter of 2023.

Dividend Restrictions 

Our payment of dividends is subject to the following restrictions: 

Restrictions Relating to Conservatorship. Our conservator announced on September 7, 2008 that we would not pay any 

dividends on the common stock or on any series of preferred stock, other than the senior preferred stock. In addition, 

FHFA’s regulations relating to conservatorship and receivership operations prohibit us from paying any dividends while 

in conservatorship unless authorized by the Director of FHFA. The Director of FHFA has directed us to make dividend 

payments on the senior preferred stock on a quarterly basis for every dividend period for which dividends were payable.

Restrictions Under Senior Preferred Stock Purchase Agreement and Senior Preferred Stock. The senior preferred stock 

purchase agreement prohibits us from declaring or paying any dividends on Fannie Mae equity securities (other than 

the senior preferred stock) without the prior written consent of Treasury. In addition, the provisions of the senior 

preferred stock provide for dividends each quarter through and including the capital reserve end date in the amount, if 

any, by which our net worth as of the end of the immediately preceding fiscal quarter exceeds an applicable capital 

reserve amount. The applicable capital reserve amount is the amount of adjusted total capital necessary for us to meet 

the capital requirements and buffers set forth in the enterprise regulatory capital framework. The capital reserve end 

Other Information

Fannie Mae First Quarter 2023 Form 10-Q 112
date is defined as the last day of the second consecutive fiscal quarter during which we have had and maintained 

capital equal to, or in excess of, all of the capital requirements and buffers under the enterprise regulatory capital 

framework. After the capital reserve end date, the amount of quarterly dividends to Treasury will be equal to the lesser 

of any quarterly increase in our net worth and a 10% annual rate on the then-current liquidation preference of the senior 

preferred stock. As a result, our ability to retain earnings in excess of the capital requirements and buffers set forth in 

the enterprise regulatory capital framework will be limited. For more information on the terms of the senior preferred 

stock purchase agreement and senior preferred stock, see “Business—Conservatorship and Treasury Agreements” in 

our 2022 Form 10-K.

Additional Restrictions Relating to Preferred Stock. Payment of dividends on our common stock is also subject to the 

prior payment of dividends on our preferred stock and our senior preferred stock. Payment of dividends on all 

outstanding preferred stock, other than the senior preferred stock, is also subject to the prior payment of dividends on 

the senior preferred stock. 

Statutory Restrictions. Under the GSE Act, FHFA has authority to prohibit capital distributions, including payment of 

dividends, if we fail to meet our capital requirements. If FHFA classifies us as significantly undercapitalized, approval of 

the Director of FHFA is required for any dividend payment. Under the Charter Act and the GSE Act, we are not permitted 

to make a capital distribution if, after making the distribution, we would be undercapitalized. The Director of FHFA, 

however, may permit us to repurchase shares if the repurchase is made in connection with the issuance of additional 

shares or obligations in at least an equivalent amount and will reduce our financial obligations or otherwise improve our 

financial condition. 

While not currently applicable, our payment of dividends will be subject to the following restrictions under the enterprise 

regulatory capital framework effective on the date of termination of our conservatorship: 

Restrictions Under Enterprise Regulatory Capital Framework. During a calendar quarter, we will not be permitted to pay 

dividends or make any other capital distributions (or create an obligation to make such distributions) that, in the 

aggregate, exceed the amount equal to our eligible retained income for the quarter multiplied by our maximum payout 

ratio. The maximum payout ratio for a given quarter is the lowest of the payout ratios determined by our capital 

conservation buffer and our leverage buffer. We will not be subject to this limitation on distributions if we have a capital 

conservation buffer that is greater than our prescribed capital conservation buffer amount and a leverage buffer that is 

greater than our prescribed leverage buffer amount. Notwithstanding the above-described limitations, FHFA may permit 

us to make a distribution upon our request, if FHFA determines that the distribution would not be contrary to the 

purposes of this section of the enterprise regulatory capital framework or to our safety and soundness. We will not be 

permitted to make any distributions during a quarter if our eligible retained income is negative and either (a) our capital 

conservation buffer is less than our stress capital buffer or (b) our leverage buffer is less than our prescribed leverage 

buffer amount.

Item 3. Defaults Upon Senior Securities

None. 

Item 4. Mine Safety Disclosures

None.

Item 5. Other Information

None.

Other Information

Fannie Mae First Quarter 2023 Form 10-Q 113
Item 6. Exhibits

The exhibits listed below are being filed or furnished with or incorporated by reference into this report. 

3.1 Fannie Mae Charter Act (12 U.S.C. § 1716 et seq.) as amended through July 25, 2019 (Incorporated by 

reference to Exhibit 3.1 to Fannie Mae’s Quarterly Report on Form 10-Q for the quarter ended September 

30, 2019, filed October 31, 2019.)

3.2 Fannie Mae Bylaws, as amended through January 29, 2019 (Incorporated by reference to Exhibit 3.2 to 

Fannie Mae’s Annual Report on Form 10-K for the year ended December 31, 2018, filed February 14, 

2019.)

31.1 Certification of Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)

31.2 Certification of Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)

32.1 Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350

32.2 Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350

101. INS Inline XBRL Instance Document* - the instance document does not appear in the Interactive Data File 

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101. SCH Inline XBRL Taxonomy Extension Schema*

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Item Description

* The financial information contained in these Inline XBRL documents is unaudited.

Other Information

Fannie Mae First Quarter 2023 Form 10-Q 114
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be 

signed on its behalf by the undersigned thereunto duly authorized.

Federal National Mortgage Association

By: /s/ Priscilla Almodovar

Priscilla Almodovar

Chief Executive Officer

Date: May 2, 2023

By: /s/ Chryssa C. Halley

Chryssa C. Halley

Executive Vice President and 

Chief Financial Officer

Date: May 2, 2023

Signatures

Fannie Mae First Quarter 2023 Form 10-Q 115