FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAL] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMA] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAS] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAH] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMFN] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAJ] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAM] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAN] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAI] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAT] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAK] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMFM] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAO] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAG] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMFO] Filings |
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FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE [FNMAP] Filings |
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10-K | [2024-02-15] |
10-Q | [2023-10-31] |
10-Q | [2023-08-01] |
10-Q | [2023-05-02] |
10-K | [2023-02-14] |
10-Q | [2022-11-08] |
10-Q | [2022-07-29] |
10-Q | [2022-05-03] |
10-K | [2022-02-15] |
10-Q | [2021-10-29] |
10-Q | [2021-08-03] |
10-Q | [2021-04-30] |
10-K | [2021-02-12] |
10-Q | [2020-10-29] |
10-Q | [2020-07-30] |
10-Q | [2020-05-01] |
10-K | [2020-02-13] |
10-Q | [2019-10-31] |
10-Q | [2019-08-01] |
10-Q | [2019-05-01] |
10-K | [2019-02-14] |
10-Q | [2018-11-02] |
10-Q | [2018-08-02] |
10-Q | [2018-05-03] |
10-K | [2018-02-14] |
10-Q | [2017-11-02] |
10-Q | [2017-08-03] |
10-Q | [2017-05-05] |
10-K | [2017-02-17] |
10-Q | [2016-11-03] |
10-Q | [2016-08-04] |
10-Q | [2016-05-05] |
10-K | [2016-02-19] |
10-Q | [2015-11-05] |
10-Q | [2015-08-06] |
10-Q | [2015-05-07] |
10-K | [2015-02-20] |
10-Q | [2014-11-06] |
10-Q | [2014-08-07] |
10-Q | [2014-05-08] |
10-K | [2014-02-21] |
10-Q | [2013-11-07] |
10-Q | [2013-08-08] |
10-Q | [2013-05-09] |
10-K | [2013-04-02] |
10-Q | [2012-11-07] |
10-Q | [2012-08-08] |
10-Q | [2012-05-09] |
10-K | [2012-02-29] |
Fannie Mae |
Federally chartered corporation | |||||||
(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) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered |
None | N/A | N/A |
Large accelerated filer | ☐ | ☑ | ||
Non-accelerated filer | ☐ | Smaller reporting company | ||
Emerging growth company |
Table of Contents | ||
Page | ||
PART I | ||
Item 1. | Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
About Fannie Mae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Our Mission and Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Executive Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Business Segments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Competition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Mortgage Securitizations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Human Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Conservatorship and Treasury Agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Legislation and Regulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Where You Can Find Additional Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Forward-Looking Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Item 1A. | Risk Factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Risk Factors Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
GSE and Conservatorship Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Credit Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Operational and Model Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Liquidity and Funding Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Market and Industry Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Legal and Regulatory Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
General Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Item 1B. | Unresolved Staff Comments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 1C. | Cybersecurity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 2. | Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 3. | Legal Proceedings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 4. | Mine Safety Disclosures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
PART II | ||
Item 5. | Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 6. | [Reserved] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 7. | Management’s Discussion and Analysis of Financial Condition and Results of Operations . . . . . . . . . . . . . . . | |
Key Market Economic Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Consolidated Results of Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Consolidated Balance Sheet Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Retained Mortgage Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Guaranty Book of Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Single-Family Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Single-Family Primary Business Activities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Single-Family Lenders and Investors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Single-Family Competition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Single-Family Mortgage Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Single-Family Mortgage-Related Securities Issuances Share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Single-Family Business Metrics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Single-Family Business Financial Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
Fannie Mae 2023 Form 10-K | i |
Single-Family Mortgage Credit Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Multifamily Business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Multifamily Primary Business Activities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Multifamily Lenders and Investors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Multifamily Competition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Multifamily Mortgage Market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Multifamily Business Metrics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Multifamily Business Financial Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Multifamily Mortgage Credit Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Consolidated Credit Ratios and Select Credit Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Liquidity and Capital Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Credit Risk Management Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Mortgage Credit Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Climate and Natural Disaster Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Institutional Counterparty Credit Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Market Risk Management, including Interest-Rate Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Liquidity and Funding Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Operational Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Model Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Critical Accounting Estimates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Impact of Future Adoption of New Accounting Guidance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Glossary of Terms Used in This Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Item 7A. | Quantitative and Qualitative Disclosures about Market Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 8. | Financial Statements and Supplementary Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 9. | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure . . . . . . . . . . . . . . . | |
Item 9A. | Controls and Procedures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 9B. | Other Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 9C. | Disclosure Regarding Foreign Jurisdictions that Prevent Inspections . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
PART III | ||
Item 10. | Directors, Executive Officers and Corporate Governance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Directors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Corporate Governance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Report of the Audit Committee of the Board of Directors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Executive Officers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Item 11. | Executive Compensation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Compensation Discussion and Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Compensation Committee Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Compensation Risk Assessment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Compensation Tables and Other Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Item 12. | Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters . . . . . | |
Item 13. | Certain Relationships and Related Transactions, and Director Independence . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Policies and Procedures Relating to Transactions with Related Persons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Transactions with Related Persons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Director Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Item 14. | Principal Accounting Fees and Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Fannie Mae 2023 Form 10-K | ii |
PART IV | ||
Item 15. | Exhibits, Financial Statement Schedules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
Item 16. | Form 10-K Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | |
INDEX TO CONSOLIDATED FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
Fannie Mae 2023 Form 10-K | iii |
Business | About Fannie Mae |
Fannie Mae 2023 Form 10-K | 1 |
Business | Executive Summary |
Fannie Mae 2023 Form 10-K | 2 |
Single-Family Business Segment | ||
Primary Business Activities | Primary Drivers of Revenue1 | Primary Drivers of Expense1 |
Mortgage securitizations: Works with lenders to acquire single-family mortgage loans and issue MBS. Credit risk management: Prices and manages the credit risk on loans in our single-family guaranty book of business, which includes establishing underwriting and servicing standards. Enters into transactions that transfer a portion of the credit risk on some of the loans in our single-family guaranty book of business to third parties. Credit loss management: Works to reduce costs of defaulted single-family loans, including through forbearance plans, home retention solutions, foreclosure alternatives, management of foreclosures and our real- estate owned (“REO”) inventory, selling nonperforming loans, and pursuing contractual remedies from lenders, servicers and providers of credit enhancement. | Net interest income: Primary source is guaranty fees—compensation we receive for assuming the credit risk on our single- family guaranty book of business. There are two components of our single-family guaranty fee: •Base fees. Ongoing fees that factor into a mortgage loan’s interest rate, which are collected each month over the life of the mortgage loan. •Upfront fees. One-time payments made by lenders upon loan delivery to us. Includes risk-based fees (referred to as “loan-level price adjustments”) that vary based on loan and borrower attributes (such as loan size, loan-to-value (“LTV”) ratio, borrower credit score, etc.). These fees are amortized into net interest income over the life of the loan. Another source is net interest income earned from our corporate liquidity portfolio and retained mortgage portfolio. | Provision for credit losses: Consists of the provision for credit losses on loans in our single-family guaranty book of business. (In some periods, we may have a benefit for credit losses that contributes to net income if we reduce our single-family loss reserves.) Administrative expenses: Consists of salaries and benefits, occupancy costs, professional services, and other Single-Family business operations expenses. TCCA fees: Consists of a portion of our single-family guaranty fees that is paid to Treasury pursuant to the Temporary Payroll Tax Cut Continuation Act of 2011, as amended. |
Multifamily Business Segment | ||
Primary Business Activities | Primary Drivers of Revenue | Primary Drivers of Expense |
Mortgage securitizations: Works with lenders, primarily through our Delegated Underwriting and Servicing, or DUS®, program, to acquire multifamily mortgage loans and issue MBS. Credit risk management: Prices and manages the credit risk on loans in our multifamily guaranty book of business, which includes establishing underwriting and servicing standards. Lenders retain a portion (typically one-third) of the credit risk in most multifamily transactions. Enters into additional transactions that transfer a portion of the credit risk on some of the loans in our multifamily guaranty book of business to third parties. Credit loss management: Works to reduce costs of defaulted multifamily loans, including through loss mitigation strategies such as forbearance and modification, management of foreclosures and our REO inventory, and pursuing contractual remedies from lenders, servicers, borrowers, sponsors, and providers of credit enhancement. | Net interest income: Primary source is guaranty fees—compensation we receive for assuming the credit risk on our multifamily guaranty book of business. For multifamily loans, base fees are the primary component of our guaranty fee. Another source is net interest income earned from our corporate liquidity portfolio and retained mortgage portfolio. | Provision for credit losses: Consists of the provision for credit losses on loans in our multifamily guaranty book of business. (In some periods, we may have a benefit for credit losses that contributes to net income if we reduce our multifamily loss reserves.) Administrative expenses: Consists of salaries and benefits, occupancy costs, professional services, and other Multifamily business operations expenses. |
Business | Business Segments |
Fannie Mae 2023 Form 10-K | 3 |
Average charged guaranty fee on single-family conventional guaranty book of business (in basis points), net of TCCA fees(2) | Average charged guaranty fee on multifamily guaranty book of business (in basis points) at end of period | |||||||
Average single-family conventional guaranty book of business(3) | Multifamily guaranty book of business as of period end | |||||||
Business | Business Segments |
Fannie Mae 2023 Form 10-K | 4 |
Business | Business Segments |
Fannie Mae 2023 Form 10-K | 5 |
Business | Human Capital |
Fannie Mae 2023 Form 10-K | 6 |
Employee Diversity |
Racial or ethnic minorities | Women |
of our workforce | of officer-level employees1 | of our workforce | of officer-level employees1 |
Business | Human Capital |
Fannie Mae 2023 Form 10-K | 7 |
Treasury Funding Commitment | •On a quarterly basis, we may draw funds from Treasury to cover the amount that our total liabilities exceed our total assets for the applicable fiscal quarter (referred to as the “deficiency amount”), up to the amount of remaining funding commitment under the agreement. •As of the date of this filing: ◦$119.8 billion has been paid to us by Treasury under this funding commitment; and ◦$113.9 billion of funding commitment from Treasury remains; this amount would be reduced by any future payments by Treasury under the commitment. |
Business | Conservatorship and Treasury Agreements |
Fannie Mae 2023 Form 10-K | 8 |
Termination Provisions for Funding Commitment | •Treasury’s funding commitment has no specified end date, but will terminate upon: ◦our liquidation and the fulfillment of Treasury’s obligations under its funding commitment; ◦the payment in full of, or reasonable provision for, our liabilities (whether or not contingent, including guaranty obligations); or ◦Treasury funding the maximum amount under the agreement. •Treasury also may terminate its funding commitment and void the agreement if a court vacates, modifies, amends, conditions, enjoins, stays or otherwise affects the appointment of the conservator or curtails the conservator’s powers. |
Rights of Debt and MBS Holders | •Holders of our debt securities or our guaranteed MBS may file a claim in the United States Court of Federal Claims for relief if we default on our payment obligations on those securities and: ◦we and the conservator fail to exercise all rights under the agreement to draw on Treasury’s funding commitment, or ◦Treasury fails to perform its obligations under its funding commitment and we and/or the conservator are not diligently pursuing remedies for Treasury’s failure. •Holders may seek to require Treasury to fund us up to: ◦the amount necessary to cure the relevant payment defaults; ◦the deficiency amount; or ◦the amount of remaining funding under the agreement, whichever is the least. Any Treasury funding provided under these circumstances would increase the liquidation preference of the senior preferred stock. •The terms of the agreement generally may be amended or waived; however, no such amendment or waiver may decrease Treasury’s aggregate funding commitment or add conditions to Treasury’s funding commitment that would adversely affect in any material respect the holders of our debt or guaranteed MBS. |
Senior Preferred Stock Dividends | •Treasury, as the holder of the senior preferred stock, has received a total of $181.4 billion in senior preferred stock dividends through December 31, 2023. The dividends we have paid to Treasury were declared by, and paid at the direction of, our conservator. •Dividend payments we make to Treasury do not restore or increase the amount of Treasury’s funding commitment under the agreement. •We are currently not required to pay or accumulate new dividends to Treasury until our net worth exceeds the amount of adjusted total capital necessary for us to meet the capital requirements and buffers set forth in the enterprise regulatory capital framework. •Our net worth is the amount, if any, by which our total assets (excluding Treasury’s funding commitment and any unfunded amounts related to the commitment) exceed our total liabilities (excluding any obligation with respect to equity securities). •After the “capital reserve end date” (which is defined as the last day of the second consecutive fiscal quarter during which we have had and maintained capital equal to or exceeding the capital requirements and buffers set forth in the enterprise regulatory capital framework), the quarterly dividends due to Treasury under the senior preferred stock will be the lesser of (i) any quarterly increase in our net worth, and (ii) a 10% annual rate on the then-current liquidation preference of the senior preferred stock (or 12% if we fail to pay dividends to Treasury). •See “Risk Factors—GSE and Conservatorship Risk” for more information on risks associated with the resumption of dividends under the terms of the senior preferred stock. |
Business | Conservatorship and Treasury Agreements |
Fannie Mae 2023 Form 10-K | 9 |
Liquidation Preference | •The senior preferred stock: ◦has no par value; ◦had an aggregate initial liquidation preference of $1 billion; ◦had an aggregate liquidation preference of $195.2 billion as of December 31, 2023; ◦will have an aggregate liquidation preference of $199.2 billion as of March 31, 2024, due to the $4.0 billion increase in our net worth during the fourth quarter of 2023. •The aggregate liquidation preference of the senior preferred stock is increased by: ◦any amounts Treasury pays pursuant to its funding commitment under the agreement; ◦any quarterly commitment fees that are payable but not paid by us; ◦any senior preferred stock dividends that are payable but not paid to Treasury; and ◦for each fiscal quarter through and including the capital reserve end date, an amount equal to the increase in our net worth, if any, during the immediately prior fiscal quarter. •The senior preferred stock ranks ahead of our common and preferred stock as to both dividends and rights upon liquidation. If we are liquidated, the holder of the senior preferred stock is entitled to its then-current liquidation preference before any distributions are made on our other equity securities. |
Limits on Redemptions and Paydowns | •We may not redeem or retire the senior preferred stock prior to the termination of Treasury’s funding commitment under the agreement. •We may not reduce or pay down the liquidation preference of the senior preferred stock out of regular corporate funds, except to the extent of: ◦accumulated and unpaid dividends previously added to the liquidation preference; and ◦quarterly commitment fees previously added to the liquidation preference. •While the senior preferred stock remains outstanding, we are required to use the net cash proceeds of issuances of equity securities to pay down the liquidation preference of the senior preferred stock; however, we are permitted to retain up to $70 billion in aggregate gross cash proceeds from issuances of common stock. •The liquidation preference of the senior preferred stock may not be paid down below $1,000 per share prior to the termination of Treasury’s funding commitment. After termination, we may fully pay down the liquidation preference of the senior preferred stock. |
Commitment Fee | •The agreement provides for the payment of an unspecified quarterly commitment fee to Treasury to compensate it for its ongoing support under the agreement. •Until the capital reserve end date, the periodic commitment fee will not be set, accrue, or be payable. •No later than the capital reserve end date, we and Treasury, in consultation with the Chair of the Federal Reserve, will agree on the amount of the periodic commitment fee. |
Dividends and Share Repurchases | •We may not pay dividends or make other distributions on or repurchase our equity securities (other than the senior preferred stock). |
Issuances of Equity Securities | •We may not issue equity securities, except for common stock issued: ◦upon exercise of the warrant; ◦as required by any pre-conservatorship agreements; and ◦following the satisfaction of two conditions: (a) the exercise of the warrant in full, and (b) the resolution of all currently pending significant litigation relating to the conservatorship and the August 2012 amendment to the senior preferred stock purchase agreement. |
Business | Conservatorship and Treasury Agreements |
Fannie Mae 2023 Form 10-K | 10 |
Termination of Conservatorship | •Neither we nor FHFA may terminate or seek to terminate the conservatorship, other than through a receivership, without the prior consent of Treasury, with one exception that allows FHFA to terminate our conservatorship without the prior consent of Treasury if the following conditions are met: ◦all currently pending significant litigation relating to the conservatorship and the August 2012 amendment to the senior preferred stock purchase agreement has been resolved; and ◦for two or more consecutive quarters, our common equity tier 1 capital (as defined in the enterprise regulatory capital framework), together with any stockholder equity that would result from a firm commitment public underwritten offering of common stock which is fully consummated concurrent with the termination of conservatorship, equals or exceeds at least 3% of our adjusted total assets (as defined in the enterprise regulatory capital framework). As of December 31, 2023, 3% of our adjusted total assets was $136.6 billion and we had a common equity tier 1 capital deficit of $74 billion. |
Asset Dispositions | •We may not sell, transfer, lease or otherwise dispose of any assets, except for dispositions for fair market value in limited circumstances, including if: ◦the transaction is in the ordinary course of business and consistent with past practice; or ◦the assets have a fair market value individually or in the aggregate of less than $250 million. |
Subordinated Debt | •We may not issue any subordinated debt securities. |
Mortgage Assets Limit | •We may not hold mortgage assets in excess of $225 billion; however, we are currently managing our business to a $202.5 billion mortgage asset cap according to FHFA instructions. |
Indebtedness Limit | •We may not have indebtedness in excess of $270 billion. |
Executive Compensation | •We may not enter into any new compensation arrangements or increase amounts or benefits payable under existing compensation arrangements with any of our executive officers (as defined by SEC rules) without the consent of the Director of FHFA, in consultation with the Secretary of the Treasury. |
Equitable Access and Offers for Single-Family Mortgage Loans | •We may not vary our pricing or acquisition terms for single-family loans based on the business characteristics of the seller, including the seller’s size, charter type, or volume of business with us. •We must offer to purchase at all times, for equivalent cash consideration and on substantially the same terms, any single-family mortgage loan that: ◦is of a class of loans that we then offer to acquire for inclusion in our MBS or for other non- cash consideration; ◦is offered by a seller that has been approved to do business with us; and ◦has been originated and sold in compliance with our underwriting standards. |
Business | Conservatorship and Treasury Agreements |
Fannie Mae 2023 Form 10-K | 11 |
Single-Family Loan Eligibility Program | •We must maintain a program reasonably designed to ensure that the single-family loans we acquire are limited to: ◦qualified mortgages; ◦government-backed loans; ◦loans exempt from the Consumer Financial Protection Bureau’s (the “CFPB’s”) ability-to- repay and qualified mortgage rule (other than loans secured by timeshares and home equity lines of credit, which we are not allowed to buy); ◦loans secured by an investment property; ◦refinancing loans with streamlined underwriting originated in accordance with our eligibility criteria for high LTV ratio refinancings; ◦loans originated with temporary underwriting flexibilities during times of exigent circumstances, as determined in consultation with FHFA; ◦loans secured by manufactured housing; and ◦such other loans that FHFA may designate that were eligible for purchase by us as of January 2021. |
Enterprise Regulatory Capital Framework | •We are required to comply with the enterprise regulatory capital framework rule published by FHFA in the Federal Register on December 17, 2020, disregarding any subsequent amendments or modifications to the rule. •FHFA has subsequently amended the enterprise regulatory capital framework and instructed us to comply with the framework as amended. Accordingly, we are not in compliance with this covenant. •While our compliance with the covenants in the senior preferred stock purchase agreement is not a condition of Treasury’s funding commitment under that agreement, FHFA, as our conservator and regulator, has the authority to direct compliance or impose consequences for any non-compliance with that agreement. |
Risk Management Plan | •While in conservatorship, we must provide an annual risk management plan to Treasury. |
Business | Conservatorship and Treasury Agreements |
Fannie Mae 2023 Form 10-K | 12 |
Business | Legislation and Regulation |
Fannie Mae 2023 Form 10-K | 13 |
Business | Legislation and Regulation |
Fannie Mae 2023 Form 10-K | 14 |
Business | Legislation and Regulation |
Fannie Mae 2023 Form 10-K | 15 |
Single-Family Housing Goals | ||||||
2022(1) | ||||||
FHFA Benchmark | Single- Family Market Level | Result | ||||
Low-income home purchase goal(2) | 28 | % | 26.8 | % | 27.4 | % |
Very low-income home purchase goal(3) | 7 | 6.8 | 6.9 | |||
Low-income areas home purchase goal(4) | 20 | 28.0 | 29.6 | |||
Minority census tracts subgoal(5) | 10 | 12.1 | 13.5 | |||
Low-income census tracts subgoal(6) | 4 | 9.7 | 9.3 | |||
Low-income refinancing goal(7) | 26 | 37.3 | 34.7 |
Business | Legislation and Regulation |
Fannie Mae 2023 Form 10-K | 16 |
Multifamily Housing Goals | ||||||
2022 | 2023 and 2024 | |||||
Goal | Result | Goal | ||||
(Fixed number of units) | (Percentage share of goal-eligible units) | |||||
Low-income goal(1) | 415,000 | 419,361 | 61 | % | ||
Very low-income subgoal(2) | 88,000 | 127,905 | 12 | |||
Small multifamily low-income subgoal(3) | 17,000 | 21,436 | 2.5 |
Business | Legislation and Regulation |
Fannie Mae 2023 Form 10-K | 17 |
Business | Legislation and Regulation |
Fannie Mae 2023 Form 10-K | 18 |
Business | Forward-Looking Statements |
Fannie Mae 2023 Form 10-K | 19 |
Business | Forward-Looking Statements |
Fannie Mae 2023 Form 10-K | 20 |
Business | Forward-Looking Statements |
Fannie Mae 2023 Form 10-K | 21 |
Business | Forward-Looking Statements |
Fannie Mae 2023 Form 10-K | 22 |
Risk Factors | Risk Factors Summary |
Fannie Mae 2023 Form 10-K | 23 |
Risk Factors | Risk Factors Summary |
Fannie Mae 2023 Form 10-K | 24 |
Risk Factors | GSE and Conservatorship Risk |
Fannie Mae 2023 Form 10-K | 25 |
Risk Factors | GSE and Conservatorship Risk |
Fannie Mae 2023 Form 10-K | 26 |
Risk Factors | GSE and Conservatorship Risk |
Fannie Mae 2023 Form 10-K | 27 |
Risk Factors | GSE and Conservatorship Risk |
Fannie Mae 2023 Form 10-K | 28 |
Risk Factors | GSE and Conservatorship Risk |
Fannie Mae 2023 Form 10-K | 29 |
Risk Factors | GSE and Conservatorship Risk |
Fannie Mae 2023 Form 10-K | 30 |
Risk Factors | Credit Risk |
Fannie Mae 2023 Form 10-K | 31 |
Risk Factors | Credit Risk |
Fannie Mae 2023 Form 10-K | 32 |
Risk Factors | Credit Risk |
Fannie Mae 2023 Form 10-K | 33 |
Risk Factors | Credit Risk |
Fannie Mae 2023 Form 10-K | 34 |
Risk Factors | Credit Risk |
Fannie Mae 2023 Form 10-K | 35 |
Risk Factors | Operational and Model Risk |
Fannie Mae 2023 Form 10-K | 36 |
Risk Factors | Operational and Model Risk |
Fannie Mae 2023 Form 10-K | 37 |
Risk Factors | Operational and Model Risk |
Fannie Mae 2023 Form 10-K | 38 |
Risk Factors | Operational and Model Risk |
Fannie Mae 2023 Form 10-K | 39 |
Risk Factors | Operational and Model Risk |
Fannie Mae 2023 Form 10-K | 40 |
Risk Factors | Liquidity and Funding Risk |
Fannie Mae 2023 Form 10-K | 41 |
Risk Factors | Market and Industry Risk |
Fannie Mae 2023 Form 10-K | 42 |
Risk Factors | Market and Industry Risk |
Fannie Mae 2023 Form 10-K | 43 |
Risk Factors | Legal and Regulatory Risk |
Fannie Mae 2023 Form 10-K | 44 |
Risk Factors | General Risk |
Fannie Mae 2023 Form 10-K | 45 |
Cybersecurity | Cybersecurity Risk Management and Strategy |
Fannie Mae 2023 Form 10-K | 46 |
Cybersecurity | Cybersecurity Governance |
Fannie Mae 2023 Form 10-K | 47 |
Cybersecurity | Cybersecurity Governance |
Fannie Mae 2023 Form 10-K | 48 |
Legal Proceedings |
Fannie Mae 2023 Form 10-K | 49 |
Legal Proceedings |
Fannie Mae 2023 Form 10-K | 50 |
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities |
Fannie Mae 2023 Form 10-K | 51 |
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities |
Fannie Mae 2023 Form 10-K | 52 |
MD&A | Key Market Economic Indicators |
Fannie Mae 2023 Form 10-K | 53 |
MD&A | Key Market Economic Indicators |
Fannie Mae 2023 Form 10-K | 54 |
MD&A | Key Market Economic Indicators |
Fannie Mae 2023 Form 10-K | 55 |
MD&A | Key Market Economic Indicators |
Fannie Mae 2023 Form 10-K | 56 |
Summary of Consolidated Results of Operations | ||||||||||||||
For the Year Ended December 31, | Variance | |||||||||||||
2023 | 2022 | 2021 | 2023 vs. 2022 | 2022 vs. 2021 | ||||||||||
(Dollars in millions) | ||||||||||||||
Net interest income | $28,773 | $29,423 | $29,587 | $(650) | $(164) | |||||||||
Fee and other income(1) | 275 | 312 | 361 | (37) | (49) | |||||||||
Net revenues | 29,048 | 29,735 | 29,948 | (687) | (213) | |||||||||
Investment gains (losses), net | (53) | (297) | 1,352 | 244 | (1,649) | |||||||||
Fair value gains, net | 1,304 | 1,284 | 155 | 20 | 1,129 | |||||||||
Administrative expenses | (3,604) | (3,329) | (3,065) | (275) | (264) | |||||||||
Benefit (provision) for credit losses | 1,670 | (6,277) | 5,130 | 7,947 | (11,407) | |||||||||
TCCA fees(2) | (3,431) | (3,369) | (3,071) | (62) | (298) | |||||||||
Credit enhancement expense(3) | (1,512) | (1,323) | (1,051) | (189) | (272) | |||||||||
Change in expected credit enhancement recoveries(4) | (193) | 727 | (194) | (920) | 921 | |||||||||
Other expenses, net(5) | (1,273) | (918) | (1,255) | (355) | 337 | |||||||||
Income before federal income taxes | 21,956 | 16,233 | 27,949 | 5,723 | (11,716) | |||||||||
Provision for federal income taxes | (4,548) | (3,310) | (5,773) | (1,238) | 2,463 | |||||||||
Net income | $17,408 | $12,923 | $22,176 | $4,485 | $(9,253) | |||||||||
Total comprehensive income | $17,405 | $12,920 | $22,098 | $4,485 | $(9,178) |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 57 |
Components of Net Interest Income | ||||||||||
For the Year Ended December 31, | Variance | |||||||||
2023 | 2022 | 2021 | 2023 vs. 2022 | 2022 vs. 2021 | ||||||
(Dollars in millions) | ||||||||||
Net interest income from guaranty book of business: | ||||||||||
Base guaranty fee income(1) | $16,155 | $16,072 | $14,159 | $83 | $1,913 | |||||
Base guaranty fee income related to TCCA(2) | 3,431 | 3,369 | 3,071 | 62 | 298 | |||||
Net deferred guaranty fee income(3) | 4,003 | 7,099 | 11,243 | (3,096) | (4,144) | |||||
Total net interest income from guaranty book of business | 23,589 | 26,540 | 28,473 | (2,951) | (1,933) | |||||
Net interest income from portfolios(4) | 6,173 | 2,954 | 941 | 3,219 | 2,013 | |||||
Income (expense) from hedge accounting(5) | (989) | (71) | 173 | (918) | (244) | |||||
Total net interest income | $28,773 | $29,423 | $29,587 | $(650) | $(164) |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 58 |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 59 |
Interest Rates of Single-Family Conventional Guaranty Book of Business Compared with Average 30-Year Fixed- Rate Mortgage Rate | Unamortized Deferred Guaranty Fees(1) |
As of December 31, 2023 | (Dollars in billions) |
— | Represents the average 30-year fixed-rate mortgage rate as of December 28, 2023, according to Freddie Mac’s Primary Mortgage Market Survey®, the last published rate for the year ending December 31, 2023. | (1) | Represents the net unamortized cost basis adjustments (consisting of premiums and discounts on mortgage loans and debt of consolidated trusts) that will be recognized through deferred guaranty fee income over the remaining contractual life of the mortgage loans or debt. Although we are in a net premium position for both mortgage loans and debt of consolidated trusts, we have a greater amount of premiums with respect to debt of consolidated trusts. Primarily as a result of the upfront fees we charge, the net amortization of these cost basis adjustments will result in income. Includes cost basis adjustments on both single- family and multifamily mortgage loans and debt of consolidated trusts. | ||
— | Represents the percentage of single-family conventional guaranty book of business by select interest rate band based on the current interest rate of the mortgage loans. |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 60 |
Analysis of Net Interest Income and Yield(1) | ||||||||||||||||||
For the Year Ended December 31, | ||||||||||||||||||
2023 | 2022 | 2021 | ||||||||||||||||
Average Balance | Interest Income/ (Expense) | Average Rates Earned/ Paid | 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 | $52,074 | $2,438 | 4.68% | $60,587 | $2,835 | 4.68% | $89,603 | $2,953 | 3.30% | |||||||||
Mortgage loans of consolidated trusts | 4,082,569 | 130,796 | 3.20 | 4,019,332 | 114,978 | 2.86 | 3,746,113 | 95,977 | 2.56 | |||||||||
Total mortgage loans(2) | 4,134,643 | 133,234 | 3.22 | 4,079,919 | 117,813 | 2.89 | 3,835,716 | 98,930 | 2.58 | |||||||||
Investments in securities(3) | 112,446 | 4,158 | 3.70 | 128,245 | 1,828 | 1.41 | 168,702 | 582 | 0.34 | |||||||||
Securities purchased under agreements to resell | 40,992 | 2,120 | 5.17 | 25,374 | 524 | 2.04 | 46,165 | 21 | 0.04 | |||||||||
Advances to lenders | 3,137 | 202 | 6.44 | 5,170 | 132 | 2.52 | 9,086 | 142 | 1.54 | |||||||||
Total interest-earning assets | $4,291,218 | $139,714 | 3.25% | $4,238,708 | $120,297 | 2.84% | $4,059,669 | $99,675 | 2.46% | |||||||||
Interest-bearing liabilities: | ||||||||||||||||||
Short-term funding debt | $13,440 | $(672) | 5.00 | $4,429 | $(76) | 1.69 | $5,748 | $(4) | 0.07 | |||||||||
Long-term funding debt | 113,958 | (3,624) | 3.18 | 139,098 | (2,481) | 1.78 | 231,344 | (2,707) | 1.17 | |||||||||
CAS debt | 4,021 | (415) | 10.32 | 8,658 | (511) | 5.90 | 13,896 | (581) | 4.18 | |||||||||
Total debt of Fannie Mae | 131,419 | (4,711) | 3.58 | 152,185 | (3,068) | 2.02 | 250,988 | (3,292) | 1.31 | |||||||||
Debt securities of consolidated trusts held by third parties | 4,083,997 | (106,230) | 2.60 | 4,030,467 | (87,806) | 2.18 | 3,778,755 | (66,796) | 1.77 | |||||||||
Total interest-bearing liabilities | $4,215,416 | $(110,941) | 2.63% | $4,182,652 | $(90,874) | 2.17% | $4,029,743 | $(70,088) | 1.74% | |||||||||
Net interest income/net interest yield | $28,773 | 0.67% | $29,423 | 0.69% | $29,587 | 0.73% |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 61 |
Rate/Volume Analysis of Changes in Net Interest Income | ||||||||||||
2023 vs. 2022 | 2022 vs. 2021 | |||||||||||
Total Variance | Variance Due to:(1) | Total Variance | Variance Due to:(1) | |||||||||
Volume | Rate | Volume | Rate | |||||||||
(Dollars in millions) | ||||||||||||
Interest income: | ||||||||||||
Mortgage loans of Fannie Mae | $(397) | $(398) | $1 | $(118) | $(1,131) | $1,013 | ||||||
Mortgage loans of consolidated trusts | 15,818 | 1,834 | 13,984 | 19,001 | 7,314 | 11,687 | ||||||
Total mortgage loans | 15,421 | 1,436 | 13,985 | 18,883 | 6,183 | 12,700 | ||||||
Investments in securities(2) | 2,330 | (251) | 2,581 | 1,246 | (170) | 1,416 | ||||||
Securities purchased under agreements to resell | 1,596 | 463 | 1,133 | 503 | (14) | 517 | ||||||
Advances to lenders | 70 | (68) | 138 | (10) | (77) | 67 | ||||||
Total interest income | 19,417 | 1,580 | 17,837 | 20,622 | 5,922 | 14,700 | ||||||
Interest expense: | ||||||||||||
Short-term funding debt | (596) | (307) | (289) | (72) | 1 | (73) | ||||||
Long-term funding debt | (1,143) | 514 | (1,657) | 226 | 1,324 | (1,098) | ||||||
CAS debt | 96 | 359 | (263) | 70 | 262 | (192) | ||||||
Total debt of Fannie Mae | (1,643) | 566 | (2,209) | 224 | 1,587 | (1,363) | ||||||
Debt securities of consolidated trusts held by third parties | (18,424) | (1,181) | (17,243) | (21,010) | (4,680) | (16,330) | ||||||
Total interest expense | (20,067) | (615) | (19,452) | (20,786) | (3,093) | (17,693) | ||||||
Net interest income | $(650) | $965 | $(1,615) | $(164) | $2,829 | $(2,993) |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 62 |
Fair Value Gains, Net | ||||||
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
(Dollars in millions) | ||||||
Risk management derivatives fair value gains attributable to: | ||||||
Net contractual interest income (expense) on interest-rate swaps(1) | $(1,444) | $(492) | $227 | |||
Net change in fair value during the period | 1,311 | (1,891) | (1,284) | |||
Impact of hedge accounting(2) | 481 | 2,763 | 1,242 | |||
Risk management derivatives fair value gains, net | 348 | 380 | 185 | |||
Mortgage commitment derivatives fair value gains, net | 120 | 2,708 | 551 | |||
Credit enhancement derivatives fair value gains (losses), net | 46 | (97) | (178) | |||
Total derivatives fair value gains, net | 514 | 2,991 | 558 | |||
Trading securities gains (losses), net | 1,006 | (3,504) | (1,060) | |||
Long-term debt fair value gains (losses), net | (308) | 2,265 | 631 | |||
Other, net(3) | 92 | (468) | 26 | |||
Fair value gains, net | $1,304 | $1,284 | $155 |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 63 |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 64 |
Components of Benefit (Provision) for Credit Losses and Change in Expected Credit Enhancement Recoveries | ||||||
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
(Dollars in millions) | ||||||
Single-family benefit (provision) for credit losses: | ||||||
Changes in loan activity(1)(2) | $(1,348) | $(1,347) | $201 | |||
Redesignation of loans from HFI to HFS | (616) | (306) | 1,233 | |||
Actual and forecasted home prices | 4,350 | (2,867) | 3,026 | |||
Actual and projected interest rates | 66 | (1,072) | (639) | |||
Release of economic concessions(3) | 77 | 793 | — | |||
Changes in assumptions regarding COVID-19 forbearance and loan delinquencies(2) | — | — | 713 | |||
Other(4) | (364) | (230) | 64 | |||
Single-family benefit (provision) for credit losses | 2,165 | (5,029) | 4,598 | |||
Multifamily benefit (provision) for credit losses: | ||||||
Changes in loan activity(1)(2) | (310) | (150) | (202) | |||
Actual and projected interest rates | 12 | (279) | 9 | |||
Actual and projected economic data(5) | (258) | 105 | 571 | |||
Estimated impact of the COVID-19 pandemic(2) | — | — | 119 | |||
Other(4) | 61 | (924) | 33 | |||
Multifamily benefit (provision) for credit losses | (495) | (1,248) | 530 | |||
Total benefit (provision) for credit losses(6) | $1,670 | $(6,277) | $5,128 | |||
Change in expected credit enhancement recoveries:(7) | ||||||
Single-family | $(310) | $470 | $(86) | |||
Multifamily | 117 | 257 | (108) | |||
Change in expected credit enhancement recoveries | $(193) | $727 | $(194) |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 65 |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 66 |
MD&A | Consolidated Results of Operations |
Fannie Mae 2023 Form 10-K | 67 |
Summary of Consolidated Balance Sheets | ||||||||
As of December 31, | ||||||||
2023 | 2022 | Variance | ||||||
(Dollars in millions) | ||||||||
Assets | ||||||||
Cash and cash equivalents and securities purchased under agreements to resell | $66,517 | $72,552 | $(6,035) | |||||
Restricted cash and cash equivalents | 32,889 | 29,854 | 3,035 | |||||
Investments in securities, at fair value | 53,116 | 50,825 | 2,291 | |||||
Mortgage loans: | ||||||||
Of Fannie Mae | 50,325 | 54,085 | (3,760) | |||||
Of consolidated trusts | 4,094,036 | 4,071,698 | 22,338 | |||||
Allowance for loan losses | (8,730) | (11,347) | 2,617 | |||||
Mortgage loans, net of allowance for loan losses | 4,135,631 | 4,114,436 | 21,195 | |||||
Deferred tax assets, net | 11,681 | 12,911 | (1,230) | |||||
Other assets | 25,603 | 24,710 | 893 | |||||
Total assets | $4,325,437 | $4,305,288 | $20,149 | |||||
Liabilities and equity | ||||||||
Debt: | ||||||||
Of Fannie Mae | $124,065 | $134,168 | $(10,103) | |||||
Of consolidated trusts | 4,098,653 | 4,087,720 | 10,933 | |||||
Other liabilities | 25,037 | 23,123 | 1,914 | |||||
Total liabilities | 4,247,755 | 4,245,011 | 2,744 | |||||
Fannie Mae stockholders’ equity: | ||||||||
Senior preferred stock | 120,836 | 120,836 | — | |||||
Other net deficit | (43,154) | (60,559) | 17,405 | |||||
Total equity | 77,682 | 60,277 | 17,405 | |||||
Total liabilities and equity | $4,325,437 | $4,305,288 | $20,149 |
MD&A | Consolidated Balance Sheet Analysis |
Fannie Mae 2023 Form 10-K | 68 |
MD&A | Consolidated Balance Sheet Analysis |
Fannie Mae 2023 Form 10-K | 69 |
Retained Mortgage Portfolio | |||||
As of December 31, | |||||
2023 | 2022 | ||||
(Dollars in millions) | |||||
Lender liquidity: | |||||
Agency securities(1) | $27,823 | $16,410 | |||
Mortgage loans | 7,101 | 7,329 | |||
Total lender liquidity | 34,924 | 23,739 | |||
Loss mitigation mortgage loans(2) | 38,634 | 38,458 | |||
Other: | |||||
Reverse mortgage loans and securities(3) | 5,953 | 11,376 | |||
Other mortgage loans and securities(4) | 3,683 | 4,169 | |||
Total other | 9,636 | 15,545 | |||
Total retained mortgage portfolio | $83,194 | $77,742 | |||
Retained mortgage portfolio by segment: | |||||
Single-family mortgage loans and mortgage-related securities | $77,357 | $73,769 | |||
Multifamily mortgage loans and mortgage-related securities | $5,837 | $3,973 |
MD&A | Retained Mortgage Portfolio |
Fannie Mae 2023 Form 10-K | 70 |
Composition of Fannie Mae Guaranty Book of Business | ||||||||||||
As of December 31, | ||||||||||||
2023 | 2022 | |||||||||||
Single- Family | Multifamily | Total | Single- Family | Multifamily | Total | |||||||
(Dollars in millions) | ||||||||||||
Conventional guaranty book of business(1) | $3,647,344 | $471,812 | $4,119,156 | $3,646,981 | $442,067 | $4,089,048 | ||||||
Government guaranty book of business(2) | 7,901 | 520 | 8,421 | 12,450 | 572 | 13,022 | ||||||
Guaranty book of business | 3,655,245 | 472,332 | 4,127,577 | 3,659,431 | 442,639 | 4,102,070 | ||||||
Freddie Mac securities guaranteed by Fannie Mae(3) | 215,605 | — | 215,605 | 234,023 | — | 234,023 | ||||||
Total Fannie Mae guarantees | $3,870,850 | $472,332 | $4,343,182 | $3,893,454 | $442,639 | $4,336,093 |
MD&A | Guaranty Book of Business |
Fannie Mae 2023 Form 10-K | 71 |
MD&A | Single-Family Business | Single-Family Primary Business Activities |
Fannie Mae 2023 Form 10-K | 72 |
MD&A | Single-Family Business | Single-Family Primary Business Activities |
Fannie Mae 2023 Form 10-K | 73 |
Total Single-Family Home Sales and Months’ Supply of Unsold Homes(1) | Single-Family Mortgage Originations and Mortgage Debt Outstanding(2) |
(Home sales units in thousands) | (Dollars in trillions) |
Months’ supply of new single-family unsold homes, as of year end | Fannie Mae’s percentage of total single-family mortgage debt outstanding, as of period end | ||||||
Months’ supply of existing single-family unsold homes, as of year end | Single-family U.S. mortgage debt outstanding, as of period end | ||||||
Existing home sales | Single-family U.S. mortgage loan originations | ||||||
New home sales | |||||||
MD&A | Single-Family Business | Single-Family Mortgage Market |
Fannie Mae 2023 Form 10-K | 74 |
Ginnie Mae | Private-label securities | ||||||
Fannie Mae | Freddie Mac | ||||||
MD&A | Single-Family Business | Single-Family Mortgage-Related Securities Issuances Share |
Fannie Mae 2023 Form 10-K | 75 |
Average charged guaranty fee on single-family conventional guaranty book of business, net of TCCA fees(2) | Average single-family conventional guaranty book of business(3) | |||||
Average charged guaranty fee on new single-family conventional acquisitions, net of TCCA fees(2) | Single-family conventional acquisitions | |||||
MD&A | Single-Family Business | Single-Family Business Metrics |
Fannie Mae 2023 Form 10-K | 76 |
Single-Family Business Financial Results(1) | ||||||||||||||
For the Year Ended December 31, | Variance | |||||||||||||
2023 | 2022 | 2021 | 2023 vs. 2022 | 2022 vs. 2021 | ||||||||||
(Dollars in millions) | ||||||||||||||
Net interest income(2) | $24,229 | $24,736 | $25,429 | $(507) | $(693) | |||||||||
Fee and other income | 205 | 224 | 269 | (19) | (45) | |||||||||
Net revenues | 24,434 | 24,960 | 25,698 | (526) | (738) | |||||||||
Investment gains (losses), net | (41) | (223) | 1,392 | 182 | (1,615) | |||||||||
Fair value gains, net | 1,231 | 1,364 | 167 | (133) | 1,197 | |||||||||
Administrative expenses | (2,993) | (2,789) | (2,557) | (204) | (232) | |||||||||
Benefit (provision) for credit losses | 2,165 | (5,029) | 4,600 | 7,194 | (9,629) | |||||||||
TCCA fees(2) | (3,431) | (3,369) | (3,071) | (62) | (298) | |||||||||
Credit enhancement expense | (1,281) | (1,062) | (812) | (219) | (250) | |||||||||
Change in expected credit enhancement recoveries(3) | (310) | 470 | (86) | (780) | 556 | |||||||||
Other expenses, net(4) | (984) | (778) | (1,208) | (206) | 430 | |||||||||
Income before federal income taxes | 18,790 | 13,544 | 24,123 | 5,246 | (10,579) | |||||||||
Provision for federal income taxes | (3,935) | (2,774) | (4,996) | (1,161) | 2,222 | |||||||||
Net income | $14,855 | $10,770 | $19,127 | $4,085 | $(8,357) |
MD&A | Single-Family Business | Single-Family Business Metrics |
Fannie Mae 2023 Form 10-K | 77 |
Single-family net interest income decreased slightly in 2023 compared with 2022, primarily as a result of lower deferred guaranty fee income and higher expense from hedge accounting largely offset by higher income from portfolios. |
Fair value gains, net were primarily driven by gains on trading securities. U.S. Treasury yields decreased in the fourth quarter of 2023, which resulted in a net gain on our fixed-rate securities held in our corporate liquidity portfolio. |
Fair value gains, net in 2022 were primarily driven by the impact of rising interest rates and widening of the secondary spread, which led to price declines. As a result of the price declines, we recognized gains on our commitments to sell mortgage-related securities and long- term debt of consolidated trusts held at fair value. These gains were partially offset by fair value losses on fixed-rate trading securities. |
Benefit for credit losses in 2023 was primarily driven by a benefit from actual and forecasted home price growth, partially offset by a provision driven by the overall credit risk profile of our newly acquired loans and a provision relating to the redesignation of loans from HFI to HFS. |
Provision for credit losses in 2022 was primarily driven by decreases in forecasted home prices, the overall credit risk profile of our newly acquired loans, and rising interest rates. |
MD&A | Single-Family Business | Single-Family Business Financial Results |
Fannie Mae 2023 Form 10-K | 78 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 79 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 80 |
Issued and Outstanding Repurchase Requests | ||||
2023 | 2022 | |||
(Dollars in billions) | ||||
Total loans delivered for the applicable twelve-month period(1) | $380.8 | $1,048.8 | ||
Repurchase requests issued as of year end on loans delivered during the applicable twelve-month period(2) | 0.51% | 0.32% | ||
As of December 31, | ||||
2023 | 2022 | |||
(Dollars in millions) | ||||
Outstanding Repurchase Requests: | ||||
Unpaid principal balance of outstanding repurchase requests(3) | $437 | $783 | ||
As a percentage of our single-family conventional guaranty book of business | 0.01% | 0.02% | ||
Percentage of outstanding repurchase requests over 180 days outstanding | 3% | 5% |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 81 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 82 |
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) For the Year Ended December 31, | Percent of Single-Family Conventional Guaranty Book of Business(3) As of December 31, | ||||||||||||
2023 | 2022 | 2021 | 2023 | 2022 | 2021 | ||||||||
Original LTV ratio:(4) | |||||||||||||
<= 60% | 16 | % | 22 | % | 32 | % | 25 | % | 26 | % | 27 | % | |
60.01% to 70% | 10 | 13 | 16 | 14 | 15 | 15 | |||||||
70.01% to 80% | 34 | 33 | 31 | 33 | 33 | 33 | |||||||
80.01% to 90% | 16 | 12 | 9 | 11 | 10 | 10 | |||||||
90.01% to 95% | 18 | 15 | 9 | 12 | 11 | 10 | |||||||
95.01% to 100% | 6 | 5 | 3 | 4 | 4 | 4 | |||||||
Greater than 100% | — | — | * | 1 | 1 | 1 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Weighted average | 78 | % | 75 | % | 69 | % | 73 | % | 72 | % | 72 | % | |
Average loan amount | $321,205 | $301,887 | $281,530 | $207,883 | $206,049 | $198,865 | |||||||
Loan count (in thousands) | 984 | 2,037 | 4,812 | 17,494 | 17,643 | 17,515 | |||||||
Estimated mark-to-market LTV ratio:(5) | |||||||||||||
<= 60% | 68 | % | 66 | % | 61 | % | |||||||
60.01% to 70% | 14 | 16 | 19 | ||||||||||
70.01% to 80% | 10 | 10 | 13 | ||||||||||
80.01% to 90% | 5 | 5 | 5 | ||||||||||
90.01% to 100% | 3 | 3 | 2 | ||||||||||
Greater than 100% | * | * | * | ||||||||||
Total | 100 | % | 100 | % | 100 | % | |||||||
Weighted average | 51 | % | 52 | % | 54 | % | |||||||
FICO credit score at origination:(6) | |||||||||||||
< 620 | * | % | * | % | * | % | * | % | 1 | % | 1 | % | |
620 to < 660 | 3 | 4 | 3 | 4 | 4 | 4 | |||||||
660 to < 680 | 3 | 4 | 3 | 4 | 4 | 3 | |||||||
680 to < 700 | 5 | 8 | 6 | 6 | 6 | 7 | |||||||
700 to < 740 | 20 | 22 | 19 | 20 | 19 | 19 | |||||||
>= 740 | 69 | 62 | 69 | 66 | 66 | 66 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Weighted average | 755 | 747 | 756 | 753 | 752 | 753 | |||||||
DTI ratio at origination:(7) | |||||||||||||
<= 43% | 64 | % | 68 | % | 77 | % | 75 | % | 75 | % | 77 | % | |
43.01% to 45% | 10 | 10 | 8 | 9 | 9 | 9 | |||||||
Greater than 45% | 26 | 22 | 15 | 16 | 16 | 14 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Weighted average | 38 | % | 37 | % | 34 | % | 35 | % | 35 | % | 34 | % |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 83 |
Percent of Single-Family Conventional Business Volume at Acquisition(2) For the Year Ended December 31, | Percent of Single-Family Conventional Guaranty Book of Business(3) As of December 31, | ||||||||||||
2023 | 2022 | 2021 | 2023 | 2022 | 2021 | ||||||||
Product type: | |||||||||||||
Fixed-rate:(8) | |||||||||||||
Long-term | 96 | % | 90 | % | 83 | % | 87 | % | 86 | % | 84 | % | |
Intermediate-term | 3 | 9 | 16 | 12 | 13 | 15 | |||||||
Total fixed-rate | 99 | 99 | 99 | 99 | 99 | 99 | |||||||
Adjustable-rate | 1 | 1 | 1 | 1 | 1 | 1 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Number of property units: | |||||||||||||
1 unit | 98 | % | 98 | % | 98 | % | 98 | % | 98 | % | 97 | % | |
2-4 units | 2 | 2 | 2 | 2 | 2 | 3 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Property type: | |||||||||||||
Single-family homes | 91 | % | 91 | % | 91 | % | 91 | % | 91 | % | 91 | % | |
Condo/Co-op | 9 | 9 | 9 | 9 | 9 | 9 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Occupancy type: | |||||||||||||
Primary residence | 92 | % | 91 | % | 92 | % | 91 | % | 91 | % | 90 | % | |
Second/vacation home | 2 | 3 | 3 | 3 | 3 | 4 | |||||||
Investor | 6 | 6 | 5 | 6 | 6 | 6 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Loan purpose: | |||||||||||||
Purchase | 86 | % | 62 | % | 33 | % | 45 | % | 40 | % | 36 | % | |
Cash-out refinance | 10 | 25 | 24 | 20 | 22 | 21 | |||||||
Other refinance | 4 | 13 | 43 | 35 | 38 | 43 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Geographic concentration:(9) | |||||||||||||
Midwest | 14 | % | 13 | % | 13 | % | 14 | % | 14 | % | 14 | % | |
Northeast | 13 | 13 | 14 | 16 | 16 | 16 | |||||||
Southeast | 28 | 26 | 22 | 23 | 23 | 23 | |||||||
Southwest | 24 | 23 | 19 | 19 | 19 | 18 | |||||||
West | 21 | 25 | 32 | 28 | 28 | 29 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Origination year: | |||||||||||||
2017 and prior | 19 | % | 22 | % | 27 | % | |||||||
2018 | 2 | 2 | 3 | ||||||||||
2019 | 4 | 5 | 6 | ||||||||||
2020 | 24 | 25 | 30 | ||||||||||
2021 | 30 | 32 | 34 | ||||||||||
2022 | 13 | 14 | — | ||||||||||
2023 | 8 | — | — | ||||||||||
Total | 100 | % | 100 | % | 100 | % |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 84 |
Single-Family High-Balance Loans | ||||||
As of December 31, | ||||||
2023 | 2022 | |||||
Unpaid principal balance (in billions) | $233.3 | $237.3 | ||||
Percentage of single-family conventional guaranty book of business | 6 | % | 7 | % |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 85 |
Single-Family Adjustable-Rate Mortgages(1) | |||||||||||||
Reset Year | |||||||||||||
2024 | 2025 | 2026 | 2027 | 2028 | Thereafter | Total | |||||||
(Dollars in millions) | |||||||||||||
ARMs(2) | $11,675 | $839 | $1,447 | $2,621 | $3,477 | $9,532 | $29,591 |
Single-Family Loans with Credit Enhancement | ||||||||
As of December 31, | ||||||||
2023 | 2022 | |||||||
Unpaid Principal Balance | Percentage of Single-Family Conventional Guaranty Book of Business | Unpaid Principal Balance | Percentage of Single-Family Conventional Guaranty Book of Business | |||||
(Dollars in billions) | ||||||||
Primary mortgage insurance and other | $763 | 21% | $754 | 21% | ||||
Connecticut Avenue Securities | 843 | 24 | 726 | 20 | ||||
Credit Insurance Risk Transfer | 399 | 11 | 323 | 9 | ||||
Lender risk-sharing | 52 | 1 | 57 | 2 | ||||
Less: Loans covered by multiple credit enhancements | (411) | (12) | (351) | (10) | ||||
Total single-family loans with credit enhancement | $1,646 | 45% | $1,509 | 42% |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 86 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 87 |
Transaction Description | Other Key Characteristics | |
CAS REMIC® | •We transfer to investors a portion of the mortgage credit risk associated with losses on a reference pool of mortgage loans. •We create a reference pool consisting of recently acquired single-family mortgage loans included in our guaranty book of business and create a hypothetical securitization structure with notional credit risk positions, or tranches (that is, first loss, mezzanine and senior). See the table below for additional information about the risk positions we retain. • We recognize the cost of credit protection in “Credit enhancement expense” in our consolidated statements of operations and comprehensive income. • We recognize the expected benefits from the credit protection in “Change in expected credit enhancement recoveries” in our consolidated statements of operations and comprehensive income. • CAS REMIC transactions align the timing of our recognition of credit losses with the related recovery from the CRT transaction. We record the expected benefit and the loss in the same period. | •The principal balance of the CAS REMIC decreases as a result of credit losses on loans in the related reference pool. These write downs of the principal balance reduce the total amount of payments that the CAS trust is obligated to make to investors. •Credit losses on the loans in the reference pool for a CAS transaction are first applied to the first loss tranche. If credit losses on these loans exceed the outstanding principal balance of the first loss tranche, losses are then applied to reduce the outstanding principal balance of the mezzanine loss tranche. •Transactions beginning with our October 2021 issuances were issued with a 20-year final maturity date and an optional early redemption of 5 years, or the date at which the outstanding balance of the underlying reference loans is less than or equal to 10% of the original balance. • After maturity or early redemption, if exercised, the CAS REMIC provides no further credit protection with respect to the reference loans that were previously underlying that CAS transaction. •Presents minimal counterparty risk as the CAS trust receives the proceeds that will reimburse us for certain credit events on the related loans upon the issuance of the CAS REMIC. |
CIRT | • Insurance transactions whereby we obtain actual loss coverage on pools of loans either directly from an insurance provider that retains the risk, or from an insurance provider that simultaneously cedes all of its risk to one or more reinsurers. • In CIRT deals, we generally retain an initial portion of losses on the loans in the pool (for example, the first 0.75% of the initial pool unpaid principal balance). Reinsurers cover losses above this retention amount up to a detachment point (for example, the next 4.0% of the initial pool unpaid principal balance). We retain all losses above this detachment point. • We make premium payments on CIRT deals that we recognize in “Credit enhancement expense” in our consolidated statements of operations and comprehensive income. | • The insurance layer typically provides coverage for losses on the pool that are likely to occur only in a stressed economic environment. • Insurance benefits are received after the underlying property has been liquidated and all applicable proceeds, including private mortgage insurance benefits, have been applied to the loss. • A portion of the insurers’ or reinsurers’ obligations is collateralized with highly-rated liquid assets held in a trust account initially determined according to the ratings of such insurer or reinsurer. Contractual provisions require additional collateral to be posted in the event of adverse developments with the counterparty, such as a ratings downgrade. • To date, CIRT transactions generally have been structured with 10 or 12-1/2 year terms, and covered loans that are delinquent as of the final scheduled month continue to be covered until and unless they eventually cure. The transaction term may vary based upon market execution and the capital benefit of the term under the enterprise regulatory capital framework. |
CAS Debt | CAS debt transactions are similar to CAS REMIC transactions, with some key differences: • CAS debt is recognized as “debt of Fannie Mae” in our consolidated balance sheets. CAS debt issued to investors beginning January 2016 through October 2018 is recognized at amortized cost. CAS debt we issued prior to 2016 is recognized at fair value. •We stopped issuing this form of CAS in October 2018. | • Generally issued with a stated final maturity date of either 10 or 12.5 years from issuance. • Significant lag exists between the time when we recognize a provision for credit losses and when we recognize the related recovery from the CAS debt transaction. |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 88 |
Outstanding as of December 31, 2023 | ||||||||||||||||
(Dollars in billions) | ||||||||||||||||
Senior | Fannie Mae(1) | Outstanding Reference Pool(5)(7) | ||||||||||||||
$1,238 | ||||||||||||||||
Mezzanine | Fannie Mae(1) | CIRT(2)(3) | CAS(2) | Lender Risk- Sharing(2)(4) | ||||||||||||
$5 | $14 | $12 | $4 | $1,302 | ||||||||||||
First Loss | Fannie Mae(1) | CAS(2)(6) | Lender Risk- Sharing(2)(4) | |||||||||||||
$17 | $10 | $2 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 89 |
Single-Family Credit Enhancement Receivables | ||||
As of December 31, | ||||
2023 | 2022 | |||
(Dollars in millions) | ||||
Freestanding credit enhancement receivables | $253 | $565 | ||
Primary mortgage insurance receivables, net of allowance(1) | 54 | 53 |
Credit Risk Transfer Transactions | ||||
For the Year Ended December 31, | ||||
2023 | 2022 | |||
Cash paid or transferred for: | (Dollars in millions) | |||
CAS transactions(1) | $906 | $882 | ||
CIRT transactions | 409 | 325 | ||
Lender risk-sharing transactions | 133 | 154 |
Single-Family Loans Currently without Credit Enhancement | ||||||||
As of December 31, | ||||||||
2023 | 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) | $1,112 | 31% | $1,171 | 32% | ||||
Pre-credit risk transfer program inception(2) | 236 | 6 | 265 | 7 | ||||
Recently acquired(3) | 180 | 5 | 403 | 11 | ||||
Other(4) | 730 | 20 | 669 | 18 | ||||
Less: Loans in multiple categories | (267) | (7) | (382) | (10) | ||||
Total single-family loans currently without credit enhancement | $1,991 | 55% | $2,126 | 58% |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 90 |
Delinquency Status and Activity of Single-Family Conventional Loans | ||||||
As of December 31, | ||||||
2023 | 2022 | 2021 | ||||
Delinquency status: | ||||||
30 to 59 days delinquent | 1.06% | 0.96% | 0.86% | |||
60 to 89 days delinquent | 0.26 | 0.23 | 0.20 | |||
Seriously delinquent (“SDQ”): | 0.55 | 0.65 | 1.25 | |||
Percentage of SDQ loans that have been delinquent for more than 180 days | 47 | 55 | 75 | |||
Percentage of SDQ loans that have been delinquent for more than two years | 10 | 16 | 9 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 91 |
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
Single-family SDQ loans (number of loans): | ||||||
Beginning balance | 114,960 | 218,329 | 495,806 | |||
Additions | 169,197 | 171,437 | 232,411 | |||
Removals: | ||||||
Modifications and other loan workouts | (77,478) | (164,707) | (328,165) | |||
Liquidations and sales | (31,439) | (46,476) | (86,020) | |||
Cured or less than 90 days delinquent | (78,761) | (63,623) | (95,703) | |||
Total removals | (187,678) | (274,806) | (509,888) | |||
Ending balance | 96,479 | 114,960 | 218,329 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 92 |
Single-Family Conventional Seriously Delinquent Loan Concentration Analysis | |||||||||||||||||||
As of December 31, | |||||||||||||||||||
2023 | 2022 | 2021 | |||||||||||||||||
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% | 0.42% | 19% | 9% | 0.46% | 19% | 11% | 1.01% | ||||||||||
Florida | 6 | 9 | 0.73 | 6 | 9 | 0.90 | 6 | 8 | 1.59 | ||||||||||
Illinois | 3 | 5 | 0.70 | 3 | 5 | 0.86 | 3 | 5 | 1.55 | ||||||||||
New York | 5 | 6 | 0.92 | 5 | 7 | 1.12 | 5 | 7 | 2.24 | ||||||||||
Texas | 7 | 9 | 0.64 | 7 | 8 | 0.71 | 7 | 9 | 1.48 | ||||||||||
All other states | 60 | 61 | 0.52 | 60 | 62 | 0.62 | 60 | 60 | 1.15 | ||||||||||
Vintages: | |||||||||||||||||||
2008 and prior | 2 | 18 | 2.07 | 2 | 23 | 2.78 | 3 | 24 | 4.90 | ||||||||||
2009-2023 | 98 | 82 | 0.47 | 98 | 77 | 0.53 | 97 | 76 | 1.01 | ||||||||||
Estimated mark- to-market LTV ratio: | |||||||||||||||||||
<= 60% | 68 | 69 | 0.49 | 66 | 74 | 0.63 | 61 | 73 | 1.27 | ||||||||||
60.01% to 70% | 14 | 15 | 0.80 | 16 | 14 | 0.77 | 19 | 16 | 1.37 | ||||||||||
70.01% to 80% | 10 | 9 | 0.77 | 10 | 8 | 0.69 | 13 | 8 | 1.08 | ||||||||||
80.01% to 90% | 5 | 5 | 0.81 | 5 | 3 | 0.68 | 5 | 2 | 0.88 | ||||||||||
90.01% to 100% | 3 | 2 | 0.59 | 3 | 1 | 0.40 | 2 | 1 | 0.51 | ||||||||||
Greater than 100% | * | * | 2.05 | * | * | 4.04 | * | * | 12.41 | ||||||||||
Credit enhanced:(2) | |||||||||||||||||||
Primary MI & other(3) | 21 | 33 | 1.08 | 21 | 31 | 1.19 | 20 | 29 | 2.14 | ||||||||||
Credit risk transfer(4) | 36 | 30 | 0.54 | 31 | 28 | 0.66 | 21 | 32 | 1.80 | ||||||||||
Non-credit enhanced | 55 | 52 | 0.46 | 58 | 54 | 0.55 | 66 | 53 | 0.98 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 93 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 94 |
Percentage of Single-Family Completed Loan Modifications That Were Current or Paid Off at One and Two Years Post-Modification | ||||||||||||||||
2022 Modifications | 2021 Modifications | |||||||||||||||
Q4 | Q3 | Q2 | Q1 | Q4 | Q3 | Q2 | Q1 | |||||||||
One Year Post-Modification | 75% | 79% | 84% | 87% | 88% | 90% | 91% | 92% | ||||||||
Two Years Post-Modification | 91 | 93 | 94 | 96 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 95 |
Nonperforming and Reperforming Loan Sale Activity | |||||||
For the Year Ended December 31, | |||||||
2023 | 2022 | 2021 | |||||
(Dollars in millions) | |||||||
Reperforming Loan Sales: | |||||||
Number of loans sold | 11,626 | 29,676 | 94,397 | ||||
Aggregate unpaid principal balance of loan sales | $2,219 | $4,974 | $13,568 | ||||
Nonperforming Loan Sales: | |||||||
Number of loans sold | 2,265 | 8,215 | 18,250 | ||||
Aggregate unpaid principal balance of loan sales | $354 | $1,354 | $3,200 |
Single-Family REO Properties | |||||||
For the Year Ended December 31, | |||||||
2023 | 2022 | 2021 | |||||
Single-family REO properties (number of properties): | |||||||
Beginning of period inventory of single-family REO properties(1) | 8,779 | 7,166 | 7,973 | ||||
Acquisitions by geographic area:(2) | |||||||
Midwest | 1,265 | 1,606 | 1,166 | ||||
Northeast | 847 | 1,049 | 1,077 | ||||
Southeast | 982 | 1,136 | 1,076 | ||||
Southwest | 754 | 768 | 570 | ||||
West | 344 | 322 | 231 | ||||
Total REO acquisitions(1) | 4,192 | 4,881 | 4,120 | ||||
Dispositions of REO | (4,568) | (3,268) | (4,927) | ||||
End of period inventory of single-family REO properties(1) | 8,403 | 8,779 | 7,166 | ||||
Carrying value of single-family REO properties (dollars in millions) | $1,396 | $1,293 | $959 | ||||
Single-family foreclosure rate(3) | 0.02 | % | 0.03 | % | 0.02 | % | |
REO net sales price to unpaid principal balance(4) | 129 | % | 114 | % | 111 | % | |
REO net sales price to unpaid principal balance and capitalized expenses(5) | 97 | % | 102 | % | 97 | % | |
Short sales net sales price to unpaid principal balance(6) | 91 | % | 91 | % | 84 | % |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 96 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 97 |
Single-Family Credit Loss Performance Metrics and Loan Sale Performance | ||||||
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
(Dollars in millions) | ||||||
Write-offs | $(223) | $(211) | $(51) | |||
Recoveries | 210 | 288 | 430 | |||
Foreclosed property income (expense) | 10 | (55) | (14) | |||
Credit gains (losses) | (3) | 22 | 365 | |||
Write-offs on the redesignation of mortgage loans from HFI to HFS(1) | (658) | (679) | (372) | |||
Net credit gains (losses) and write-offs on redesignations | (661) | (657) | (7) | |||
Gains (losses) on sales and other valuation adjustments(2) | (52) | (207) | 1,312 | |||
Net credit gains (losses), write-offs on redesignations and gains (losses) on sales and other valuation adjustments | $(713) | $(864) | $1,305 | |||
Credit gain (loss) ratio (in bps)(3) | * | 0.1 | 1.1 | |||
Net credit gains (losses), write-offs on redesignations and gains (losses) on sales and other valuation adjustments ratio (in bps)(4) | (2.0) | (2.4) | 3.9 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 98 |
Concentration Analysis of Net Credit Gains (Losses) and Write-offs on Redesignations | ||||||||
Percentage of Single-Family Conventional Guaranty Book of Business Outstanding(1) | Amount of Single-Family Credit Gains (Losses) and Redesignation Write-offs(2) | |||||||
As of December 31, | As of December 31, | |||||||
2023 | 2022 | 2023 | 2022 | |||||
(Dollars in millions) | ||||||||
Geographical distribution: | ||||||||
California | 19% | 19% | $(115) | $(94) | ||||
Florida | 6 | 6 | (15) | (23) | ||||
Illinois | 3 | 3 | (51) | (69) | ||||
New York | 5 | 5 | (64) | (73) | ||||
Texas | 7 | 7 | (39) | (44) | ||||
All other states | 60 | 60 | (377) | (354) | ||||
Total | 100% | 100% | $(661) | $(657) | ||||
Vintages: | ||||||||
2008 and prior | 2% | 2% | $4 | $(100) | ||||
2009 - 2023 | 98 | 98 | (665) | (557) | ||||
Total | 100% | 100% | $(661) | $(657) |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 99 |
Single-Family Loans: Maturities and Terms of the Consolidated Mortgage Loan Portfolio(1) | ||||||||||
As of December 31, 2023 | ||||||||||
Due within 1 year(2) | Greater than 1 year but within 5 years | Greater than 5 years but within 15 years | Greater than 15 years | Total | ||||||
(Dollars in millions) | ||||||||||
Single-family mortgage loans: | ||||||||||
Loans held for sale | $63 | $207 | $618 | $1,902 | $2,790 | |||||
Loans held for investment | ||||||||||
Of Fannie Mae | 4,890 | 3,909 | 11,047 | 27,242 | 47,088 | |||||
Of consolidated trusts | 127,590 | 532,819 | 1,347,371 | 1,584,310 | 3,592,090 | |||||
Total unpaid principal balance of single-family mortgage loans | 132,543 | 536,935 | 1,359,036 | 1,613,454 | 3,641,968 | |||||
Cost basis adjustments, net | 42,151 | |||||||||
Total single-family mortgage loans(3) | $132,543 | $536,935 | $1,359,036 | $1,613,454 | $3,684,119 | |||||
Single-family mortgage loans by interest rate sensitivity: | ||||||||||
Fixed-rate | $126,454 | $532,651 | $1,347,025 | $1,601,137 | $3,607,267 | |||||
Adjustable-rate | 6,089 | 4,284 | 12,011 | 12,317 | 34,701 | |||||
Total unpaid principal balance of single- family mortgage loans | $132,543 | $536,935 | $1,359,036 | $1,613,454 | $3,641,968 |
MD&A | Single-Family Business | Single-Family Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 100 |
MD&A | Multifamily Business | Multifamily Primary Business Activities |
Fannie Mae 2023 Form 10-K | 101 |
MD&A | Multifamily Business | Multifamily Primary Business Activities |
Fannie Mae 2023 Form 10-K | 102 |
MD&A | Multifamily Business | Multifamily Primary Business Activities |
Fannie Mae 2023 Form 10-K | 103 |
MD&A | Multifamily Business | Multifamily Competition |
Fannie Mae 2023 Form 10-K | 104 |
MD&A | Multifamily Business | Multifamily Mortgage Market |
Fannie Mae 2023 Form 10-K | 105 |
MD&A | Multifamily Business | Multifamily Business Metrics |
Fannie Mae 2023 Form 10-K | 106 |
MD&A | Multifamily Business | Multifamily Business Metrics |
Fannie Mae 2023 Form 10-K | 107 |
Multifamily Business Financial Results(1) | ||||||||||||||
For the Year Ended December 31, | Variance | |||||||||||||
2023 | 2022 | 2021 | 2023 vs. 2022 | 2022 vs. 2021 | ||||||||||
(Dollars in millions) | ||||||||||||||
Net interest income | $4,544 | $4,687 | $4,158 | $(143) | $529 | |||||||||
Fee and other income | 70 | 88 | 92 | (18) | (4) | |||||||||
Net revenues | 4,614 | 4,775 | 4,250 | (161) | 525 | |||||||||
Fair value gains (losses), net | 73 | (80) | (12) | 153 | (68) | |||||||||
Administrative expenses | (611) | (540) | (508) | (71) | (32) | |||||||||
Benefit (provision) for credit losses | (495) | (1,248) | 530 | 753 | (1,778) | |||||||||
Credit enhancement expense(2) | (231) | (261) | (239) | 30 | (22) | |||||||||
Change in expected credit enhancement recoveries(3) | 117 | 257 | (108) | (140) | 365 | |||||||||
Other expenses, net(4) | (301) | (214) | (87) | (87) | (127) | |||||||||
Income before federal income taxes | 3,166 | 2,689 | 3,826 | 477 | (1,137) | |||||||||
Provision for federal income taxes | (613) | (536) | (777) | (77) | 241 | |||||||||
Net income | $2,553 | $2,153 | $3,049 | $400 | $(896) |
Multifamily net interest income decreased in 2023 compared with 2022 primarily due to lower yield maintenance income as a result of fewer prepayments, as well as lower average charged guaranty fees, partially offset by an increase in our multifamily guaranty book of business. |
MD&A | Multifamily Business | Multifamily Business Financial Results |
Fannie Mae 2023 Form 10-K | 108 |
Provision for credit losses in 2023 was primarily driven by changes in loan activity and provision from actual and projected economic data, as decreasing multifamily property values throughout 2023 resulted in higher estimated LTV ratios in our multifamily guaranty book of business. |
Provision for credit losses in 2022 was primarily driven by our expectation of increased probability of default and greater expected severity of loss on our seniors housing portfolio, as well as higher actual and projected interest rates. |
MD&A | Multifamily Business | Multifamily Business Financial Results |
Fannie Mae 2023 Form 10-K | 109 |
MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 110 |
Key Risk Characteristics of Multifamily Business Volume and Guaranty Book of Business | |||||||||||||
Multifamily Business Volume at Acquisition(1) For the Year Ended December 31, | Multifamily Guaranty Book of Business(2) As of December 31, | ||||||||||||
2023 | 2022 | 2021 | 2023 | 2022 | 2021 | ||||||||
LTV ratio: | |||||||||||||
Weighted-average original LTV ratio | 59 | % | 59 | % | 65 | % | 63 | % | 64 | % | 65 | % | |
DSCR: | |||||||||||||
Weighted-average DSCR(1) | 1.6 | 1.9 | 2.3 | 2.0 | 2.2 | 2.1 | |||||||
DSCR less than or equal to 1.0(1) | — | — | — | 4 | % | 3 | % | 2 | % | ||||
Loan amount and count: | |||||||||||||
Average loan amount (in millions) | $19 | $19 | $17 | $16 | $16 | $14 | |||||||
Loan count | 2,812 | 3,572 | 4,203 | 28,926 | 28,023 | 28,856 | |||||||
Interest rate type: | |||||||||||||
Fixed interest rate | 99 | % | 78 | % | 89 | % | 91 | % | 89 | % | 91 | % | |
Adjustable interest rate | 1 | 22 | 11 | 9 | 11 | 9 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Amortization type: | |||||||||||||
Full interest-only | 63 | % | 53 | % | 40 | % | 42 | % | 38 | % | 33 | % | |
Partial interest-only(2) | 32 | 39 | 50 | 46 | 49 | 51 | |||||||
Fully amortizing | 5 | 8 | 10 | 12 | 13 | 16 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Asset class type: | |||||||||||||
Conventional/co-op | 92 | % | 93 | % | 93 | % | 89 | % | 88 | % | 88 | % | |
Seniors housing | 1 | 1 | 1 | 3 | 4 | 4 | |||||||
Student housing | 1 | 2 | 1 | 3 | 3 | 4 | |||||||
Manufactured housing | 6 | 4 | 5 | 5 | 5 | 4 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Affordable(3) | 12 | % | 13 | % | 13 | % | 12 | % | 12 | % | 11 | % | |
Small balance loans(4) | 40 | % | 38 | % | 44 | % | 48 | % | 50 | % | 54 | % | |
Geographic concentration:(5) | |||||||||||||
Midwest | 13 | % | 15 | % | 12 | % | 12 | % | 12 | % | 11 | % | |
Northeast | 12 | 12 | 16 | 15 | 15 | 15 | |||||||
Southeast | 32 | 31 | 28 | 27 | 27 | 27 | |||||||
Southwest | 24 | 25 | 24 | 22 | 22 | 22 | |||||||
West | 19 | 17 | 20 | 24 | 24 | 25 | |||||||
Total | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % |
MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 111 |
Tiered | 100% of UPB | Pro-rated | ||||||||
90% | 10% | 2/3 | 1/3 | |||||||
25% of UPB | ||||||||||
75% | 25% | |||||||||
5% of UPB | ||||||||||
100% |
Fannie Mae | DUS Lender |
MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 112 |
Multifamily Loans in Back-End Credit Risk Transfer Transactions | ||||||||
As of December 31, | ||||||||
2023 | 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 | $89,517 | 19% | $87,682 | 20% | ||||
MCAS | 48,476 | 10 | 25,071 | 6 | ||||
Total | $137,993 | 29% | $112,753 | 26% |
MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 113 |
MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 114 |
Multifamily Credit Loss Performance Metrics | |||||||||
For the Year Ended December 31, | |||||||||
2023 | 2022 | 2021 | |||||||
(Dollars in millions) | |||||||||
Write-offs(1) | $(401) | $(43) | $(59) | ||||||
Recoveries | 59 | 23 | 49 | ||||||
Foreclosed property expense | (174) | (40) | (19) | ||||||
Credit losses | (516) | (60) | (29) | ||||||
Change in expected benefits from freestanding loss-sharing arrangements(2) | 41 | (2) | 21 | ||||||
Credit losses, net of freestanding loss-sharing arrangements | $(475) | $(62) | $(8) | ||||||
Credit loss ratio (in bps)(3) | (11.3) | (1.4) | (0.7) | ||||||
Credit loss ratio, net of freestanding loss-sharing arrangements (in bps)(2)(3) | (10.4) | (1.5) | (0.2) | ||||||
Multifamily initial write-off severity rate(4)(5) | 8 | % | 5 | % | 13 | % | |||
Multifamily write-off loan count(6) | 18 | 9 | 26 |
MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 115 |
Multifamily Loans: Maturities and Terms of the Consolidated Mortgage Loan Portfolio(1) | ||||||||||
As of December 31, 2023 | ||||||||||
Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years but within 15 years | Greater than 15 years | Total | ||||||
(Dollars in millions) | ||||||||||
Multifamily mortgage loan portfolio:(2) | ||||||||||
Loans held for investment: | ||||||||||
Of Fannie Mae | $330 | $1,797 | $511 | $24 | $2,662 | |||||
Of consolidated trusts | 11,994 | 141,807 | 299,386 | 5,893 | 459,080 | |||||
Total unpaid principal balance of multifamily mortgage loans | 12,324 | 143,604 | 299,897 | 5,917 | 461,742 | |||||
Cost basis adjustments, net | (1,500) | |||||||||
Total multifamily mortgage loans(2) | $12,324 | $143,604 | $299,897 | $5,917 | $460,242 | |||||
Multifamily mortgage loan portfolio by interest rate sensitivity: | ||||||||||
Fixed-rate | $11,601 | $131,314 | $275,132 | $5,787 | $423,834 | |||||
Adjustable-rate | 723 | 12,290 | 24,765 | 130 | 37,908 | |||||
Total unpaid principal balance of multifamily mortgage loans | $12,324 | $143,604 | $299,897 | $5,917 | $461,742 |
MD&A | Multifamily Business | Multifamily Mortgage Credit Risk Management |
Fannie Mae 2023 Form 10-K | 116 |
Consolidated Credit Ratios and Select Credit Information | ||||||||||||||||||
As of | ||||||||||||||||||
December 31, 2023 | December 31, 2022 | |||||||||||||||||
Single-family | Multifamily | Consolidated Total | Single-family | Multifamily | Consolidated Total | |||||||||||||
(Dollars in millions) | ||||||||||||||||||
Credit loss reserves as a percentage of: | ||||||||||||||||||
Guaranty book of business | 0.18 | % | 0.44 | % | 0.21 | % | 0.26 | % | 0.43 | % | 0.28 | % | ||||||
Nonaccrual loans at amortized cost | 28.50 | 109.21 | 34.51 | 90.69 | 86.86 | 90.03 | ||||||||||||
Nonaccrual loans as a percentage of: | ||||||||||||||||||
Guaranty book of business | 0.65 | % | 0.40 | % | 0.62 | % | 0.29 | % | 0.50 | % | 0.31 | % | ||||||
Select financial information used in calculating credit ratios: | ||||||||||||||||||
Credit loss reserves(1) | $(6,696) | $(2,064) | $(8,760) | $(9,554) | $(1,911) | $(11,465) | ||||||||||||
Guaranty book of business(2) | 3,636,735 | 470,398 | 4,107,133 | 3,635,237 | 440,424 | 4,075,661 | ||||||||||||
Nonaccrual loans at amortized cost | 23,497 | 1,890 | 25,387 | 10,535 | 2,200 | 12,735 | ||||||||||||
Components of credit loss reserves: | ||||||||||||||||||
Allowance for loan losses | $(6,671) | $(2,059) | $(8,730) | $(9,443) | $(1,904) | $(11,347) | ||||||||||||
Allowance for accrued interest receivable | (25) | — | (25) | (111) | — | (111) | ||||||||||||
Reserve for guaranty losses(3) | — | (5) | (5) | — | (7) | (7) | ||||||||||||
Total credit loss reserves(1) | $(6,696) | $(2,064) | $(8,760) | $(9,554) | $(1,911) | $(11,465) |
MD&A | Consolidated Credit Ratios and Select Credit Information |
Fannie Mae 2023 Form 10-K | 117 |
Consolidated Write-off Ratio and Select Credit Information | ||||||||||||||||||
For the Year Ended December 31, | ||||||||||||||||||
2023 | 2022 | 2021 | ||||||||||||||||
Single- family | Multifamily | Total | Single- family | Multifamily | Total | Single- family | Multifamily | Total | ||||||||||
(Dollars in millions) | ||||||||||||||||||
Select credit ratio: | ||||||||||||||||||
Write-offs, net of recoveries, as a percentage of the average guaranty book of business (in bps) | 1.8 | 7.5 | 2.5 | 1.7 | 0.5 | 1.6 | * | 0.2 | * | |||||||||
Select financial information used in calculating credit ratio: | ||||||||||||||||||
Write-offs(1) | $881 | $401 | $1,282 | $890 | $43 | $933 | $423 | $59 | $482 | |||||||||
Recoveries | (210) | (59) | (269) | (288) | (23) | (311) | (430) | (49) | (479) | |||||||||
Write-offs, net of recoveries | $671 | $342 | $1,013 | $602 | $20 | $622 | $(7) | $10 | $3 | |||||||||
Average guaranty book of business(2) | $3,634,426 | $455,137 | $4,089,563 | $3,585,714 | $425,695 | $4,011,409 | $3,351,036 | $401,358 | $3,752,394 |
MD&A | Consolidated Credit Ratios and Select Credit Information |
Fannie Mae 2023 Form 10-K | 118 |
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 119 |
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 120 |
Selected Debt Information | |||||
As of December 31, | |||||
2023 | 2022 | ||||
(Dollars in billions) | |||||
Selected Weighted-Average Interest Rates(1) | |||||
Interest rate on short-term debt | 5.13% | 3.93% | |||
Interest rate on long-term debt, including portion maturing within one year | 2.63 | 2.23 | |||
Interest rate on callable debt | 2.41 | 1.79 | |||
Selected Maturity Data | |||||
Weighted-average maturity of debt maturing within one year (in days) | 135 | 156 | |||
Weighted-average maturity of debt maturing in more than one year (in months) | 46 | 52 | |||
Other Data | |||||
Outstanding callable debt(2) | $43.8 | $43.3 | |||
Connecticut Avenue Securities debt(3) | 2.8 | 5.2 |
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 121 |
Activity in Debt of Fannie Mae | |||||
For the Year Ended December 31, | |||||
2023 | 2022 | 2021 | |||
(Dollars in millions) | |||||
Issued during the period: | |||||
Short-term: | |||||
Amount | $227,787 | $137,310 | $122,819 | ||
Weighted-average interest rate(1) | 4.86% | 1.56% | 0.01% | ||
Long-term:(2) | |||||
Amount | $8,636 | $1,961 | $2,815 | ||
Weighted-average interest rate | 5.27% | 3.54% | 0.59% | ||
Total issued: | |||||
Amount | $236,423 | $139,271 | $125,634 | ||
Weighted-average interest rate | 4.87% | 1.59% | 0.03% | ||
Paid off during the period:(3) | |||||
Short-term: | |||||
Amount | $220,645 | $129,877 | $132,199 | ||
Weighted-average interest rate(1) | 4.18% | 1.26% | 0.02% | ||
Long-term:(2) | |||||
Amount | $26,918 | $72,570 | $80,938 | ||
Weighted-average interest rate | 1.65% | 1.35% | 0.75% | ||
Total paid off: | |||||
Amount | $247,563 | $202,447 | $213,137 | ||
Weighted-average interest rate | 3.91% | 1.29% | 0.30% |
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 122 |
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 123 |
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 124 |
Fannie Mae Credit Ratings | |||||
As of December 31, 2023 | |||||
S&P | Moody’s | Fitch | |||
Long-term senior debt | AA+ | Aaa | AA+ | ||
Short-term senior debt | A-1+ | P-1 | F1+ | ||
Preferred stock | D | Ca(hyb) | C/RR6 | ||
Outlook | Stable | Negative | Stable |
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 125 |
Capital Metrics under the Enterprise Regulatory Capital Framework as of December 31, 2023(1) | ||||||||||||
(Dollars in billions) | ||||||||||||
Stress capital buffer | $34 | |||||||||||
Stability capital buffer | 45 | |||||||||||
Adjusted total assets | $4,552 | Countercyclical capital buffer | — | |||||||||
Risk-weighted assets | 1,357 | 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% | $109 | N/A | $109 | $(34) | $(143) | ||||||
Common equity tier 1 capital | 4.5 | 61 | $79 | 140 | (74) | (214) | ||||||
Tier 1 capital | 6.0 | 81 | 79 | 160 | (55) | (215) | ||||||
Adjusted total capital | 8.0 | 109 | 79 | 188 | (55) | (243) | ||||||
Leverage capital: | ||||||||||||
Core capital (statutory)(6) | 2.5 | 114 | N/A | 114 | (43) | (157) | ||||||
Tier 1 capital | 2.5 | 114 | 23 | 137 | (55) | (192) | ||||||
Capital Metrics under the Enterprise Regulatory Capital Framework as of December 31, 2022(1) | ||||||||||||
(Dollars in billions) | ||||||||||||
Stress capital buffer | $34 | |||||||||||
Stability capital buffer | 45 | |||||||||||
Adjusted total assets | $4,552 | Countercyclical capital buffer | — | |||||||||
Risk-weighted assets | 1,316 | 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 | $(49) | $(154) | ||||||
Common equity tier 1 capital | 4.5 | 59 | $79 | 138 | (93) | (231) | ||||||
Tier 1 capital | 6.0 | 79 | 79 | 158 | (74) | (232) | ||||||
Adjusted total capital | 8.0 | 105 | 79 | 184 | (74) | (258) | ||||||
Leverage capital: | ||||||||||||
Core capital (statutory)(6) | 2.5 | 114 | N/A | 114 | (61) | (175) | ||||||
Tier 1 capital | 2.5 | 114 | 23 | 137 | (74) | (211) | ||||||
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 126 |
Regulatory Capital Components | ||||||
As of December 31, | ||||||
2023 | 2022 | |||||
(Dollars in millions) | ||||||
Total equity | $77,682 | $60,277 | ||||
Less: | ||||||
Senior preferred stock | 120,836 | 120,836 | ||||
Preferred stock | 19,130 | 19,130 | ||||
Common equity | (62,284) | (79,689) | ||||
Less: deferred tax assets arising from temporary differences that exceed 10% of common equity tier 1 capital and other regulatory adjustments | 11,681 | 12,911 | ||||
Common equity tier 1 capital (deficit) | (73,965) | (92,600) | ||||
Add: perpetual, noncumulative preferred stock | 19,130 | 19,130 | ||||
Tier 1 capital (deficit) | (54,835) | (73,470) | ||||
Tier 2 capital adjustments | — | — | ||||
Adjusted total capital (deficit) | $(54,835) | $(73,470) |
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 127 |
Statutory Capital Components | ||||||
As of December 31, | ||||||
2023 | 2022 | |||||
(Dollars in millions) | ||||||
Total equity | $77,682 | $60,277 | ||||
Less: | ||||||
Senior preferred stock | 120,836 | 120,836 | ||||
Accumulated other comprehensive income (loss), net of taxes | 32 | 35 | ||||
Core capital (deficit) | (43,186) | (60,594) | ||||
Less: general allowance for foreclosure losses | (8,934) | (11,617) | ||||
Total capital (deficit) | $(34,252) | $(48,977) |
MD&A | Liquidity and Capital Management |
Fannie Mae 2023 Form 10-K | 128 |
MD&A | Risk Management |
Fannie Mae 2023 Form 10-K | 129 |
MD&A | Risk Management |
Fannie Mae 2023 Form 10-K | 130 |
MD&A | Risk Management |
Fannie Mae 2023 Form 10-K | 131 |
MD&A | Risk Management | Climate and Natural Disaster Risk Management |
Fannie Mae 2023 Form 10-K | 132 |
MD&A | Risk Management | Climate and Natural Disaster Risk Management |
Fannie Mae 2023 Form 10-K | 133 |
MD&A | Risk Management | Institutional Counterparty Credit Risk Management |
Fannie Mae 2023 Form 10-K | 134 |
Mortgage Guaranty Insurance Corp. | Arch Capital Group Ltd. | Radian Guaranty, Inc. | ||||||||
Enact Mortgage Insurance Corp. | Essent Guaranty, Inc. | National Mortgage Insurance Corp. | ||||||||
Others | ||||||||||
MD&A | Risk Management | Institutional Counterparty Credit Risk Management |
Fannie Mae 2023 Form 10-K | 135 |
Top 5 | Others | ||||||
MD&A | Risk Management | Institutional Counterparty Credit Risk Management |
Fannie Mae 2023 Form 10-K | 136 |
MD&A | Risk Management | Institutional Counterparty Credit Risk Management |
Fannie Mae 2023 Form 10-K | 137 |
Top 5 depository servicers | Top 5 non-depository servicers | Others | |||||||||
Top 5 depository servicers | Top 5 non-depository servicers | Others | |||||||||
MD&A | Risk Management | Institutional Counterparty Credit Risk Management |
Fannie Mae 2023 Form 10-K | 138 |
MD&A | Risk Management | Institutional Counterparty Credit Risk Management |
Fannie Mae 2023 Form 10-K | 139 |
MD&A | Risk Management | Institutional Counterparty Credit Risk Management |
Fannie Mae 2023 Form 10-K | 140 |
MD&A | Risk Management | Institutional Counterparty Credit Risk Management |
Fannie Mae 2023 Form 10-K | 141 |
MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management |
Fannie Mae 2023 Form 10-K | 142 |
MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management |
Fannie Mae 2023 Form 10-K | 143 |
MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management |
Fannie Mae 2023 Form 10-K | 144 |
Interest-Rate Sensitivity of Net Portfolio to Changes in Interest-Rate Level and Slope of Yield Curve | |||||||
As of December 31,(1)(2) | |||||||
2023 | 2022 | ||||||
(Dollars in millions) | |||||||
Rate level shock: | |||||||
-100 basis points | $53 | $(10) | |||||
-50 basis points | 39 | 5 | |||||
+50 basis points | (47) | (14) | |||||
+100 basis points | (93) | (35) | |||||
Rate slope shock: | |||||||
-25 basis points (flattening) | (7) | (8) | |||||
+25 basis points (steepening) | 5 | 10 |
For the Three Months Ended December 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 | 0.03 | $(11) | $(27) | — | $(5) | $(16) | ||||||||||||||
Minimum | (0.01) | (22) | (47) | (0.04) | (10) | (36) | ||||||||||||||
Maximum | 0.06 | (1) | 2 | 0.04 | — | (3) | ||||||||||||||
Standard deviation | 0.02 | 4 | 12 | 0.02 | 2 | 8 |
Derivative Impact on Interest-Rate Risk (50 Basis Points) | |||||||
As of December 31,(1) | |||||||
2023 | 2022 | ||||||
(Dollars in millions) | |||||||
Before derivatives | $(449) | $(177) | |||||
After derivatives | (47) | (14) | |||||
Effect of derivatives | 402 | 163 |
MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management |
Fannie Mae 2023 Form 10-K | 145 |
MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management |
Fannie Mae 2023 Form 10-K | 146 |
MD&A | Risk Management | Model Risk Management |
Fannie Mae 2023 Form 10-K | 147 |
MD&A | Critical Accounting Estimates |
Fannie Mae 2023 Form 10-K | 148 |
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 | ||||
Fourth Quarter 2023 | 7.1% | 3.2% | 0.3% | |||
Third Quarter 2023 | 6.7 | 2.8 | (0.4) | |||
Second Quarter 2023 | 3.9 | (0.7) | (1.5) | |||
First Quarter 2023 | (1.2) | (2.2) | (1.1) | |||
For the Full Year ending December 31, | ||||||
2022 | 2023 | 2024 | ||||
Fourth Quarter 2022 | 8.4% | (4.2)% | (2.3)% | |||
Third Quarter 2022 | 9.0 | (1.5) | (1.4) | |||
Second Quarter 2022 | 16.0 | 4.4 | 0.5 | |||
First Quarter 2022 | 10.8 | 3.2 | 1.3 | |||
Forecasted 30-year interest rates by period of estimate:(3) | ||||||
Through the end of December 31, | For the Full Year ending December 31, | |||||
2023 | 2024 | 2025 | ||||
Fourth Quarter 2023 | 6.8% | 6.4% | 6.0% | |||
Third Quarter 2023 | 7.5 | 7.2 | 6.8 | |||
Second Quarter 2023 | 6.7 | 6.0 | 5.8 | |||
First Quarter 2023 | 6.2 | 5.7 | 5.5 | |||
Through the end of December 31, | For the Full Year ending December 31, | |||||
2022 | 2023 | 2024 | ||||
Fourth Quarter 2022 | 6.5% | 6.5% | 6.0% | |||
Third Quarter 2022 | 6.8 | 6.7 | 6.2 | |||
Second Quarter 2022 | 5.7 | 5.4 | 5.2 | |||
First Quarter 2022 | 4.7 | 4.8 | 4.7 |
MD&A | Critical Accounting Estimates |
Fannie Mae 2023 Form 10-K | 149 |
MD&A | Critical Accounting Estimates |
Fannie Mae 2023 Form 10-K | 150 |
MD&A | Glossary of Terms Used in This Report |
Fannie Mae 2023 Form 10-K | 151 |
MD&A | Glossary of Terms Used in This Report |
Fannie Mae 2023 Form 10-K | 152 |
MD&A | Glossary of Terms Used in This Report |
Fannie Mae 2023 Form 10-K | 153 |
Controls and Procedures |
Fannie Mae 2023 Form 10-K | 154 |
Controls and Procedures |
Fannie Mae 2023 Form 10-K | 155 |
Controls and Procedures |
Fannie Mae 2023 Form 10-K | 156 |
Controls and Procedures |
Fannie Mae 2023 Form 10-K | 157 |
Priscilla Almodovar | ||
Age 56 Chief Executive Officer Director since December 2022 Board committees: • Community Responsibility and Sustainability |
Amy E. Alving | ||
Age 61 Independent director since October 2013 Board committees: • Nominating and Corporate Governance (Vice Chair) • Risk Policy and Capital (Chair) |
Other Information |
Fannie Mae 2023 Form 10-K | 158 |
Christopher J. Brummer | ||
Age 48 Independent director since February 2021 Board committees: • Community Responsibility and Sustainability (Vice Chair) • Risk Policy and Capital |
Renée Lewis Glover | ||
Age 74 Independent director since January 2016 Board committees: • Community Responsibility and Sustainability • Nominating and Corporate Governance (Chair) |
Directors, Executive Officers and Corporate Governance | Directors |
Fannie Mae 2023 Form 10-K | 159 |
Michael J. Heid | ||
Age 66 Independent director since May 2016 Board Chair since May 2022 Board committees: • None Mr. Heid also serves as an alternate member of each Board committee for the purpose of establishing a meeting quorum if needed. |
Robert H. Herz | ||
Age 70 Independent director since June 2011 Board committees: • Audit (Chair) • Compensation and Human Capital |
Simon Johnson | ||
Age 61 Independent director since February 2021 Board committees: • Audit • Risk Policy & Capital |
Directors, Executive Officers and Corporate Governance | Directors |
Fannie Mae 2023 Form 10-K | 160 |
Karin J. Kimbrough | ||
Age 55 Independent director since March 2019 Board committees: • Community Responsibility and Sustainability (Chair) • Compensation and Human Capital (Vice Chair) |
Diane C. Nordin | ||
Age 65 Independent director since November 2013; Board Vice Chair since April 2019 Board committees: • Audit • Compensation and Human Capital (Chair) Ms. Nordin also serves as an alternate member of each other Board committee for the purpose of establishing a meeting quorum if needed. |
Directors, Executive Officers and Corporate Governance | Directors |
Fannie Mae 2023 Form 10-K | 161 |
Chetlur “Chet” S. Ragavan | ||
Age 69 Independent director since June 2023 Board committees: • Nominating and Corporate Governance • Risk Policy and Capital (Vice Chair) |
Manuel “Manolo” Sánchez Rodríguez | ||
Age 58 Independent director since September 2018 Board committees: • Compensation and Human Capital • Nominating and Corporate Governance |
Directors, Executive Officers and Corporate Governance | Directors |
Fannie Mae 2023 Form 10-K | 162 |
Michael A. Seelig | ||
Age 61 Independent director since March 2023 Board committees: • Audit (Vice Chair) • Compensation and Human Capital |
Directors, Executive Officers and Corporate Governance | Directors |
Fannie Mae 2023 Form 10-K | 163 |
Matters requiring prior Board review and approval: | Other matters: | |
•redemptions or repurchases of our subordinated debt, except as may be necessary to comply with the senior preferred stock purchase agreement; •creation of any subsidiary or affiliate, or entering into a substantial transaction with a subsidiary or affiliate, except for routine ongoing transactions with CSS or the creation of, or a transaction with, a subsidiary or affiliate undertaken in the ordinary course of business; •changes to or removal of Board risk limits that would result in an increase in the amount of risk that we may take; •retention and termination of the external auditor; •terminations of law firms serving as consultants to the Board; •proposed amendments to our bylaws or to charters of our Board committees; •setting or increasing the compensation or benefits payable to members of the Board; and •establishing the annual operating budget. | • | •material changes in accounting policy; •proposed changes in our business operations, activities, and transactions that in the reasonable business judgment of management are more likely than not to result in a significant increase in credit, market, reputational, operational or other key risks; •matters that impact or question the conservator’s powers, our conservatorship status, the legal effect of the conservatorship, interpretations of the senior preferred stock purchase agreement or the Financial Agency Agreement with Treasury or our performance under the Financial Agency Agreement; •agreements relating to litigation, lawsuits, claims, demands, prosecutions, regulatory proceedings or tax matters where the amount in dispute exceeds a specified threshold, including related matters that aggregate to more than the threshold; •mergers, acquisitions and changes in control of key counterparties where we have a direct contractual right to cease doing business with the entity or object to the merger or acquisition; •changes to requirements, policies, frameworks, standards or products that are aligned with Freddie Mac’s, pursuant to FHFA’s direction; •credit risk transfer transactions that are a new transaction type, involve a material change in terms, or involve a new type of collateral; •transfers of mortgage servicing rights that meet minimum size thresholds and would increase the transferee’s servicing of Fannie Mae seriously delinquent loans by more than a specified threshold; and •changes in employee compensation that could significantly impact our employees, including special incentive plans, merit increase pool funding, and retention awards for executives. |
Directors, Executive Officers and Corporate Governance | Corporate Governance |
Fannie Mae 2023 Form 10-K | 164 |
Directors, Executive Officers and Corporate Governance | Corporate Governance |
Fannie Mae 2023 Form 10-K | 165 |
Board Diversity |
Women | Black/African American | 40s | < 2 Years | ||||||||||||
Men | Asian | 50s | 2-4 Years | ||||||||||||
Hispanic/Latino | 60s | 5+ Years | |||||||||||||
White | 70s | ||||||||||||||
Two or more (also represented in each applicable category) | |||||||||||||||
Directors, Executive Officers and Corporate Governance | Corporate Governance |
Fannie Mae 2023 Form 10-K | 166 |
Director Experience, Qualifications, Attributes and Skills |
Directors, Executive Officers and Corporate Governance | Corporate Governance |
Fannie Mae 2023 Form 10-K | 167 |
Directors, Executive Officers and Corporate Governance | Corporate Governance |
Fannie Mae 2023 Form 10-K | 168 |
Directors, Executive Officers and Corporate Governance | Corporate Governance |
Fannie Mae 2023 Form 10-K | 169 |
Directors, Executive Officers and Corporate Governance | Report of the Audit Committee of the Board of Directors |
Fannie Mae 2023 Form 10-K | 170 |
Directors, Executive Officers and Corporate Governance | Report of the Audit Committee of the Board of Directors |
Fannie Mae 2023 Form 10-K | 171 |
David C. Benson | ||
Age 64 | President Joined Fannie Mae in 2002 |
H. Malloy Evans | ||
Age 50 | Executive Vice President—Single-Family Joined Fannie Mae in 2004 |
Directors, Executive Officers and Corporate Governance | Report of the Audit Committee of the Board of Directors |
Fannie Mae 2023 Form 10-K | 172 |
Michele M. Evans | ||
Age 60 | Executive Vice President—Multifamily Joined Fannie Mae in 1992 |
Chryssa C. Halley | ||
Age 57 | Executive Vice President and Chief Financial Officer Joined Fannie Mae in 2006 |
Danielle M. McCoy | ||
Age 47 | Senior Vice President, General Counsel, and Corporate Secretary Joined Fannie Mae in 2006 |
Directors, Executive Officers and Corporate Governance | Executive Officers |
Fannie Mae 2023 Form 10-K | 173 |
Anthony Moon | ||
Age 59 | Executive Vice President and Chief Risk Officer Joined Fannie Mae in 2022 |
Stergios “Terry” Theologides | ||
Age 57 | Executive Vice President and Chief Administrative Officer Joined Fannie Mae in 2019 |
Directors, Executive Officers and Corporate Governance | Executive Officers |
Fannie Mae 2023 Form 10-K | 174 |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 175 |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 176 |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 177 |
Compensation Element | Form | Primary Compensation Objectives | Key Features |
Base Salary | Fixed cash payments, which are paid during the year on a biweekly basis. | Attract and retain named executives by providing a fixed level of current cash compensation. | Base salary reflects each named executive’s level of responsibility and experience, as well as individual performance over time. Base salary rate may not exceed $600,000 for any executive while we are in conservatorship. |
Deferred Salary (Not applicable to our Chief Executive Officer) | Deferred salary is earned in biweekly increments over the course of the performance year. There are two elements of deferred salary: • a fixed portion that is generally subject to reduction if an executive leaves Fannie Mae within one year following the end of the performance year, unless they have met specified age and years of service requirements; and • an at-risk portion that is subject to reduction based on assessments of corporate and individual performance following the end of the performance year. Deferred salary is paid in quarterly installments in the year after it is earned for fixed deferred salary and in the second year for at-risk deferred salary. Interest accrues on deferred salary at one-half of the one-year Treasury Bill rate in effect on the last business day immediately preceding the year in which the deferred salary is earned. | Fixed Deferred Salary | |
Retain named executives. | Earned but unpaid fixed deferred salary is generally subject to reduction if a named executive leaves Fannie Mae within one year following the end of the performance year, unless they have met the age and years of service requirements specified below. The amount of earned but unpaid fixed deferred salary received by the named executive will be reduced by 2% for each full or partial month by which the executive’s separation date precedes January 31 of the second year following the performance year (or, if later, the end of the twenty- fourth month following the month in which the named executive first earned deferred salary). The reduction provisions applicable to payments of earned but unpaid fixed deferred salary do not apply if an officer’s employment terminates other than for cause at or after age 62, or age 55 with ten years of service with Fannie Mae, or as a result of death or long-term disability. | ||
At-Risk Deferred Salary | |||
Retain named executives and encourage them to achieve corporate and individual performance objectives. | Equal to 30% of each named executive’s total target direct compensation. Half of at-risk deferred salary was subject to reduction based on corporate performance against the 2023 scorecard as determined by FHFA in its discretion. The remaining half of at-risk deferred salary was subject to reduction based on individual performance as determined by the Board of Directors, with FHFA’s review, taking into account corporate performance against the 2023 Board of Directors’ goals. There is no potential for at-risk deferred salary to be paid out at greater than 100% of target; at-risk deferred salary is subject only to reduction. If the executive’s employment terminates due to death or long-term disability prior to the Board of Directors’ and FHFA’s determinations of performance, the reduction provisions applicable to payments of earned but unpaid at-risk deferred salary do not apply. |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 178 |
Benefit | Form | Primary Objective |
401(k) Plan (“Retirement Savings Plan”) | The Retirement Savings Plan is a tax-qualified defined contribution plan (“401(k) plan”) available to our employee population as a whole. | Attract and retain named executives by providing retirement savings in a tax-efficient manner. |
Non-qualified Deferred Compensation (“Supplemental Retirement Savings Plan”) | The Supplemental Retirement Savings Plan is an unfunded, non-tax-qualified defined contribution plan. The plan supplements our Retirement Savings Plan by providing benefits to participants whose annual eligible earnings exceed the IRS limit on eligible compensation for 401(k) plans. | Attract and retain named executives by providing additional retirement savings. |
Health, Welfare and Other Benefits | In general, the named executives are eligible for the same benefits available to our employee population as a whole, including our medical insurance plans, life insurance program and matching charitable gifts program. The named executives are also eligible to participate in our voluntary supplemental long-term disability plan, which is available to many of our employees. | Provide for the well-being of the named executives and their families. |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 179 |
Summary of 2023 Compensation Actions | ||||||||||||||||
2023 Corporate Performance-Based At-Risk Deferred Salary | 2023 Individual Performance-Based At-Risk Deferred Salary | Total | ||||||||||||||
Name and Principal Position | 2023 Base Salary | 2023 Fixed Deferred Salary | Target | Actual % of Target | Target | Actual % of Target | Target | Actual | ||||||||
Priscilla Almodovar | $600,000 | $— | $— | —% | $— | —% | $600,000 | $600,000 | ||||||||
Chief Executive Officer | ||||||||||||||||
Chryssa Halley(1) | 592,308 | 1,486,154 | 445,384 | 91 | 445,385 | 100 | 2,969,231 | 2,929,147 | ||||||||
Executive Vice President and Chief Financial Officer | ||||||||||||||||
David Benson | 600,000 | 2,480,000 | 660,000 | 91 | 660,000 | 100 | 4,400,000 | 4,340,600 | ||||||||
President | ||||||||||||||||
H. Malloy Evans(1) | 592,308 | 1,486,154 | 445,384 | 91 | 445,385 | 100 | 2,969,231 | 2,929,147 | ||||||||
Executive Vice President—Single- Family | ||||||||||||||||
Anthony Moon(2) | 500,000 | 1,460,000 | 420,000 | 91 | 420,000 | 100 | 2,800,000 | 2,762,200 | ||||||||
Executive Vice President and Chief Risk Officer |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 180 |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 181 |
FHFA 2023 Scorecard | |
Objectives | Performance |
Promote Equitable Access to Affordable and Sustainable Housing (50%) Conduct business and undertake initiatives that support affordable, sustainable, and equitable access to homeownership and rental housing, and fulfill all statutory mandates. | |
Take significant actions to ensure that all borrowers and renters have equitable access to sustainable long-term affordable housing opportunities, including efforts that further energy efficiency, resiliency, and cost savings in the mortgage process. Develop and implement strategies to support and advance the following: •Sustainable homeownership and affordable rental housing ◦Explore options to expand energy efficiency and to improve resiliency product offerings and policy guidelines. ◦Explore the feasibility of expanding tenant protections in properties financed by the Enterprises. ◦Identify strategies and activities to facilitate greater affordable housing supply within the limits of charter authorities. ◦Plan for implementation of the approved credit score models, informed by stakeholder outreach. •Equitable access to housing ◦Take meaningful actions to achieve the goals and objectives of the Enterprises’ Equitable Housing Finance Plans. ◦Continue efforts to minimize single-family appraisal bias and improve valuation equity, including by supporting FHFA’s implementation of the Property and Valuation Equity (“PAVE”) action plan. •Efficiency in the mortgage market ◦Continue modernization of single-family appraisal processes and practices. ◦Leverage data, technology, and other innovations to promote efficiency and cost savings in mortgage processes. •Climate risks ◦Identify and pursue measures to enhance consumer awareness of climate risks in housing. ◦Continue research to identify at-risk borrowers, properties, and communities to inform policy and improve climate- resiliency efforts. | The objectives were assessed as completed. In its assessment, FHFA noted that Fannie Mae exceeded its targets and measures relating to multifamily tenant protections by developing several innovative and precedent setting resident-centered property management practices and identifying opportunities to develop industry-wide best practices. FHFA also noted that Fannie Mae provided exceptionally high-quality deliverables in support of its work to leverage data, technology and other innovations to promote efficiency and cost savings in single-family mortgage processes. |
Manage new multifamily purchases to remain within the multifamily cap requirements, including an expanded focus on workforce/moderate income housing. | The objectives were assessed as completed. |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 182 |
FHFA 2023 Scorecard, continued | |
Objectives | Performance |
Operate the Business in a Safe and Sound Manner (50%) Operate with heightened focus on safety and soundness and with a prudent risk profile consistent with continued support for housing finance markets throughout the economic cycle, while minimizing the risk of requiring a draw against the Treasury commitment. | |
Ensure that the Enterprise is resilient to operational, market, credit, counterparty, economic, and climate risks. •Address examination and supervision findings promptly. •Maintain effective risk management systems appropriate for entities that need to minimize risk to capital as they rebuild their capital buffers. •Take appropriate action to address risk exposure and enhance Enterprise counterparty risk controls. •Strengthen risk management capabilities in identifying, assessing, controlling, monitoring, and reporting on climate risk and incorporating these capabilities into the overall Enterprise risk framework. •Maintain ability to respond to operational events without significant disruption to the primary or secondary mortgage market. •Maintain liquidity at levels required by FHFA and sufficient to sustain Enterprise operations through severe stress events. •Continue to develop the pricing framework to maintain support for core mission single-family borrowers, ensure a level playing field for small and large sellers, foster capital accumulation, and achieve viable returns on capital. | The objectives were assessed as completed. |
Transfer a meaningful amount of credit risk to private investors in a commercially reasonable and safe and sound manner, reducing risk to taxpayers. | The objectives were assessed as completed. |
Ensure CSS operates in a safe and sound manner in support of Enterprise securitization activities. | Fannie Mae’s performance was not assessed with respect to this objective, which established measures only for CSS. |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 183 |
Board of Directors’ Goals | ||
Goals | Performance | |
Goals Relating to Strategic Objectives | ||
Improve Equitable & Sustainable Access to Housing | Take action to ensure that borrowers and renters have equitable access to long-term affordable housing opportunities. | The goal was assessed as achieved. The Compensation and Human Capital Committee believes Fannie Mae met or exceeded its duty to serve targets, its multifamily housing goals, and the benchmark levels for all but two of its single-family housing goals. Those two single-family housing goals may also be met based on the level of goals-eligible originations in the primary mortgage market in 2023, which will not be available until later this year. FHFA will make the final determination on whether the company has met its 2023 housing goals and duty to serve obligations. In making its assessment, the Committee recognized the challenges posed by this year’s market conditions, commended management’s progress in alignment with the mission to facilitate equitable and sustainable access to homeownership and quality affordable rental housing across America and noted that management continues to operate within risk limits and proactively engage with FHFA. |
Take targeted actions to address climate-related risks to Fannie Mae while also guiding efforts to support sustainable housing. | The goal was assessed as achieved. While work to address climate-related risks and guide efforts to help support resilient housing remains in the early stages, in 2023 Fannie Mae took steps to begin integrating climate risk considerations into its risk management framework, partnered with industry stakeholders to build environmental resiliency, and analyzed climate risk data to limit exposure. | |
Enhance our Financial & Risk Position | ||
Manage our business, risk, and financial position to ensure safety and soundness and enable pursuit of our mission-first approach to business. | The goal was assessed as achieved. Fannie Mae adhered to Board-approved risk limits (including as remediated where limits were exceeded); managed administrative expenses within Board- approved limits; exceeded FHFA-required levels of return measures on new acquisitions; modified its single-family pricing framework; and enhanced its data, modeling and analytics infrastructure. |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 184 |
Board of Directors’ Goals, continued | ||
Goals | Performance | |
Goals Relating to Other Objectives | ||
Progress our Digital Transformation | Support delivery of our business objectives to benefit borrowers and renters and expand adoption of our modernized technology, data, and cybersecurity capabilities to increase our operational agility, stability and efficiency. | The goal was assessed as achieved. Fannie Mae made progress in cloud migrations and asset retirements. Fannie Mae also improved its product development practices; and continued to strengthen its information security capabilities. |
Strengthen our Workforce | Develop and maintain our workforce to ensure continuity of operations, support our strategy, and continue to enhance our culture. | The goal was assessed as achieved. Fannie Mae successfully navigated several significant senior leadership changes in 2023, spotlighting the effectiveness of its succession planning strategy. Fannie Mae also maintained strong employee engagement and low attrition rates. |
Promote Diversity & Inclusion | Promote diversity and the inclusion and utilization of minorities, women and individuals with disabilities in all aspects of our business | The goal was assessed as achieved. Fannie Mae met its diversity and inclusion goals and, in the midst of 2023’s evolving legal landscape, reaffirmed its commitment to fostering diversity and inclusion in its workforce and its industry. |
Deliver our Regulatory Commitments | Ensure we are meeting commitments to FHFA. | The goal was assessed as achieved. Fannie Mae met all of the objectives in the 2023 FHFA scorecard and timely submitted requested documents and remediation plans to FHFA for all FHFA-identified risk and control matters within established timeframes or mutually acceptable extensions. The Committee commended Fannie Mae for its remediation of FHFA-identified risk and control matters in 2023. |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 185 |
Priscilla Almodovar Chief Executive Officer | Ms. Almodovar provided strong leadership to Fannie Mae. Her 2023 accomplishments included: •Oversaw completion of all of the corporate performance goals in FHFA’s 2023 scorecard and achievement of a 100% rating on the Board of Directors’ goals. •Delivered solid financial results, continued to build net worth, maintained solid credit risk characteristics in Fannie Mae’s guaranty book of business, and managed within risk limits. •Completed implementation of a modified single-family pricing framework and enhanced data, modeling and analytics infrastructure. •Navigated market volatility, macroeconomic uncertainties, regional banking sector failures, lender financial pressures, and third-party cybersecurity incidents by demonstrating operational discipline, risk management, transparent communication and decisiveness, along with collaboration across divisions and with FHFA and other stakeholders. •Demonstrated budget discipline, implemented capacity-based planning, and routinized management committee-level prioritization practices to ensure we focused on our most important objectives and effectively deploying human and financial resources. | |
Chryssa Halley Executive Vice President and Chief Financial Officer | The Board determined that Ms. Halley’s individual performance-based at-risk deferred salary for 2023 would be paid at 100% of her target. Ms. Halley’s accomplishments in 2023 provided critical support to Fannie Mae’s achievement of the company’s 2023 goals. Her 2023 accomplishments included: •Changed trajectory of 2023 budget by limiting headcount increases, establishing task force to review spending on third-party services, and changed the threshold for approval of third-party spending. •Led prioritization of work across Fannie Mae, organizing a management committee subgroup to limit priorities and connect work to strategy and critical initiatives. •Oversaw significant improvements to Fannie Mae’s stress testing processes, including incorporating first-line controls testing. •Supported work on addressing FHFA requirements for remediating modeling deficiencies, including establishing project team and reporting to the Board on progress, including initial assessment of critical models. •Reorganized Finance division, including consolidating the company’s financial forecasting function as well as aligning capital monitoring and management within the Treasurer’s organization. •Oversaw the Finance division’s completion of the transition from LIBOR to SOFR. •Shortened the timeline for conducting financial forecasting. | |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 186 |
David Benson President | The Board determined that Mr. Benson’s individual performance-based at-risk deferred salary for 2023 would be paid at 100% of his target. Mr. Benson’s continued strong leadership in 2023 was critical to the company’s success in achieving the 2023 scorecard and 2023 Board of Directors’ goals. His 2023 accomplishments included: •Supported completion of the corporate performance goals in FHFA’s 2023 scorecard and achievement of a 100% rating on the Board of Directors’ goals. •Delivered solid financial results, continued to build net worth, maintained solid credit risk characteristics in Fannie Mae’s guaranty book of business, and managed within risk limits. •Oversaw the design of our initial generative artificial intelligence governance process to evaluate use cases that may drive business value and appropriately mitigate risk; established an enterprise lead for our recently created generative artificial intelligence program, which we continue to build. •Continued mission-centric product and technology innovation and evolution of our initiatives supporting affordable housing. •Navigated market volatility, macroeconomic uncertainties, regional banking sector failures, lender financial pressures, and third-party cybersecurity incidents by demonstrating operational discipline, risk management, transparent communication and decisiveness, along with collaboration across divisions and with FHFA and other stakeholders. •As CSS Board member, oversaw successful operations of this joint venture, which Fannie Mae relies on for the operation of a majority of its single-family securitization, and facilitated the transition of a new Fannie Mae-designated board member upon the departure of the prior designee. | |
Malloy Evans Executive Vice President—Single- Family | The Board determined that Mr. Evans’s individual performance-based at-risk deferred salary for 2023 would be paid at 100% of his target. Mr. Evans’s accomplishments in 2023 contributed to Fannie Mae’s achievement of the company’s 2023 goals. His 2023 accomplishments included: •Managed competing business objectives relating to risks, returns, UMBS alignment and our mission during a volatile macroeconomic environment, while staying within budget. •Managed development and implementation of changes to Fannie Mae’s single-family pricing framework. •Oversaw continued innovation to support access to credit for credit-invisible and underserved borrowers and to support borrower resilience and stability. •Significantly advanced the Single-Family division’s ability to prioritize work and capacity to deliver, enabling resource and business agility and supporting capacity-based planning efforts. •Improved alignment and partnership with Chief Information Office and Finance divisions to effectively meet objectives. •Reorganized the Single-Family division to more effectively align product and digital capabilities with business activities and enhance execution on a unified set of prioritized initiatives. | |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 187 |
Anthony Moon Executive Vice President and Chief Risk Officer | The Board determined that Mr. Moon’s individual performance-based at-risk deferred salary for 2023 would be paid at 100% of his target. Mr. Moon’s accomplishments in 2023 provided critical support to Fannie Mae’s achievement of the company’s 2023 goals. His 2023 accomplishments included: •Responded to FHFA concerns regarding modeling deficiencies, including conducting a gap assessment and establishing a remediation plan. •Strengthened the model risk management team by recruiting new leadership and began developing a new quality control function. •Improved risk reporting for Board and management-level risk committees. •Designed and helped implement changes to Fannie Mae’s governance structure and delegations of authority designed to more effectively use company resources to manage risks to the business. |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 188 |
• | The Allstate Corporation | • | Mastercard Incorporated |
• | Ally Financial Inc. | • | MetLife, Inc. |
• | American International Group, Inc. | • | Northern Trust Corporation |
• | American Express Company | • | The PNC Financial Services Group, Inc. |
• | The Bank of New York Mellon Corporation | • | Prudential Financial, Inc. |
• | Capital One Financial Corporation | • | Regions Financial Corporation |
• | Citizens Financial Group, Inc. | • | State Street Corporation |
• | Discover Financial Services | • | Synchrony Financial |
• | Fifth Third Bancorp | • | Truist Financial Corporation |
• | Freddie Mac | • | U.S. Bancorp |
• | The Hartford Financial Services Group, Inc. | • | Visa Inc. |
• | KeyCorp | • | Voya Financial, Inc. |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 189 |
Forfeiture Event | Compensation Subject to Forfeiture/Repayment | |
Materially Inaccurate Information | ||
The executive officer has been granted deferred salary or incentive payments based on materially inaccurate financial statements or any other materially inaccurate performance metric criteria. | Amounts of deferred salary and incentive payments granted in excess of the amounts the Board of Directors determines would likely have been granted using accurate metrics. | |
Termination for Cause | ||
The executive officer’s employment is terminated for cause. For a description of what constitutes termination for cause, see “Compensation Tables and Other Information—Potential Payments Upon Termination or Change-in-Control.” | All deferred salary and incentive payments that have not yet become payable. | |
Subsequent Determination of Cause | ||
The Board of Directors later determines (within a specified period of time) that the executive officer could have been terminated for cause and that the officer’s actions materially harmed the business or reputation of the company. | Deferred salary and incentive payments to the extent the Board of Directors deems appropriate. | |
Willful Misconduct | ||
The executive officer’s employment: •is terminated for cause (or the Board of Directors later determines that cause for termination existed within a specified period of time) due to willful misconduct in connection with the performance of their duties for the company; and •the Board of Directors determines this has materially harmed the business or reputation of the company. | All deferred salary and incentive payments that have not yet become payable, and, to the extent the Board of Directors deems appropriate, deferred salary and annual incentives or long-term awards paid in the two-year period prior to the officer’s employment termination date. |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 190 |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 191 |
Compensation and Human Capital Committee: |
Diane C. Nordin, Chair Karin J. Kimbrough, Vice Chair Robert H. Herz Manolo Sánchez Michael Seelig |
Executive Compensation | Compensation Discussion and Analysis |
Fannie Mae 2023 Form 10-K | 192 |
Summary Compensation Table | ||||||||||||||
Salary | ||||||||||||||
Name and Principal Position | Year | Base Salary(1) | Fixed Deferred Salary (Service-Based)(2) | Bonus(3) | Non-Equity Incentive Plan Compensation(4) | All Other Compensation(5) | Total | |||||||
Priscilla Almodovar | 2023 | $600,000 | $— | $— | $— | $94,467 | $694,467 | |||||||
Chief Executive Officer | 2022 | 46,154 | — | — | — | — | 46,154 | |||||||
Chryssa Halley | 2023 | 592,308 | 1,486,154 | — | 890,922 | 112,533 | 3,081,917 | |||||||
Executive Vice President | 2022 | 500,000 | 1,018,462 | — | 642,882 | 58,386 | 2,219,730 | |||||||
and Chief Financial Officer | 2021 | 440,000 | 335,385 | — | 310,863 | 62,707 | 1,148,955 | |||||||
David Benson | 2023 | 600,000 | 2,480,000 | — | 1,320,226 | 143,402 | 4,543,628 | |||||||
President | 2022 | 600,000 | 2,200,000 | — | 1,185,457 | 76,590 | 4,062,047 | |||||||
2021 | 600,000 | 1,920,000 | — | 1,010,305 | 87,406 | 3,617,711 | ||||||||
H. Malloy Evans | 2023 | 592,308 | 1,486,154 | — | 890,922 | 108,394 | 3,077,778 | |||||||
Executive Vice President— | 2022 | 500,000 | 1,029,231 | — | 647,442 | 64,930 | 2,241,603 | |||||||
Single-Family | ||||||||||||||
Anthony Moon | 2023 | 500,000 | 1,460,000 | 1,575,000 | 840,144 | 65,551 | 4,440,695 | |||||||
Executive Vice President | ||||||||||||||
and Chief Risk Officer |
Executive Compensation | Compensation Risk Assessment |
Fannie Mae 2023 Form 10-K | 193 |
Performance-Based At-Risk Deferred Salary | ||||||||
Name | 2023 Corporate Performance-Based At-Risk Deferred Salary | 2023 Individual Performance-Based At-Risk Deferred Salary | Interest Payable on 2023 At-Risk Deferred Salary | Total | ||||
Priscilla Almodovar | $— | $— | $— | $— | ||||
Chryssa Halley | 405,300 | 445,385 | 40,237 | 890,922 | ||||
David Benson | 600,600 | 660,000 | 59,626 | 1,320,226 | ||||
H. Malloy Evans | 405,300 | 445,385 | 40,237 | 890,922 | ||||
Anthony Moon | 382,200 | 420,000 | 37,944 | 840,144 |
All Other Compensation | ||||||||||||
Name | Company Contributions to Retirement Savings (401(k)) Plan | Company Credits to Supplemental Retirement Savings Plan | Matching Charitable Award Program | Interest Payable on 2023 Fixed Deferred Salary | Other | Total | ||||||
Priscilla Almodovar | $26,400 | $21,600 | $— | $— | $46,467 | $94,467 | ||||||
Chryssa Halley | 26,400 | 50,985 | — | 35,148 | — | 112,533 | ||||||
David Benson | 26,400 | 57,600 | 750 | 58,652 | — | 143,402 | ||||||
H. Malloy Evans | 26,400 | 50,985 | 5,000 | 26,009 | — | 108,394 | ||||||
Anthony Moon | 26,400 | 13,600 | — | 25,551 | — | 65,551 |
Executive Compensation | Compensation Tables and Other Information |
Fannie Mae 2023 Form 10-K | 194 |
Grants of Plan-Based Awards in 2023 | ||||||||
Estimated Future Payouts Under Non-Equity Incentive Plan Awards(1) | ||||||||
Name | Award Type | Threshold | Target | Maximum | ||||
Priscilla Almodovar | At-risk deferred salary—Corporate | $— | $— | $— | ||||
At-risk deferred salary—Individual | — | — | — | |||||
Total at-risk deferred salary | — | — | — | |||||
Chryssa Halley | At-risk deferred salary—Corporate | — | 445,384 | 445,384 | ||||
At-risk deferred salary—Individual | — | 445,385 | 445,385 | |||||
Total at-risk deferred salary | — | 890,769 | 890,769 | |||||
David Benson | At-risk deferred salary—Corporate | — | 660,000 | 660,000 | ||||
At-risk deferred salary—Individual | — | 660,000 | 660,000 | |||||
Total at-risk deferred salary | — | 1,320,000 | 1,320,000 | |||||
H. Malloy Evans | At-risk deferred salary—Corporate | — | 445,384 | 445,384 | ||||
At-risk deferred salary—Individual | — | 445,385 | 445,385 | |||||
Total at-risk deferred salary | — | 890,769 | 890,769 | |||||
Anthony Moon | At-risk deferred salary—Corporate | — | 420,000 | 420,000 | ||||
At-risk deferred salary—Individual | — | 420,000 | 420,000 | |||||
Total at-risk deferred salary | — | 840,000 | 840,000 |
Executive Compensation | Compensation Tables and Other Information |
Fannie Mae 2023 Form 10-K | 195 |
Non-Qualified Deferred Compensation for 2023 | ||||||
Name | Company Contributions in 2023(1) | Aggregate Earnings in 2023(2) | Aggregate Balance at December 31, 2023(3) | |||
Priscilla Almodovar | $21,600 | $1,350 | $22,950 | |||
Chryssa Halley | 50,985 | 104,947 | 788,817 | |||
David Benson | 57,600 | 50,777 | 967,100 | |||
H. Malloy Evans | 50,985 | 135,406 | 738,556 | |||
Anthony Moon | 13,600 | 857 | 14,457 |
Balance Amounts Reported in “All Other Compensation” in the Summary Compensation Table | |||||
Name | Amounts in Aggregate Balance Column that Represent Company Contributions Reported as Compensation for 2022 in the Summary Compensation Table | Amounts in Aggregate Balance Column that Represent Company Contributions Reported as Compensation for 2021 in the Summary Compensation Table | |||
Priscilla Almodovar | $— | $— | |||
Chryssa Halley | 38,100 | 45,139 | |||
David Benson | 53,700 | 68,446 | |||
H. Malloy Evans | 39,623 | — | |||
Anthony Moon | — | — |
Executive Compensation | Compensation Tables and Other Information |
Fannie Mae 2023 Form 10-K | 196 |
Executive Compensation | Compensation Tables and Other Information |
Fannie Mae 2023 Form 10-K | 197 |
Potential Payments Upon Termination as of December 31, 2023 | ||||||||||||
Name | 2023 Fixed Deferred Salary(1) | 2023 At-Risk Deferred Salary(2) | Interest on 2023 Deferred Salary(3) | Remaining Unpaid 2022 At-Risk Deferred Salary(4) | Interest on Remaining Unpaid 2022 At-Risk Deferred Salary(5) | |||||||
Priscilla Almodovar | ||||||||||||
Resignation, retirement, or termination without cause | $— | $— | $— | $— | $— | |||||||
Long-term disability | — | — | — | — | — | |||||||
Death | — | — | — | — | — | |||||||
Termination for cause | — | — | — | — | — | |||||||
Chryssa Halley | ||||||||||||
Resignation, retirement, or termination without cause | 1,486,154 | 850,685 | 75,385 | 320,503 | 1,250 | |||||||
Long-term disability | 1,486,154 | 890,769 | 77,281 | 320,503 | 1,250 | |||||||
Death | 1,486,154 | 890,769 | 34,383 | 320,503 | 988 | |||||||
Termination for cause | — | — | — | — | — | |||||||
David Benson | ||||||||||||
Resignation, retirement, or termination without cause | 2,480,000 | 1,260,600 | 118,278 | 591,000 | 2,306 | |||||||
Long-term disability | 2,480,000 | 1,320,000 | 121,088 | 591,000 | 2,306 | |||||||
Death | 2,480,000 | 1,320,000 | 55,305 | 591,000 | 1,845 | |||||||
Termination for cause | — | — | — | — | — | |||||||
H. Malloy Evans | ||||||||||||
Resignation, retirement, or termination without cause | 1,099,754 | 850,685 | 66,247 | 322,777 | 1,259 | |||||||
Long-term disability | 1,486,154 | 890,769 | 77,281 | 322,777 | 1,259 | |||||||
Death | 1,486,154 | 890,769 | 34,383 | 322,777 | 995 | |||||||
Termination for cause | — | — | — | — | — | |||||||
Anthony Moon | ||||||||||||
Resignation, retirement, or termination without cause | 1,080,400 | 802,200 | 63,496 | 63,646 | 248 | |||||||
Long-term disability | 1,460,000 | 840,000 | 74,261 | 63,646 | 248 | |||||||
Death | 1,460,000 | 840,000 | 33,474 | 63,646 | 155 | |||||||
Termination for cause | — | — | — | — | — |
Executive Compensation | Compensation Tables and Other Information |
Fannie Mae 2023 Form 10-K | 198 |
2023 Chief Executive Officer to Median Employee Pay Ratio | ||||
Individual | Compensation | Ratio | ||
Chief Executive Officer | $694,467 | 3.9 to 1 | ||
Median Employee | 178,735 |
Executive Compensation | Compensation Tables and Other Information |
Fannie Mae 2023 Form 10-K | 199 |
Board Compensation Levels | ||
Board Service | Cash Compensation | |
Annual retainer for non-executive Chair | $290,000 | |
Annual retainer for non-management directors (other than the non-executive Chair) | 160,000 | |
Committee Service | Cash Compensation | |
Annual retainer for Audit Committee Chair | $25,000 | |
Annual retainer for Risk Policy and Capital Committee Chair | 15,000 | |
Annual retainer for all other Committee Chairs | 10,000 | |
Annual retainer for Audit Committee members (other than the Audit Committee Chair) | 10,000 |
2023 Non-Management Director Compensation Table | ||||||
Name | Fees Earned or Paid in Cash | All Other Compensation(1) | Total | |||
Amy Alving | $175,000 | $— | $175,000 | |||
Christopher Brummer | 160,000 | — | 160,000 | |||
Renée Glover | 173,333 | — | 173,333 | |||
Michael Heid | 290,000 | — | 290,000 | |||
Robert Herz | 185,000 | 500 | 185,500 | |||
Simon Johnson | 170,000 | 5,000 | 175,000 | |||
Karin Kimbrough | 170,000 | — | 170,000 | |||
Diane Nordin | 180,000 | 5,000 | 185,000 | |||
Chet Ragavan(2) | 80,000 | — | 80,000 | |||
Manolo Sánchez | 160,000 | — | 160,000 | |||
Michael Seelig(3) | 127,500 | 1,500 | 129,000 | |||
Executive Compensation | Compensation Tables and Other Information |
Fannie Mae 2023 Form 10-K | 200 |
Beneficial Ownership of Stock by Directors and Executive Officers | ||||
Directors and Named Executives | Position | Number of Shares of Common Stock Beneficially Owned(1) | ||
Amy Alving | Director | 0 | ||
Christopher Brummer | Director | 0 | ||
Renée Glover | Director | 0 | ||
Michael Heid | Director (Board Chair) | 0 | ||
Robert Herz | Director | 0 | ||
Simon Johnson | Director | 0 | ||
Karin Kimbrough | Director | 0 | ||
Diane Nordin | Director | 0 | ||
Chet Ragavan | Director | 0 | ||
Manolo Sánchez | Director | 0 | ||
Michael Seelig | Director | 0 | ||
Priscilla Almodovar | Chief Executive Officer and Director | 0 | ||
Chryssa Halley | EVP and Chief Financial Officer | 0 | ||
David Benson | President | 0 | ||
Malloy Evans | EVP—Single-Family | 0 | ||
Anthony Moon | EVP and Chief Risk Officer | 0 | ||
All directors and executive officers as a group (19 persons)(2) | 29,146 |
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters | Beneficial Ownership |
Fannie Mae 2023 Form 10-K | 201 |
Beneficial Ownership of Stock by 5%+ Holders | ||||
5%+ Holders | Common Stock Beneficially Owned | Percent of Class | ||
U.S. Department of the Treasury | Variable(1) | 79.9% | ||
1500 Pennsylvania Avenue, NW, Washington, DC 20220 | ||||
Pershing Square Capital Management, L.P. PS Management GP, LLC William A. Ackman | 115,569,796(2) | 9.98% | ||
787 Eleventh Avenue, 9th Floor, New York, New York 10019 |
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters | Beneficial Ownership |
Fannie Mae 2023 Form 10-K | 202 |
Certain Relationships and Related Transactions, and Director Independence | Policies and Procedures Relating to Transactions with Related Persons |
Fannie Mae 2023 Form 10-K | 203 |
Certain Relationships and Related Transactions, and Director Independence | Policies and Procedures Relating to Transactions with Related Persons |
Fannie Mae 2023 Form 10-K | 204 |
Certain Relationships and Related Transactions, and Director Independence | Transactions with Related Persons |
Fannie Mae 2023 Form 10-K | 205 |
Certain Relationships and Related Transactions, and Director Independence | Director Independence |
Fannie Mae 2023 Form 10-K | 206 |
For the Year Ended December 31, | ||||
2023 | 2022 | |||
Description of fees: | ||||
Audit fees | $39,099,000 | $38,932,500 | ||
Audit-related fees(1) | 314,800 | 315,000 | ||
Tax fees(2) | 20,000 | — | ||
All other fees(3) | 394,000 | 219,000 | ||
Total fees | $39,827,800 | $39,466,500 |
Principal Accounting Fees and Services |
Fannie Mae 2023 Form 10-K | 207 |
Item | Description | |
3.1 | ||
3.2 | ||
4.1 | ||
4.2 | ||
4.3 | ||
4.4 | ||
4.5 | ||
4.6 | ||
4.7 | ||
4.8 | ||
4.9 | ||
4.10 | ||
4.11 | ||
4.12 | ||
4.13 | ||
4.14 | ||
4.15 | ||
4.16 | ||
4.17 | ||
4.18 |
Exhibits, Financial Statement Schedules |
Fannie Mae 2023 Form 10-K | 208 |
4.19 | ||
4.20 | ||
4.21 | ||
4.22 | ||
4.23 | ||
4.24 | ||
4.25 | ||
4.26 | ||
4.27 | ||
4.28 | ||
10.1 | ||
10.2 | ||
10.3 | ||
10.4 | ||
10.5 | ||
10.6 | ||
10.7 | ||
10.8 | ||
10.9 | ||
10.10 | ||
10.11 | ||
10.12 |
Exhibits, Financial Statement Schedules |
Fannie Mae 2023 Form 10-K | 209 |
10.13 | ||
10.14 | ||
10.15 | ||
10.16 | ||
10.17 | ||
10.18 | ||
10.19 | ||
10.20 | ||
10.21 | ||
10.22 | ||
10.23 | ||
31.1 | ||
31.2 | ||
32.1 | ||
32.2 | ||
99.1 | ||
101. INS | Inline XBRL Instance Document* - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document | |
101. SCH | Inline XBRL Taxonomy Extension Schema* | |
101. CAL | Inline XBRL Taxonomy Extension Calculation* | |
101. DEF | Inline XBRL Taxonomy Extension Definition* | |
101. LAB | Inline XBRL Taxonomy Extension Label* | |
101. PRE | Inline XBRL Taxonomy Extension Presentation* | |
104 | Cover Page Interactive Data File (embedded within the Inline XBRL document) |
Exhibits, Financial Statement Schedules |
Fannie Mae 2023 Form 10-K | 210 |
Federal National Mortgage Association | ||
/s/ Priscilla Almodovar | ||
Priscilla Almodovar Chief Executive Officer |
Signature | Title | Date | ||
/s/ Michael J. Heid | Chair of the Board of Directors | February 15, 2024 | ||
Michael J. Heid | ||||
/s/ Priscilla Almodovar | Chief Executive Officer and Director | February 15, 2024 | ||
Priscilla Almodovar | ||||
/s/ Chryssa C. Halley | Executive Vice President and Chief Financial Officer | February 15, 2024 | ||
Chryssa C. Halley | ||||
/s/ James L. Holmberg | Senior Vice President and Controller | February 15, 2024 | ||
James L. Holmberg | ||||
/s/ Amy E. Alving | Director | February 15, 2024 | ||
Amy E. Alving |
Signatures |
Fannie Mae 2023 Form 10-K | 211 |
Signature | Title | Date | ||
/s/ Christopher J. Brummer | Director | February 15, 2024 | ||
Christopher J. Brummer | ||||
/s/ Renée L. Glover | Director | February 15, 2024 | ||
Renée L. Glover | ||||
/s/ Robert H. Herz | Director | February 15, 2024 | ||
Robert H. Herz | ||||
/s/ Simon Johnson | Director | February 15, 2024 | ||
Simon Johnson | ||||
/s/ Karin J. Kimbrough | Director | February 15, 2024 | ||
Karin J. Kimbrough | ||||
/s/ Diane C. Nordin | Director | February 15, 2024 | ||
Diane C. Nordin | ||||
/s/ Chetlur S. Ragavan | Director | February 15, 2024 | ||
Chetlur S. Ragavan | ||||
/s/ Manuel Sánchez Rodríguez | Director | February 15, 2024 | ||
Manuel Sánchez Rodríguez | ||||
/s/ Michael Seelig | Director | February 15, 2024 | ||
Michael Seelig |
Signatures |
Fannie Mae 2023 Form 10-K | 212 |
Index to Consolidated Financial Statements | ||
Page | ||
Report of Independent Registered Public Accounting Firm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Consolidated Balance Sheets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Consolidated Statements of Operations and Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Consolidated Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Consolidated Statements of Changes in Equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Notes to Consolidated Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 1—Summary of Significant Accounting Policies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 2—Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters . . . . . . . . | ||
Note 3—Consolidations and Transfers of Financial Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 4—Mortgage Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 5—Allowance for Loan Losses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 6—Investments in Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 7—Financial Guarantees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 8—Short-Term and Long-Term Debt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 9—Derivative Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 10—Income Taxes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 11—Segment Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 12—Equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 13—Regulatory Capital Requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 14—Concentrations of Credit Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 15—Netting Arrangements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 16—Fair Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | ||
Note 17—Commitments and Contingencies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
Index to Consolidated Financial Statements |
Fannie Mae 2023 Form 10-K | F-1 |
Report of Independent Registered Public Accounting Firm |
Fannie Mae 2023 Form 10-K | F-2 |
Report of Independent Registered Public Accounting Firm |
Fannie Mae 2023 Form 10-K | F-3 |
As of December 31, | |||||||
2023 | 2022 | ||||||
ASSETS | |||||||
Cash and cash equivalents | $ | $ | |||||
Restricted cash and cash equivalents (includes $ trusts) | |||||||
Securities purchased under agreements to resell (includes $ consolidated trusts) | |||||||
Investments in securities, at fair value | |||||||
Mortgage loans: | |||||||
Loans held for sale, at lower of cost or fair value | |||||||
Loans held for investment, at amortized cost: | |||||||
Of Fannie Mae | |||||||
Of consolidated trusts | |||||||
Total loans held for investment (includes $ | |||||||
Allowance for loan losses | ( | ( | |||||
Total loans held for investment, net of allowance | |||||||
Total mortgage loans | |||||||
Advances to lenders | |||||||
Deferred tax assets, net | |||||||
Accrued interest receivable, net (includes $ allowance of $ | |||||||
Other assets | |||||||
Total assets | $ | $ | |||||
LIABILITIES AND EQUITY | |||||||
Liabilities: | |||||||
Accrued interest payable (includes $ | $ | $ | |||||
Debt: | |||||||
Of Fannie Mae (includes $ | |||||||
Of consolidated trusts (includes $ | |||||||
Other liabilities (includes $ | |||||||
Total liabilities | |||||||
Commitments and contingencies (Note 17) | |||||||
Fannie Mae stockholders’ equity: | |||||||
Senior preferred stock (liquidation preference of $ | |||||||
Preferred stock, | |||||||
Common stock, no par value, no maximum authorization— | |||||||
Accumulated deficit | ( | ( | |||||
Accumulated other comprehensive income | |||||||
Treasury stock, at cost, | ( | ( | |||||
Total stockholders’ equity (See Note 2: Senior Preferred Stock Purchase Agreement, Senior Preferred Stock and Warrant for information on the related dividend obligation and liquidation preference) | |||||||
Total liabilities and equity | $ | $ |
Financial Statements | Consolidated Balance Sheets |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-4 |
For the Year Ended December 31, | |||||||||||
2023 | 2022 | 2021 | |||||||||
Interest income: | |||||||||||
Investments in securities | $ | $ | $ | ||||||||
Mortgage loans | |||||||||||
Other | |||||||||||
Total interest income | |||||||||||
Interest expense: | |||||||||||
Short-term debt | ( | ( | ( | ||||||||
Long-term debt | ( | ( | ( | ||||||||
Total interest expense | ( | ( | ( | ||||||||
Net interest income | |||||||||||
Benefit (provision) for credit losses | ( | ||||||||||
Net interest income after benefit (provision) for credit losses | |||||||||||
Investment gains (losses), net | ( | ( | |||||||||
Fair value gains, net | |||||||||||
Fee and other income | |||||||||||
Non-interest income | |||||||||||
Administrative expenses: | |||||||||||
Salaries and employee benefits | ( | ( | ( | ||||||||
Professional services | ( | ( | ( | ||||||||
Other administrative expenses | ( | ( | ( | ||||||||
Total administrative expenses | ( | ( | ( | ||||||||
TCCA fees | ( | ( | ( | ||||||||
Credit enhancement expense | ( | ( | ( | ||||||||
Change in expected credit enhancement recoveries | ( | ( | |||||||||
Other expenses, net | ( | ( | ( | ||||||||
Total expenses | ( | ( | ( | ||||||||
Income before federal income taxes | |||||||||||
Provision for federal income taxes | ( | ( | ( | ||||||||
Net income | |||||||||||
Other comprehensive loss | ( | ( | ( | ||||||||
Total comprehensive income | $ | $ | $ | ||||||||
Net income | $ | $ | $ | ||||||||
Dividends distributed or amounts attributable to senior preferred stock | ( | ( | ( | ||||||||
Net income attributable to common stockholders | $ | $ | $ | ||||||||
Earnings per share: | |||||||||||
Basic | $ | $ | $ | ||||||||
Diluted | |||||||||||
Weighted-average common shares outstanding: | |||||||||||
Basic | |||||||||||
Diluted |
Financial Statements | Consolidated Statements of Operations and Comprehensive Income |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-5 |
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
Cash flows provided by (used in) operating activities: | ||||||
Net income | $ | $ | $ | |||
Reconciliation of net income to net cash provided by (used in) operating activities: | ||||||
Amortization of cost basis adjustments | ( | ( | ( | |||
Net impact of hedged mortgage assets and debt | ( | ( | ||||
Provision (benefit) for credit losses | ( | ( | ||||
Valuation (gains) losses | ( | ( | ||||
Change in expected credit enhancement recoveries | ( | |||||
Deferred income tax expense (benefit) | ( | |||||
Net gains related to the disposition of acquired property and preforeclosure sales, including credit enhancements | ( | ( | ( | |||
Net change in accrued interest receivable | ( | ( | ( | |||
Net change in servicer advances | ( | ( | ||||
Net change in accrued interest payable | ( | |||||
Other, net | ( | |||||
Net change in trading securities | ( | |||||
Net cash provided by (used in) operating activities | ||||||
Cash flows provided by (used in) investing activities: | ||||||
Mortgage loans acquired held for investment: | ||||||
Purchases | ( | ( | ( | |||
Proceeds from sales | ||||||
Proceeds from repayments | ||||||
Advances to lenders | ( | ( | ( | |||
Proceeds from disposition of acquired property and preforeclosure sales | ||||||
Net change in federal funds sold and securities purchased under agreements to resell | ( | |||||
Other, net | ( | ( | ||||
Net cash provided by (used in) investing activities | ||||||
Cash flows provided by (used in) financing activities: | ||||||
Proceeds from issuance of debt of Fannie Mae | ||||||
Payments to redeem debt of Fannie Mae | ( | ( | ( | |||
Proceeds from issuance of debt of consolidated trusts | ||||||
Payments to redeem debt of consolidated trusts | ( | ( | ( | |||
Other, net | ||||||
Net cash provided by (used in) financing activities | ( | ( | ( | |||
Net increase (decrease) in cash, cash equivalents and restricted cash and cash equivalents | ( | ( | ( | |||
Cash, cash equivalents and restricted cash and cash equivalents at beginning of period | ||||||
Cash, cash equivalents and restricted cash and cash equivalents at end of period | $ | $ | $ | |||
Cash paid during the period for: | ||||||
Interest | $ | $ | $ | |||
Income taxes | ||||||
Supplemental information on non-cash activities related to mortgage loans (see Note 4) |
Financial Statements | Consolidated Statements of Cash Flows |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-6 |
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, 2020 | $ | $ | $ | $( | $ | $( | $ | |||||||||||||
Comprehensive income: | ||||||||||||||||||||
Net income | — | — | — | — | — | — | — | — | ||||||||||||
Other comprehensive income, net of tax effect: | ||||||||||||||||||||
Changes in net unrealized losses on available- for-sale securities (net of taxes of $ | — | — | — | — | — | — | — | ( | — | ( | ||||||||||
Reclassification adjustment for gains (losses) included in net income (net of taxes of $ | — | — | — | — | — | — | — | ( | — | ( | ||||||||||
Other (net of taxes of $ | — | — | — | — | — | — | — | ( | — | ( | ||||||||||
Total comprehensive income | ||||||||||||||||||||
Balance as of December 31, 2021 | ( | ( | ||||||||||||||||||
Comprehensive income: | ||||||||||||||||||||
Net income: | — | — | — | — | — | — | — | — | ||||||||||||
Other comprehensive income, net of tax effect: | ||||||||||||||||||||
Changes in net unrealized losses on available- for-sale securities (net of taxes of $ | — | — | — | — | — | — | — | ( | — | ( | ||||||||||
Reclassification adjustment for gains (losses) included in net income (net of taxes of $ | — | — | — | — | — | — | — | — | ||||||||||||
Other (net of taxes of $ | — | — | — | — | — | — | — | — | ||||||||||||
Total comprehensive income | ||||||||||||||||||||
Balance as of December 31, 2022 | ( | ( | ||||||||||||||||||
Comprehensive income: | ||||||||||||||||||||
Net income | — | — | — | — | — | — | — | — | ||||||||||||
Other comprehensive income, net of tax effect: | ||||||||||||||||||||
Changes in net unrealized losses on available- for-sale securities (net of taxes of $ | — | — | — | — | — | — | — | ( | — | ( | ||||||||||
Reclassification adjustment for gains (losses) included in net income (net of taxes of $ | — | — | — | — | — | — | — | — | ||||||||||||
Other (net of taxes of $ | — | — | — | — | — | — | — | ( | — | ( | ||||||||||
Total comprehensive income | ||||||||||||||||||||
Balance as of December 31, 2023 | $ | $ | $ | $( | $ | $( | $ |
Financial Statements | Consolidated Statements of Changes in Equity |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-7 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-8 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-9 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-10 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-11 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-12 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-13 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-14 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-15 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-16 |
Notes to Consolidated Financial Statements | Summary of Significant Accounting Policies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-17 |
Treasury Funding Commitment | •On a quarterly basis, we may draw funds from Treasury to cover the amount that our total liabilities exceed our total assets for the applicable fiscal quarter (referred to as the “deficiency amount”), up to the amount of remaining funding commitment under the agreement. •As of the date of this filing: ◦$ ◦$ reduced by any future payments by Treasury under the commitment. |
Termination Provisions for Funding Commitment | •Treasury’s funding commitment has no specified end date, but will terminate upon: ◦our liquidation and the fulfillment of Treasury’s obligations under its funding commitment; ◦the payment in full of, or reasonable provision for, our liabilities (whether or not contingent, including guaranty obligations); or ◦Treasury funding the maximum amount under the agreement. •Treasury also may terminate its funding commitment and void the agreement if a court vacates, modifies, amends, conditions, enjoins, stays or otherwise affects the appointment of the conservator or curtails the conservator’s powers. |
Notes to Consolidated Financial Statements | Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-18 |
Rights of Debt and MBS Holders | •Holders of our debt securities or our guaranteed MBS may file a claim in the United States Court of Federal Claims for relief if we default on our payment obligations on those securities and: ◦we and the conservator fail to exercise all rights under the agreement to draw on Treasury’s funding commitment, or ◦Treasury fails to perform its obligations under its funding commitment and we and/or the conservator are not diligently pursuing remedies for Treasury’s failure. •Holders may seek to require Treasury to fund us up to: ◦the amount necessary to cure the relevant payment defaults; ◦the deficiency amount; or ◦the amount of remaining funding under the agreement, whichever is the least. Any Treasury funding provided under these circumstances would increase the liquidation preference of the senior preferred stock. •The terms of the agreement generally may be amended or waived; however, no such amendment or waiver may decrease Treasury’s aggregate funding commitment or add conditions to Treasury’s funding commitment that would adversely affect in any material respect the holders of our debt or guaranteed MBS. |
Commitment Fee | •The agreement provides for the payment of an unspecified quarterly commitment fee to Treasury to compensate it for its ongoing support under the agreement. •Until the capital reserve end date, the periodic commitment fee will not be set, accrue, or be payable. 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 exceeding the capital requirements and buffers set forth in the enterprise regulatory capital framework. •No later than the capital reserve end date, we and Treasury, in consultation with the Chair of the Federal Reserve, will agree on the amount of the periodic commitment fee. |
Dividends and Share Repurchases | •We may not pay dividends or make other distributions on or repurchase our equity securities (other than the senior preferred stock). |
Issuances of Equity Securities | •We may not issue equity securities, except for common stock issued: ◦upon exercise of the warrant; ◦as required by any pre-conservatorship agreements; and ◦following the satisfaction of two conditions: (a) the exercise of the warrant in full, and (b) the resolution of all currently pending significant litigation relating to the conservatorship and the August 2012 amendment to the senior preferred stock purchase agreement. |
Notes to Consolidated Financial Statements | Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-19 |
Termination of Conservatorship | •Neither we nor FHFA may terminate or seek to terminate the conservatorship, other than through a receivership, without the prior consent of Treasury, with one exception that allows FHFA to terminate our conservatorship without the prior consent of Treasury if the following conditions are met: ◦all currently pending significant litigation relating to the conservatorship and the August 2012 amendment to the senior preferred stock purchase agreement has been resolved; and ◦for two or more consecutive quarters, our common equity tier 1 capital (as defined in the enterprise regulatory capital framework), together with any stockholder equity that would result from a firm commitment public underwritten offering of common stock which is fully consummated concurrent with the termination of conservatorship, equals or exceeds at least 3% of our adjusted total assets (as defined in the enterprise regulatory capital framework). As of December 31, 2023, 3% of our adjusted total assets was $ and we had a common equity tier 1 capital deficit of $ |
Asset Dispositions | •We may not sell, transfer, lease or otherwise dispose of any assets, except for dispositions for fair market value in limited circumstances, including if: ◦the transaction is in the ordinary course of business and consistent with past practice; or ◦the assets have a fair market value individually or in the aggregate of less than $ |
Subordinated Debt | •We may not issue any subordinated debt securities. |
Mortgage Assets Limit | •We may not hold mortgage assets in excess of $ managing our business to a $ instructions. |
Indebtedness | •We may not have indebtedness in excess of $ |
Executive Compensation | •We may not enter into any new compensation arrangements or increase amounts or benefits payable under existing compensation arrangements with any of our executive officers (as defined by Securities and Exchange Commission (“SEC”) rules) without the consent of the Director of FHFA, in consultation with the Secretary of the Treasury. |
Equitable Access and Offers for Single-Family Mortgage Loans | •We may not vary our pricing or acquisition terms for single-family loans based on the business characteristics of the seller, including the seller’s size, charter type, or volume of business with us. •We must offer to purchase at all times, for equivalent cash consideration and on substantially the same terms, any single-family mortgage loan that: ◦is of a class of loans that we then offer to acquire for inclusion in our MBS or for other non- cash consideration; ◦is offered by a seller that has been approved to do business with us; and ◦has been originated and sold in compliance with our underwriting standards. |
Notes to Consolidated Financial Statements | Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-20 |
Single-Family Loan Eligibility Program | •We must maintain a program reasonably designed to ensure that the single-family loans we acquire are limited to: ◦qualified mortgages; ◦government-backed loans; ◦loans exempt from the Consumer Financial Protection Bureau’s (the “CFPB’s”) ability-to- repay and qualified mortgage rule (other than loans secured by timeshares and home equity lines of credit, which, we are not allowed to buy); ◦loans secured by an investment property; ◦refinancing loans with streamlined underwriting originated in accordance with our eligibility criteria for high LTV ratio refinancings; ◦loans originated with temporary underwriting flexibilities during times of exigent circumstances, as determined in consultation with FHFA; ◦loans secured by manufactured housing; and ◦such other loans that FHFA may designate that were eligible for purchase by us as of January 2021. |
Enterprise Regulatory Capital Framework | •We are required to comply with the enterprise regulatory capital framework rule published by FHFA in the Federal Register on December 17, 2020, disregarding any subsequent amendments or modifications to the rule. •FHFA has subsequently amended the enterprise regulatory capital framework and instructed us to comply with the framework as amended. Accordingly, we are not in compliance with this covenant. See “Note 13, Regulatory Capital Requirements” for additional information. •While our compliance with the covenants in the senior preferred stock purchase agreement is not a condition of Treasury’s funding commitment under that agreement, FHFA, as our conservator and regulator, has the authority to direct compliance or impose consequences for any non-compliance with that agreement. |
Risk Management Plan | •While in conservatorship, we must provide an annual risk management plan to Treasury. |
Notes to Consolidated Financial Statements | Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-21 |
Notes to Consolidated Financial Statements | Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-22 |
Notes to Consolidated Financial Statements | Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-23 |
Notes to Consolidated Financial Statements | Consolidations and Transfers of Financial Assets |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-24 |
As of December 31, | |||||||
2023 | 2022 | ||||||
(Dollars in millions) | |||||||
Assets and liabilities recorded in our consolidated balance sheets related to unconsolidated mortgage-backed trusts: | |||||||
Investments in securities, at fair value | $ | $ | |||||
Other assets | |||||||
Other liabilities | ( | ( | |||||
Net carrying amount | $ | $ |
Notes to Consolidated Financial Statements | Consolidations and Transfers of Financial Assets |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-25 |
As of December 31, | ||||
2023 | 2022 | |||
(Dollars in millions) | ||||
Single-family | $ | $ | ||
Multifamily | ||||
Total unpaid principal balance of mortgage loans | ||||
Cost basis and fair value adjustments, net | ||||
Allowance for loan losses for HFI loans | ( | ( | ||
Total mortgage loans(1) | $ | $ |
Notes to Consolidated Financial Statements | Consolidations and Transfers of Financial Assets |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-26 |
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
(Dollars in millions) | ||||||
Purchase of HFI loans: | ||||||
Single-family unpaid principal balance | $ | $ | $ | |||
Multifamily unpaid principal balance | ||||||
Single family loans redesignated from HFI to HFS: | ||||||
Amortized cost | $ | $ | $ | |||
Lower of cost or fair value adjustment at time of redesignation(1) | ( | ( | ( | |||
Allowance reversed at time of redesignation | ||||||
Single family loans redesignated from HFS to HFI: | ||||||
Amortized cost | $ | $ | $ | |||
Single-family loans sold: | ||||||
Unpaid principal balance | $ | $ | $ | |||
Realized gains, net |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-27 |
As of December 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 | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||
15-year or less, amortizing fixed-rate | ||||||||||||||||
Adjustable-rate | ||||||||||||||||
Other(2) | ||||||||||||||||
Total single-family | ||||||||||||||||
Multifamily(3) | N/A | |||||||||||||||
Total | $ | $ | $ | $ | $ | $ | $ | $ |
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 | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||
15-year or less, amortizing fixed-rate | ||||||||||||||||
Adjustable-rate | ||||||||||||||||
Other(2) | ||||||||||||||||
Total single-family | ||||||||||||||||
Multifamily(3) | N/A | |||||||||||||||
Total | $ | $ | $ | $ | $ | $ | $ | $ |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-28 |
Credit Quality Indicators as of December 31, 2023 and Write-offs for the year ended December 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% | $ | $ | $ | $ | $ | $ | $ | |||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | ||||||||||||||
Current-year 20- and 30-year or more, amortizing fixed-rate write-offs | $ | $ | $ | $ | $ | $ | $ | |||||||
15-year or less, amortizing fixed-rate: | ||||||||||||||
Less than or equal to 80% | ||||||||||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total 15-year or less, amortizing fixed-rate | ||||||||||||||
Current-year 15-year or less, amortizing fixed-rate write-offs | ||||||||||||||
Adjustable-rate: | ||||||||||||||
Less than or equal to 80% | ||||||||||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total adjustable-rate | ||||||||||||||
Current-year adjustable-rate write-offs | ||||||||||||||
Other: | ||||||||||||||
Less than or equal to 80% | ||||||||||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total other | ||||||||||||||
Current-year other write-offs | ||||||||||||||
Total for all classes by LTV ratio:(2) | ||||||||||||||
Less than or equal to 80% | $ | $ | $ | $ | $ | $ | $ | |||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total | $ | $ | $ | $ | $ | $ | $ | |||||||
Total current-year write-offs | $ | $ | $ | $ | $ | $ | $ |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-29 |
Credit Quality Indicators 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% | $ | $ | $ | $ | $ | $ | $ | |||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total 20- and 30-year or more, amortizing fixed-rate | ||||||||||||||
15-year or less, amortizing fixed-rate: | ||||||||||||||
Less than or equal to 80% | ||||||||||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total 15-year or less, amortizing fixed-rate | ||||||||||||||
Adjustable-rate: | ||||||||||||||
Less than or equal to 80% | ||||||||||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total adjustable-rate | ||||||||||||||
Other: | ||||||||||||||
Less than or equal to 80% | ||||||||||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total other | ||||||||||||||
Total | $ | $ | $ | $ | $ | $ | $ | |||||||
Total for all classes by LTV ratio:(2) | ||||||||||||||
Less than or equal to 80% | $ | $ | $ | $ | $ | $ | $ | |||||||
Greater than 80% and less than or equal to 90% | ||||||||||||||
Greater than 90% and less than or equal to 100% | ||||||||||||||
Greater than 100% | ||||||||||||||
Total | $ | $ | $ | $ | $ | $ | $ |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-30 |
Credit Quality Indicators as of December 31, 2023 and Write-offs for the year ended December 31, 2023, by Year of Origination(1) | ||||||||||||||
2023 | 2022 | 2021 | 2020 | 2019 | Prior | Total | ||||||||
(Dollars in millions) | ||||||||||||||
Internally assigned credit risk rating: | ||||||||||||||
Pass(2) | $ | $ | $ | $ | $ | $ | $ | |||||||
Special mention(3) | ||||||||||||||
Substandard(4) | ||||||||||||||
Doubtful(5) | ||||||||||||||
Total | $ | $ | $ | $ | $ | $ | $ | |||||||
Current-year write-offs | $ | $ | $ | $ | $ | $ | $ |
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) | $ | $ | $ | $ | $ | $ | $ | |||||||
Special mention(3) | ||||||||||||||
Substandard(4) | ||||||||||||||
Doubtful(5) | ||||||||||||||
Total | $ | $ | $ | $ | $ | $ | $ |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-31 |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-32 |
For the Year Ended December 31, 2023 | ||||||||||||||
Payment Delay (Only) | ||||||||||||||
Forbearance Plan | Payment Deferral | Trial Modification and Repayment Plans | Payment Delay and Term Extension(1) | Payment Delay, Term Extension, Interest Rate Reduction, and Other(1) | Total | Percentage of Total by Financing Class(2) | ||||||||
(Dollars in millions) | ||||||||||||||
Single-family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $ | $ | $ | $ | $ | $ | ||||||||
15-year or less, amortizing fixed- rate | * | |||||||||||||
Adjustable-rate | ||||||||||||||
Other | ||||||||||||||
Total single-family | ||||||||||||||
Multifamily | * | |||||||||||||
Total(3) | $ | $ | $ | $ | $ | $ |
For the Year Ended December 31, 2022 | ||||||||||||||
Payment Delay (Only) | ||||||||||||||
Forbearance Plan | Payment Deferral | Trial Modification and Repayment Plans | Payment Delay and Term Extension(1) | Payment Delay, Term Extension and Interest Rate Reduction(1) | Total | Percentage of Total by Financing Class(2) | ||||||||
(Dollars in millions) | ||||||||||||||
Single-family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $ | $ | $ | $ | $ | $ | ||||||||
15-year or less, amortizing fixed-rate | * | |||||||||||||
Adjustable-rate | ||||||||||||||
Other | ||||||||||||||
Total single-family | ||||||||||||||
Multifamily | * | |||||||||||||
Total(3) | $ | $ | $ | $ | $ | $ |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-33 |
For the Year Ended December 31, | ||||||||||||
2023 | 2022 | |||||||||||
Weighted- Average Interest Rate Reduction | Weighted- Average Term Extension (in Months) | Average Amount Capitalized as a Result of a Payment Delay(1) | 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 | $ | $ | ||||||||||
15-year or less, amortizing fixed-rate | ||||||||||||
Adjustable-rate | ||||||||||||
Other |
For the Year Ended December 31, 2023 | |||||||||
Payment Delay as a Result of a Payment Deferral (Only) | Payment Delay and Term Extension | Payment Delay, Term Extension, Interest Rate Reduction, and Other | Total | ||||||
(Dollars in millions) | |||||||||
Single-family: | |||||||||
20- and 30-year or more, amortizing fixed-rate | $ | $ | $ | $ | |||||
15-year or less, amortizing fixed-rate | |||||||||
Adjustable-rate | |||||||||
Other | |||||||||
Total single-family | |||||||||
Multifamily | |||||||||
Total loans that subsequently defaulted(1) | $ | $ | $ | $ |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-34 |
For the Year Ended December 31, 2022 | |||||||||
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 | $ | $ | $ | $ | |||||
15-year or less, amortizing fixed-rate | |||||||||
Adjustable-rate | |||||||||
Other | |||||||||
Total single-family | |||||||||
Multifamily | |||||||||
Total loans that subsequently defaulted(1) | $ | $ | $ | $ |
As of December 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 | $ | $ | $ | $ | $ | $ | ||||||
15-year or less, amortizing fixed-rate | ||||||||||||
Adjustable-rate | ||||||||||||
Other | ||||||||||||
Total single-family loans modified | ||||||||||||
Multifamily | N/A | |||||||||||
Total loans restructured(3) | $ | $ | $ | $ | $ | $ |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-35 |
As of December 31, 2022(1) | ||||||||||||
30-59 Days Delinquent | 60-89 Days Delinquent(2) | Seriously Delinquent | Total Delinquent | Current | Total | |||||||
(Dollars in millions) | ||||||||||||
Single-family: | ||||||||||||
20- and 30-year or more, amortizing fixed-rate | $ | $ | $ | $ | $ | $ | ||||||
15-year or less, amortizing fixed-rate | ||||||||||||
Adjustable-rate | ||||||||||||
Other | ||||||||||||
Total single-family loans modified | ||||||||||||
Multifamily | N/A | |||||||||||
Total loans restructured(3) | $ | $ | $ | $ | $ | $ |
For the Year Ended December 31, 2021 | ||||
Number of Loans | Amortized Cost | |||
(Dollars in millions) | ||||
Single-family: | ||||
20- and 30-year or more, amortizing fixed rate | $ | |||
15-year or less, amortizing fixed rate | ||||
Adjustable-rate | ||||
Other | ||||
Total single-family | ||||
Multifamily | ||||
Total TDRs | $ |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-36 |
For the Year Ended December 31, 2021 | ||||
Number of Loans | Amortized Cost | |||
(Dollars in millions) | ||||
Single-family: | ||||
20- and 30-year or more, amortizing fixed rate | $ | |||
15-year or less, amortizing fixed rate | ||||
Adjustable-rate | ||||
Other | ||||
Total single-family | ||||
Multifamily | ||||
Total TDRs that subsequently defaulted | $ |
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
(Dollars in millions) | ||||||
Accrued interest receivable written off through the reversal of interest income: | ||||||
Single-family | $ | $ | $ | |||
Multifamily |
As of December 31, | For the Year Ended December 31, | |||||||||||||
2023 | 2022 | 2021 | 2020 | 2023 | 2022 | 2021 | ||||||||
Amortized Cost(1) | Total Interest Income Recognized(2) | |||||||||||||
(Dollars in millions) | ||||||||||||||
Single-family: | ||||||||||||||
20- and 30-year or more, amortizing fixed-rate | $ | $ | $ | $ | $ | $ | $ | |||||||
15-year or less, amortizing fixed- rate | ||||||||||||||
Adjustable-rate | ||||||||||||||
Other | ||||||||||||||
Total single-family | ||||||||||||||
Multifamily | ||||||||||||||
Total nonaccrual loans | $ | $ | $ | $ | $ | $ | $ |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-37 |
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
(Dollars in millions) | ||||||
Non-cash activities related to mortgage loans: | ||||||
Mortgage loans acquired by assuming debt | $ | $ | $ | |||
Net transfers from mortgage loans of Fannie Mae to mortgage loans of consolidated trusts | ||||||
Mortgage loans received by consolidated trusts to satisfy advances to lenders | ||||||
Transfers from mortgage loans to acquired property |
Notes to Consolidated Financial Statements | Mortgage Loans |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-38 |
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
(Dollars in millions) | ||||||
Single-family allowance for loan losses: | ||||||
Beginning balance | $( | $( | $( | |||
Benefit (provision) for loan losses | ( | |||||
Write-offs | ||||||
Recoveries | ( | ( | ( | |||
Other | ( | ( | ||||
Ending balance | $( | $( | $( | |||
Multifamily allowance for loan losses: | ||||||
Beginning balance | $( | $( | $( | |||
Benefit (provision) for loan losses | ( | ( | ||||
Write-offs | ||||||
Recoveries | ( | ( | ( | |||
Ending balance | $( | $( | $( | |||
Total allowance for loan losses: | ||||||
Beginning balance | $( | $( | $( | |||
Benefit (provision) for loan losses | ( | |||||
Write-offs | ||||||
Recoveries | ( | ( | ( | |||
Other | ( | ( | ||||
Ending balance | $( | $( | $( |
Notes to Consolidated Financial Statements | Allowance for Loan Losses |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-39 |
Notes to Consolidated Financial Statements | Allowance for Loan Losses |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-40 |
As of December 31, | ||||
2023 | 2022 | |||
(Dollars in millions) | ||||
Mortgage-related securities (includes $ consolidated trusts) | $ | $ | ||
Non-mortgage-related securities (includes $ collateral)(1) | ||||
Total trading securities | $ | $ |
For the Year Ended December 31, | |||||||||||
2023 | 2022 | 2021 | |||||||||
(Dollars in millions) | |||||||||||
Net trading gains (losses) | $ | $( | $( | ||||||||
Net trading gains (losses) recognized in the period related to securities still held at period end | ( | ( |
As of December 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 | $ | $ | $ | $( | $ | |||||||||||||||
Other mortgage-related securities | ( | |||||||||||||||||||
Total | $ | $( | $ | $( | $ |
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 | $ | $ | $ | $( | $ | |||||||||||||||
Other mortgage-related securities | ( | ( | ||||||||||||||||||
Total | $ | $( | $ | $( | $ |
Notes to Consolidated Financial Statements | Investments in Securities |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-41 |
As of December 31, | |||||||||||||||||||||||
2023 | 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 | $( | $ | $( | $ | $( | $ | $( | $ | |||||||||||||||
Other mortgage-related securities | ( | ||||||||||||||||||||||
Total | $( | $ | $( | $ | $( | $ | $( | $ |
Notes to Consolidated Financial Statements | Investments in Securities |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-42 |
As of December 31, | ||||||||||||||||||
2023 | 2022 | |||||||||||||||||
Maximum Exposure | Guaranty Obligation | Maximum Recovery(1) | Maximum Exposure | Guaranty Obligation | Maximum Recovery(1) | |||||||||||||
(Dollars in millions) | ||||||||||||||||||
Unconsolidated Fannie Mae MBS | $ | $ | $ | $ | $ | $ | ||||||||||||
Other guaranty arrangements(2) | ||||||||||||||||||
Total | $ | $ | $ | $ | $ | $ |
As of December 31, | ||||||||
2023 | 2022 | |||||||
Outstanding | Weighted- Average Interest Rate(1) | Outstanding | Weighted- Average Interest Rate(1) | |||||
(Dollars in millions) | ||||||||
Short-term debt of Fannie Mae | $ | $ |
Notes to Consolidated Financial Statements | Financial Guarantees |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-43 |
As of December 31, | ||||||||||||
2023 | 2022 | |||||||||||
Maturities | Outstanding(1) | Weighted- Average Interest Rate(2) | Maturities | Outstanding(1) | Weighted- Average Interest Rate(2) | |||||||
(Dollars in millions) | ||||||||||||
Senior fixed: | ||||||||||||
Benchmark notes and bonds | 2024 - 2030 | $ | 2023 - 2030 | $ | ||||||||
Medium-term notes(3) | 2024 - 2031 | 2023 - 2031 | ||||||||||
Other(4) | 2024 - 2038 | 2023 - 2038 | ||||||||||
Total senior fixed | ||||||||||||
Senior floating: | ||||||||||||
Connecticut Avenue Securities(5) | 2024 - 2031 | 2023 - 2031 | ||||||||||
Other(6) | 2037 | 2037 | ||||||||||
Total senior floating | ||||||||||||
Total long-term debt of Fannie Mae(7) | ||||||||||||
Debt of consolidated trusts | 2024 - 2062 | 2023 - 2062 | ||||||||||
Total long-term debt | $ | $ |
Notes to Consolidated Financial Statements | Short-Term and Long-Term Debt |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-44 |
Long-Term Debt by Year of Maturity | Assuming Callable Debt Redeemed at Next Available Call Date | |||||||
(Dollars in millions) | ||||||||
2024 | $ | $ | ||||||
2025 | ||||||||
2026 | ||||||||
2027 | ||||||||
2028 | ||||||||
Thereafter | ||||||||
Total long-term debt of Fannie Mae(1) | ||||||||
Debt of consolidated trusts(2) | ||||||||
Total long-term debt | $ | $ |
Notes to Consolidated Financial Statements | Short-Term and Long-Term Debt |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-45 |
Notes to Consolidated Financial Statements | Derivative Instruments |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-46 |
As of December 31, | |||||||||||||||
2023 | 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 | $ | $ | $ | $ | $ | $ | |||||||||
Receive-fixed | |||||||||||||||
Total risk management derivatives designated as hedging instruments | |||||||||||||||
Risk management derivatives not designated as hedging instruments: | |||||||||||||||
Swaps:(1) | |||||||||||||||
Pay-fixed | |||||||||||||||
Receive-fixed | ( | ( | |||||||||||||
Basis | |||||||||||||||
Foreign currency | ( | ( | |||||||||||||
Swaptions:(1) | |||||||||||||||
Pay-fixed | ( | ( | |||||||||||||
Receive-fixed | ( | ( | |||||||||||||
Futures(1) | |||||||||||||||
Total risk management derivatives not designated as hedging instruments | ( | ( | |||||||||||||
Netting adjustment(2) | — | ( | — | ( | |||||||||||
Total risk management derivatives portfolio | ( | ( | |||||||||||||
Mortgage commitment derivatives: | |||||||||||||||
Mortgage commitments to purchase whole loans | ( | ||||||||||||||
Forward contracts to purchase mortgage- related securities | ( | ( | |||||||||||||
Forward contracts to sell mortgage-related securities | ( | ( | |||||||||||||
Total mortgage commitment derivatives | ( | ( | |||||||||||||
Credit enhancement derivatives | ( | ( | |||||||||||||
Derivatives at fair value | $ | $ | $( | $ | $ | $( |
Notes to Consolidated Financial Statements | Derivative Instruments |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-47 |
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
(Dollars in millions) | ||||||
Risk management derivatives: | ||||||
Swaps: | ||||||
Pay-fixed | $( | $ | $ | |||
Receive-fixed | ( | ( | ||||
Basis | ( | ( | ||||
Foreign currency | ( | ( | ||||
Swaptions: | ||||||
Pay-fixed | ( | |||||
Receive-fixed | ( | ( | ( | |||
Futures | ( | |||||
Net contractual interest income (expense) on interest-rate swaps | ( | ( | ||||
Total risk management derivatives fair value gains, net | ||||||
Mortgage commitment derivatives fair value gains, net | ||||||
Credit enhancement derivatives fair value gains (losses), net | ( | ( | ||||
$ | $ | $ |
For the Year Ended December 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 consolidated statements of operations and comprehensive income | $ | $( | $ | $( | ||||
Gains (losses) from fair value hedging relationships: | ||||||||
Mortgage loans HFI and related interest-rate contracts: | ||||||||
Hedged items | $ | $— | $( | $— | ||||
Discontinued hedge-related basis adjustment amortization | — | — | ||||||
Derivatives designated as hedging instruments | ( | — | — | |||||
Interest accruals on derivative hedging instruments | — | — | ||||||
Debt of Fannie Mae and related interest-rate contracts: | ||||||||
Hedged items | — | ( | — | |||||
Discontinued hedge-related basis adjustment amortization | — | ( | — | ( | ||||
Derivatives designated as hedging instruments | — | — | ( | |||||
Interest accruals on derivative hedging instruments | — | ( | — | ( | ||||
Gains (losses) recognized in net interest income on fair value hedging relationships | $ | $( | $ | $( |
Notes to Consolidated Financial Statements | Derivative Instruments |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-48 |
As of December 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 | $ | $( | $( | $ | $ | |||||
Debt of Fannie Mae | ( | 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 | $ | $( | $( | $ | $ | |||||
Debt of Fannie Mae | ( | N/A | N/A |
Notes to Consolidated Financial Statements | Derivative Instruments |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-49 |
For the Year Ended December 31, | ||||||
2023 | 2022 | 2021 | ||||
(Dollars in millions) | ||||||
Current income tax benefit (provision) | $( | $( | $( | |||
Deferred income tax benefit (provision)(1) | ( | ( | ||||
Provision for federal income taxes | $( | $( | $( |
For the Year Ended December 31, | ||||||||||||
2023 | 2022 | 2021 | ||||||||||
Statutory corporate tax rate | % | % | % | |||||||||
Research tax credits | ( | ( | ||||||||||
Equity investments in affordable housing projects | ( | ( | ( | |||||||||
Valuation allowance | ||||||||||||
Other | ( | |||||||||||
Effective tax rate | % | % | % |
Notes to Consolidated Financial Statements | Income Taxes |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-50 |
As of December 31, | |||||||
2023 | 2022 | ||||||
(Dollars in millions) | |||||||
Deferred tax assets: | |||||||
Mortgage and mortgage-related assets | $ | $ | |||||
Allowance for loan losses and basis in acquired property, net | |||||||
Derivative instruments | |||||||
Partnership and other equity investments | |||||||
Interest-only securities | |||||||
Other, net | |||||||
Total deferred tax assets | |||||||
Deferred tax liabilities: | |||||||
Debt instruments | |||||||
Valuation allowance | ( | ( | |||||
Deferred tax assets, net | $ | $ |
For the Year Ended December 31, | |||||||||||
2023 | 2022 | 2021 | |||||||||
(Dollars in millions) | |||||||||||
Unrecognized tax benefits as of January 1 | $ | $ | $ | ||||||||
Gross increases - tax positions in current year | |||||||||||
Unrecognized tax benefits as of December 31 | $ | $ | $ |
Notes to Consolidated Financial Statements | Income Taxes |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-51 |
As of December 31, | ||||
2023 | 2022 | |||
(Dollars in millions) | ||||
Single-Family | $ | $ | ||
Multifamily | ||||
Total assets | $ | $ |
For the Year Ended December 31, 2023 | ||||||||
Single-Family | Multifamily | Total | ||||||
(Dollars in millions) | ||||||||
Net interest income(1) | $ | $ | $ | |||||
Fee and other income(2) | ||||||||
Net revenues | ||||||||
Investment losses, net(3) | ( | ( | ( | |||||
Fair value gains, net(4) | ||||||||
Administrative expenses | ( | ( | ( | |||||
Benefit (provision) for credit losses(5) | ( | |||||||
TCCA fees(6) | ( | ( | ||||||
Credit enhancement expense(7) | ( | ( | ( | |||||
Change in expected credit enhancement recoveries(8) | ( | ( | ||||||
Other expenses, net | ( | ( | ( | |||||
Income before federal income taxes | ||||||||
Provision for federal income taxes | ( | ( | ( | |||||
Net income | $ | $ | $ |
Notes to Consolidated Financial Statements | Segment Reporting |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-52 |
For the Year Ended December 31, 2022 | ||||||||
Single-Family | Multifamily | Total | ||||||
(Dollars in millions) | ||||||||
Net interest income(1) | $ | $ | $ | |||||
Fee and other income(2) | ||||||||
Net revenues | ||||||||
Investment losses, net(3) | ( | ( | ( | |||||
Fair value gains (losses), net(4) | ( | |||||||
Administrative expenses | ( | ( | ( | |||||
Provision for credit losses(5) | ( | ( | ( | |||||
TCCA fees(6) | ( | ( | ||||||
Credit enhancement expense(7) | ( | ( | ( | |||||
Change in expected credit enhancement recoveries(8) | ||||||||
Other expenses, net | ( | ( | ( | |||||
Income before federal income taxes | ||||||||
Provision for federal income taxes | ( | ( | ( | |||||
Net income | $ | $ | $ | |||||
For the Year Ended December 31, 2021 | ||||||||
Single-Family | Multifamily | Total | ||||||
(Dollars in millions) | ||||||||
Net interest income(1) | $ | $ | $ | |||||
Fee and other income(2) | ||||||||
Net revenues | ||||||||
Investment gains (losses), net(3) | ( | |||||||
Fair value gains (losses), net(4) | ( | |||||||
Administrative expenses | ( | ( | ( | |||||
Benefit for credit losses(5) | ||||||||
TCCA fees(6) | ( | ( | ||||||
Credit enhancement expense(7) | ( | ( | ( | |||||
Change in expected credit enhancement recoveries(8) | ( | ( | ( | |||||
Other expenses, net | ( | ( | ( | |||||
Income before federal income taxes | ||||||||
Provision for federal income taxes | ( | ( | ( | |||||
Net income | $ | $ | $ |
Notes to Consolidated Financial Statements | Segment Reporting |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-53 |
Notes to Consolidated Financial Statements | Segment Reporting |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-54 |
Notes to Consolidated Financial Statements | Equity |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-55 |
Authorized, Issued and Outstanding as of December 31, | Annual Dividend Rate as of December 31, 2023 | |||||||||||||||||
2023 | 2022 | Stated Value per Share | ||||||||||||||||
Title | Issue Date | Shares | Amount | Shares | Amount | Redeemable on or After | ||||||||||||
(Dollars and shares in millions, except per share amounts) | ||||||||||||||||||
Series D | September 30, 1998 | $ | $ | $ | September 30, 1999 | |||||||||||||
Series E | April 15, 1999 | April 15, 2004 | ||||||||||||||||
Series F | March 20, 2000 | (1) | March 31, 2002 | (2) | ||||||||||||||
Series G | August 8, 2000 | (3) | September 30, 2002 | (2) | ||||||||||||||
Series H | April 6, 2001 | April 6, 2006 | ||||||||||||||||
Series I | October 28, 2002 | October 28, 2007 | ||||||||||||||||
Series L | April 29, 2003 | April 29, 2008 | ||||||||||||||||
Series M | June 10, 2003 | June 10, 2008 | ||||||||||||||||
Series N | September 25, 2003 | September 25, 2008 | ||||||||||||||||
Series O | December 30, 2004 | (4) | December 31, 2007 | |||||||||||||||
Convertible Series 2004-I(5) | December 30, 2004 | — | — | January 5, 2008 | ||||||||||||||
Series P | September 28, 2007 | (6) | September 30, 2012 | |||||||||||||||
Series Q | October 4, 2007 | September 30, 2010 | ||||||||||||||||
Series R(7) | November 21, 2007 | November 21, 2012 | ||||||||||||||||
Series S | December 11, 2007 | (8) | December 31, 2010 | (9) | ||||||||||||||
Series T(10) | May 19, 2008 | May 20, 2013 | ||||||||||||||||
Total | $ | $ |
Notes to Consolidated Financial Statements | Equity |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-56 |
Notes to Consolidated Financial Statements | Equity |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-57 |
Notes to Consolidated Financial Statements | Equity |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-58 |
Capital Metrics under the Enterprise Regulatory Capital Framework as of December 31, 2023(1) | ||||||||||||
(Dollars in billions) | ||||||||||||
Adjusted total assets | $ | |||||||||||
Risk-weighted assets | ||||||||||||
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) | $( | $ | $ | ( | ||||||||
Common equity tier 1 capital | ( | ( | ||||||||||
Tier 1 capital | ( | ( | ||||||||||
Adjusted total capital | ( | ( | ||||||||||
Leverage capital: | ||||||||||||
Core capital (statutory)(6) | ( | ( | ||||||||||
Tier 1 capital | ( | ( | ||||||||||
Capital Metrics under the Enterprise Regulatory Capital Framework as of December 31, 2022(1) | ||||||||||||
(Dollars in billions) | ||||||||||||
Adjusted total assets | $ | |||||||||||
Risk-weighted assets | ||||||||||||
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) | $( | $ | $ | ( | ||||||||
Common equity tier 1 capital | ( | ( | ||||||||||
Tier 1 capital | ( | ( | ||||||||||
Adjusted total capital | ( | ( | ||||||||||
Leverage capital: | ||||||||||||
Core capital (statutory)(6) | ( | ( | ||||||||||
Tier 1 capital | ( | ( | ||||||||||
Notes to Consolidated Financial Statements | Regulatory Capital Requirements |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-59 |
Notes to Consolidated Financial Statements | Regulatory Capital Requirements |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-60 |
Geographic Concentration(1) | |||||||||||||||
Percentage of Single- Family Conventional Guaranty Book of Business | Percentage of Multifamily Guaranty Book of Business | ||||||||||||||
As of December 31, | As of December 31, | ||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||
Midwest | % | % | % | % | |||||||||||
Northeast | |||||||||||||||
Southeast | |||||||||||||||
Southwest | |||||||||||||||
West | |||||||||||||||
Total | % | % | % | % |
Notes to Consolidated Financial Statements | Concentrations of Credit Risk |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-61 |
As of December 31, | |||||||||||
2023 | 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 | |||||||||||
Percentage of single-family conventional loans based on loan count |
As of December 31, | |||||||
2023 | 2022 | ||||||
Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB | Seriously Delinquent Rate(1) | Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB | Seriously Delinquent Rate(1) | ||||
Estimated mark-to-market LTV ratio: | |||||||
80.01% to 90% | |||||||
90.01% to 100% | |||||||
Greater than 100% | * | * | |||||
Geographical distribution: | |||||||
California | |||||||
Florida | |||||||
Illinois | |||||||
New York | |||||||
Texas | |||||||
All other states | |||||||
Vintages: | |||||||
2008 and prior | |||||||
2009-2023 |
Notes to Consolidated Financial Statements | Concentrations of Credit Risk |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-62 |
As of December 31, | |||||||
2023(1) | 2022(1) | ||||||
30 Days Delinquent | Seriously Delinquent(2) | 30 Days Delinquent | Seriously Delinquent(2) | ||||
Percentage of multifamily guaranty book of business |
As of December 31, | |||||||
2023 | 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% | |||||||
Less than or equal to 80% | |||||||
Current DSCR below 1.0(4) |
As of December 31, | ||||||||
2023 | 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 | $ | $ | ||||||
Pool mortgage insurance | ||||||||
Total mortgage insurance risk in force | $ | $ |
Notes to Consolidated Financial Statements | Concentrations of Credit Risk |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-63 |
Percentage of Risk-in-Force Coverage by Mortgage Insurer | ||||
As of December 31, | ||||
2023 | 2022 | |||
Counterparty:(1) | ||||
Mortgage Guaranty Insurance Corp. | ||||
Radian Guaranty, Inc. | ||||
Arch Capital Group Ltd. | ||||
Enact Mortgage Insurance Corp. | ||||
Essent Guaranty, Inc. | ||||
National Mortgage Insurance Corp. | ||||
Others | ||||
Total |
Notes to Consolidated Financial Statements | Concentrations of Credit Risk |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-64 |
Percentage of Single-Family Conventional Guaranty Book of Business | ||||
As of December 31, | ||||
2023 | 2022 | |||
Top five depository servicers | ||||
Top five non-depository servicers | ||||
Total |
Percentage of Multifamily Guaranty Book of Business | ||||
As of December 31, | ||||
2023 | 2022 | |||
Top five depository servicers | ||||
Top five non-depository servicers | ||||
Total |
Notes to Consolidated Financial Statements | Concentrations of Credit Risk |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-65 |
As of December 31, 2023 | |||||||||||||
Gross Amount Offset(1) | Net Amount Presented in our Consolidated Balance Sheets | Amounts Not Offset in our Consolidated Balance Sheets | |||||||||||
Gross Amount | Financial Instruments(2) | Collateral(3) | Net Amount | ||||||||||
(Dollars in millions) | |||||||||||||
Assets: | |||||||||||||
OTC risk management derivatives | $ | $( | $ | $ | $ | $ | |||||||
Cleared risk management derivatives | |||||||||||||
Mortgage commitment derivatives | ( | ( | |||||||||||
Total derivative assets | ( | (4) | ( | ( | |||||||||
Securities purchased under agreements to resell(5) | ( | ||||||||||||
Total assets | $ | $( | $ | $( | $( | $ |
Liabilities: | |||||||||||||
OTC risk management derivatives | $( | $ | $( | $ | $ | $( | |||||||
Cleared risk management derivatives | ( | ( | |||||||||||
Mortgage commitment derivatives | ( | ( | ( | ||||||||||
Total liabilities | $( | $ | $( | (4) | $ | $ | $( |
As of December 31, 2022 | |||||||||||||
Gross Amount Offset(1) | Net Amount Presented in our Consolidated Balance Sheets | Amounts Not Offset in our Consolidated Balance Sheets | |||||||||||
Gross Amount | Financial Instruments(2) | Collateral(3) | Net Amount | ||||||||||
(Dollars in millions) | |||||||||||||
Assets: | |||||||||||||
OTC risk management derivatives | $ | $( | $ | $ | $ | $ | |||||||
Cleared risk management derivatives | |||||||||||||
Mortgage commitment derivatives | ( | ( | |||||||||||
Total derivative assets | ( | (4) | ( | ( | |||||||||
Securities purchased under agreements to resell(5) | ( | ||||||||||||
Total assets | $ | $( | $ | $( | $( | $ | |||||||
Liabilities: | |||||||||||||
OTC risk management derivatives | $( | $ | $( | $ | $ | $( | |||||||
Cleared risk management derivatives | |||||||||||||
Mortgage commitment derivatives | ( | ( | ( | ||||||||||
Total liabilities | $( | $ | $( | (4) | $ | $ | $( |
Notes to Consolidated Financial Statements | Netting Arrangements |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-66 |
Notes to Consolidated Financial Statements | Netting Arrangements |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-67 |
Fair Value Measurements as of December 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 | |||||||||||||||
Recurring fair value measurements: | (Dollars in millions) | ||||||||||||||||||
Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
Mortgage-related | $ | $ | $ | $— | $ | ||||||||||||||
Non-mortgage-related(2) | — | ||||||||||||||||||
Total trading securities | — | ||||||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Agency(3) | — | ||||||||||||||||||
Other mortgage-related | — | ||||||||||||||||||
Total available-for-sale securities | — | ||||||||||||||||||
Mortgage loans | — | ||||||||||||||||||
( | |||||||||||||||||||
Total assets at fair value | $ | $ | $ | $( | $ | ||||||||||||||
Liabilities: | |||||||||||||||||||
Long-term debt: | |||||||||||||||||||
Of Fannie Mae | $ | $ | $ | $— | $ | ||||||||||||||
Of consolidated trusts | — | ||||||||||||||||||
Total long-term debt | — | ||||||||||||||||||
( | |||||||||||||||||||
Total liabilities at fair value | $ | $ | $ | $( | $ |
Notes to Consolidated Financial Statements | Netting Arrangements |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-68 |
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 | |||||||||||||||
Recurring fair value measurements: | (Dollars in millions) | ||||||||||||||||||
Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
Mortgage-related | $ | $ | $ | $— | $ | ||||||||||||||
Non-mortgage-related(2) | — | ||||||||||||||||||
Total trading securities | — | ||||||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Agency(3) | — | ||||||||||||||||||
Other mortgage-related | — | ||||||||||||||||||
Total available-for-sale securities | — | ||||||||||||||||||
Mortgage loans | — | ||||||||||||||||||
( | |||||||||||||||||||
Total assets at fair value | $ | $ | $ | $( | $ | ||||||||||||||
Liabilities: | |||||||||||||||||||
Long-term debt: | |||||||||||||||||||
Of Fannie Mae | $ | $ | $ | $— | $ | ||||||||||||||
Of consolidated trusts | — | ||||||||||||||||||
Total long-term debt | — | ||||||||||||||||||
( | |||||||||||||||||||
Total liabilities at fair value | $ | $ | $ | $( | $ |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-69 |
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||
For the Year Ended December 31, 2023 | ||||||||||||||||||||||||||
Total Gains (Losses) (Realized/Unrealized) | Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2023(4)(5) | Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of December 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, December 31, 2023 | |||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||||
Mortgage-related | $ | $( | (5)(6) | $ | $ | $ | $ | $( | $( | $ | $ | $( | $— | |||||||||||||
Available-for-sale securities: | ||||||||||||||||||||||||||
Agency | $ | $ | $( | $ | $ | $ | $( | $( | $ | $ | $— | $( | ||||||||||||||
Other mortgage- related | ( | ( | — | |||||||||||||||||||||||
Total available-for- sale securities | $ | $ | (6)(7) | $( | $ | $ | $ | $( | $( | $ | $ | $— | $( | |||||||||||||
Mortgage loans | $ | $ | (5)(6) | $ | $ | $( | $ | $( | $( | $ | $ | $ | $— | |||||||||||||
Net derivatives | ( | (5) | — | |||||||||||||||||||||||
Long-term debt: | ||||||||||||||||||||||||||
Of Fannie Mae | $( | $( | (5) | $ | $ | $ | $ | $ | $ | $ | $( | $( | $— | |||||||||||||
Of consolidated trusts | ( | (5)(6) | ( | ( | — | |||||||||||||||||||||
$( | $( | $ | $ | $ | $ | $ | $ | $( | $( | $( | $— |
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||
For the Year Ended December 31, 2022 | ||||||||||||||||||||||||||
Total Gains (Losses) (Realized/Unrealized) | Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2022(4)(5) | Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of December 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, December 31, 2022 | |||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||||
Mortgage-related | $ | $( | (5)(6) | $ | $ | $ | $ | $( | $( | $ | $ | $( | $— | |||||||||||||
Available-for-sale securities: | ||||||||||||||||||||||||||
Agency | $ | $ | $( | $ | $ | $ | $( | $ | $ | $ | $— | $( | ||||||||||||||
Other mortgage- related | ( | ( | ( | ( | — | ( | ||||||||||||||||||||
Total available-for- sale securities | $ | $( | (6)(7) | $( | $ | $ | $ | $( | $( | $ | $ | $— | $( | |||||||||||||
Mortgage loans | $ | $( | (5)(6) | $ | $ | $( | $ | $( | $( | $ | $ | $( | $— | |||||||||||||
Net derivatives | ( | (5) | ( | ( | — | |||||||||||||||||||||
Long-term debt: | ||||||||||||||||||||||||||
Of Fannie Mae | $( | $ | (5) | $ | $ | $ | $ | $ | $ | $ | $( | $ | $— | |||||||||||||
Of consolidated trusts | ( | (5)(6) | ( | ( | ( | — | ||||||||||||||||||||
$( | $ | $ | $ | $ | $( | $ | $ | $( | $( | $ | $— |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-70 |
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | ||||||||||||||||||||||||||
For the Year Ended December 31, 2021 | ||||||||||||||||||||||||||
Total Gains (Losses) (Realized/Unrealized) | Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021(4)(5) | Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021(1) | ||||||||||||||||||||||||
Balance, December 31, 2020 | 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, December 31, 2021 | |||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||||
Mortgage-related | $ | $( | (5)(6) | $ | $ | $ | $ | $ | $( | $ | $ | $ | $— | |||||||||||||
Available-for-sale securities: | ||||||||||||||||||||||||||
Agency | $ | $ | $( | $ | $ | $ | $( | $( | $ | $ | $— | $ | ||||||||||||||
Other mortgage- related | ( | ( | — | ( | ||||||||||||||||||||||
Total available-for- sale securities | $ | $ | (6)(7) | $( | $ | $ | $ | $( | $( | $ | $ | $— | $ | |||||||||||||
Mortgage loans | $ | $ | (5)(6) | $ | $ | $( | $ | $( | $( | $ | $ | $ | $— | |||||||||||||
Net derivatives | ( | (5) | ( | — | ||||||||||||||||||||||
Long-term debt: | ||||||||||||||||||||||||||
Of Fannie Mae | $( | $ | (5) | $ | $ | $ | $ | $ | $ | $ | $( | $ | $— | |||||||||||||
Of consolidated trusts | ( | ( | (5)(6) | ( | ( | ( | — | |||||||||||||||||||
$( | $ | $ | $ | $ | $ | $ | $ | $( | $( | $ | $— |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-71 |
Fair Value Measurements as of December 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) | $ | Various | ||||||||||
Available-for-sale securities: | ||||||||||||
Agency(3) | Consensus | |||||||||||
Other mortgage-related | Discounted Cash Flow | Spreads (bps) | - | |||||||||
Single Vendor | ||||||||||||
Various | ||||||||||||
Total other mortgage-related | ||||||||||||
Total available-for-sale securities | $ | |||||||||||
Net derivatives | $ | Dealer Mark | ||||||||||
Discounted Cash Flow | ||||||||||||
Total net derivatives | $ |
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) | $ | Various | ||||||||||
Available-for-sale securities: | ||||||||||||
Agency(3) | Consensus | |||||||||||
Other mortgage-related | Discounted Cash Flow | Spreads (bps) | - | |||||||||
Single Vendor | ||||||||||||
Various | ||||||||||||
Total other mortgage-related | ||||||||||||
Total available-for-sale securities | $ | |||||||||||
Net derivatives | $ | Dealer Mark | ||||||||||
( | Discounted Cash Flow | |||||||||||
Total net derivatives | $( |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-72 |
Fair Value Measurements as of December 31, | ||||||
Valuation Techniques | 2023 | 2022 | ||||
(Dollars in millions) | ||||||
Nonrecurring fair value measurements: | ||||||
Mortgage loans:(1) | ||||||
Mortgage loans held for sale, at lower of cost or fair value | Consensus | $ | $ | |||
Single Vendor | ||||||
Total mortgage loans held for sale, at lower of cost or fair value | ||||||
Single-family mortgage loans held for investment, at amortized cost | Internal Model | |||||
Multifamily mortgage loans held for investment, at amortized cost | Appraisal | |||||
Broker Price Opinion | ||||||
Internal Model | ||||||
Total multifamily mortgage loans held for investment, at amortized cost | ||||||
Acquired property, net: | ||||||
Single-family | Accepted Offer | |||||
Appraisal | ||||||
Internal Model | ||||||
Walk Forward | ||||||
Various | ||||||
Total single-family | ||||||
Multifamily | Various | |||||
Total nonrecurring assets at fair value | $ | $ |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-73 |
Instruments | Valuation Techniques | Classification |
U.S Treasury Securities and Futures | We classify securities whose values are based on quoted market prices in active markets for identical assets as Level 1 of the valuation hierarchy. These are comprised of US Treasury securities and futures which are classified as trading securities. | Level 1 |
Other Trading Securities and Available-for-Sale Securities | We classify securities in active markets as Level 2 of the valuation hierarchy if quoted market prices in active markets for identical assets are not available. For all valuation techniques used for securities where there is limited activity or less transparency around these inputs to the valuation, these securities are classified as Level 3 of the valuation hierarchy. Single Vendor: Uses one vendor price to estimate fair value. We generally validate these observations of fair value through the use of a discounted cash flow technique whose unobservable inputs (for example, spreads) are disclosed in the table above. Consensus: Uses an average of two or more vendor prices for similar securities. We generally validate these observations of fair value through the use of a discounted cash flow technique whose unobservable inputs (for example, spreads) are disclosed in the table above. | Level 2 and 3 |
Discounted Cash Flow: In the absence of prices provided by third-party pricing services supported by observable market data, we estimate the fair value of a portion of our securities using a discounted cash flow technique that uses inputs such as default rates, prepayment speeds, loss severity and spreads based on market assumptions where available. Other: Default pricing to par or par equivalent. For private-label securities, an increase in unobservable prepayment speeds in isolation would generally result in an increase in fair value, and an increase in unobservable spreads, severity rates or default rates in isolation would generally result in a decrease in fair value. For mortgage revenue bonds classified as Level 3 of the valuation hierarchy, an increase in unobservable spreads would result in a decrease in fair value. Although we have disclosed unobservable inputs for the fair value of our recurring Level 3 securities above, interrelationships exist among these inputs such that a change in one unobservable input typically results in a change to one or more of the other inputs. | ||
Mortgage Loans Held for Investment | Build-up: We derive the fair value of performing mortgage loans using a build-up valuation technique starting with the base value for our Fannie Mae MBS with similar characteristics and then add or subtract the fair value of the associated guaranty asset, guaranty obligation (“GO”) and master servicing arrangement. We set the GO equal to the estimated fair value we would receive if we were to issue our guaranty to an unrelated party in a stand-alone arm’s length transaction at the measurement date. The fair value of the GO is estimated based on our current guaranty pricing for loans underwritten after 2008 and our internal valuation models considering management’s best estimate of key loan characteristics for loans underwritten before 2008. Our performing loans are generally classified as Level 2 of the valuation hierarchy to the extent that significant inputs are observable. To the extent that unobservable inputs are significant, the loans are classified as Level 3 of the valuation hierarchy. | Level 2 and 3 |
Consensus: Calculated through the extrapolation of indicative sample bids obtained from multiple active market participants plus the estimated value of any applicable mortgage insurance, the estimated fair value using the Consensus method represents an estimate of the prices we would receive if we were to sell these single-family nonperforming and certain reperforming loans in the whole loan market. The fair value of any mortgage insurance on a nonperforming or reperforming loan is estimated using product-specific pricing grids that have been derived from loan-level bids on whole loan transactions. These loans are generally classified as Level 3 of the valuation hierarchy because significant inputs are unobservable. To the extent that significant inputs are observable, the loans are classified as Level 2 of the valuation hierarchy. We estimate the fair value for a portion of our senior-subordinated trust structures using the prices at the security level as a proxy for estimating loan fair value. These loans are classified as Level 3 of the valuation hierarchy because significant inputs are unobservable. | ||
Single Vendor: We estimate the fair value of our reverse mortgages using the single vendor valuation technique. Internal Model: The internal model used to value collateral contains four sub-component models: 1) Location Model, 2) Neighborhood Model, 3) Automated Valuation Model (“AVM”) Imputation Model and 4) Final Valuation Model. These models consider characteristics of the property, neighborhood, local housing markets, underlying loan and home price growth to derive a final estimated value. These loans are classified as Level 3 of the valuation hierarchy because significant inputs are unobservable. |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-74 |
Instruments | Valuation Techniques | Classification |
Mortgage Loans Held for Investment | Appraisal: We use appraisals to estimate the fair value for a portion of our multifamily loans based on either estimated replacement cost, the present value of future cash flows, or sales of similar properties. Significant unobservable inputs include estimated replacement or construction costs, property net operating income, capitalization rates, and adjustments made to sales of comparable properties based on characteristics such as financing, conditions of sale, and physical characteristics of the property. Broker Price Opinion: We use broker price opinions to estimate the fair value for a portion of our multifamily loans. This technique uses both current property value and the property value adjusted for stabilization and market conditions. The unobservable inputs used in this technique are property net operating income and market capitalization rates to estimate property value. Asset Manager Estimate: This technique uses the net operating income and tax assessments of the specific property as well as Metropolitan Statistical Area-specific market capitalization rates and average per unit sales values to estimate property fair value. | Level 2 and 3 |
An increase in prepayment speeds in isolation would generally result in an increase in the fair value of our mortgage loans classified as Level 3 of the valuation hierarchy, and an increase in severity rates, default rates or spreads in isolation would generally result in a decrease in fair value. Although we have disclosed unobservable inputs for the fair value of the mortgage loans classified as Level 3 above, interrelationships exist among these inputs such that a change in one unobservable input typically results in a change to one or more of the other inputs. | ||
Mortgage Loans Held for Sale | Loans are reported at the lower of cost or fair value in our consolidated balance sheets. The valuation methodology and inputs used in estimating the fair value of HFS loans are the same as our HFI loans and are described above in “Mortgage Loans Held for Investment.” To the extent that significant inputs are unobservable, the loans are classified within level 3 of the valuation hierarchy. | Level 2 and 3 |
Acquired Property, Net and Other Assets | Single-family acquired property valuation techniques Accepted Offer: An Offer to Purchase Real Estate that has been submitted by a potential purchaser of an acquired property and accepted by Fannie Mae in a pending sale. Appraisal: An appraisal is an estimate based on recent historical data of the value of a specific property by a certified or licensed appraiser. Adjustments are made for differences between comparable properties for unobservable inputs such as square footage, location, and condition of the property. Broker Price Opinion: This technique provides an estimate of what the property is worth based upon a real estate broker’s use of specific market research and a sales comparison approach that is similar to the appraisal process. This information, all of which is unobservable, is used along with recent and pending sales and current listings of similar properties to arrive at an estimate of value. | Level 3 |
Property Inspection Report with Value: This technique provides an estimate of what the property is worth based upon a third party model that is adjusted for condition of the property and/or any other factors impacting the marketability. Appraisal and Broker Price Opinion, and Property Inspection Report with Value Walk Forward (“Walk Forward”): We use these techniques to adjust appraisal, broker price opinion, and property inspection valuations for changing market conditions by applying a walk forward factor based on local price movements since the time the third-party value was obtained. Internal Model: We use an internal model to estimate fair value for distressed properties. The valuation methodology and inputs used are described under “Mortgage Loans Held for Investment.” | ||
Multifamily acquired property valuation techniques Appraisal: We use this method to estimate property values for distressed properties. The valuation methodology and inputs used are described under “Mortgage Loans Held for Investment.” Broker Price Opinion: We use this method to estimate property values for distressed properties. The valuation methodology and inputs used are described under “Mortgage Loans Held for Investment.” Asset Manager Estimate: We use this method to estimate property values for distressed properties. The valuation methodology and inputs used are described under “Mortgage Loans Held for Investment.” |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-75 |
Instruments | Valuation Techniques | Classification |
Asset and Liability Derivative Instruments (collectively “Derivatives”) | The valuation process for the majority of our risk management derivatives uses observable market data provided by third-party sources, resulting in Level 2 classification of the valuation hierarchy. Single Vendor: We use one vendor price to estimate fair value. We generally validate these observations of fair value through the use of a discounted cash flow technique. Clearing House: We use the clearing house-provided value for interest-rate derivatives which are transacted through a clearing house. Internal Model: We use internal models to value interest-rate derivatives which are valued by referencing yield curves derived from observable interest rates and spreads to project and discount cash flows to present value. Discounted Cash Flow: We use discounted cash flow to estimate fair value for credit enhancement derivatives related to CRT. Dealer Mark: Certain highly complex structured swaps primarily use a single dealer mark due to lack of transparency in the market and may be modeled using observable interest rates and volatility levels as well as significant unobservable assumptions, resulting in Level 3 classification of the valuation hierarchy. Mortgage commitment derivatives that use observable market data, quotes and actual transaction price levels adjusted for market movement are typically classified as Level 2 of the valuation hierarchy. To the extent mortgage commitment derivatives include adjustments for market movement that cannot be corroborated by observable market data, we classify them as Level 3 of the valuation hierarchy. | Level 2 and 3 |
Debt of Fannie Mae and Consolidated Trusts | We classify debt instruments that have quoted market prices in active markets for similar liabilities when traded as assets as Level 2 of the valuation hierarchy. For all valuation techniques used for debt instruments where there is limited activity or less transparency around these inputs to the valuation, these debt instruments are classified as Level 3 of the valuation hierarchy. Consensus: Uses an average of two or more vendor prices or dealer marks that represents estimated fair value for similar liabilities when traded as assets. Single Vendor: Uses a single vendor price that represents estimated fair value for these liabilities when traded as assets. Discounted Cash Flow: Uses spreads based on market assumptions where available. Other: Default pricing to par or par equivalent. The valuation methodology and inputs used in estimating the fair value of MBS assets are described under “Trading Securities and Available-for-Sale Securities.” | Level 2 and 3 |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-76 |
As of December 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 | $ | $ | $ | $ | $— | $ | ||||||
Securities purchased under agreements to resell | — | |||||||||||
Trading securities | — | |||||||||||
Available-for-sale securities | — | |||||||||||
Mortgage loans held for sale | — | |||||||||||
Mortgage loans held for investment, net of allowance for loan losses | — | |||||||||||
Advances to lenders | — | |||||||||||
Derivative assets at fair value | ( | |||||||||||
Guaranty assets and buy-ups | — | |||||||||||
Total financial assets | $ | $ | $ | $ | $( | $ | ||||||
Financial liabilities: | ||||||||||||
Short-term debt: | ||||||||||||
Of Fannie Mae | $ | $ | $ | $ | $— | $ | ||||||
Long-term debt: | ||||||||||||
Of Fannie Mae | — | |||||||||||
Of consolidated trusts | — | |||||||||||
Derivative liabilities at fair value | ( | |||||||||||
Guaranty obligations | — | |||||||||||
Total financial liabilities | $ | $ | $ | $ | $( | $ |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-77 |
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 | $ | $ | $ | $ | $— | $ | ||||||
Securities purchased under agreements to resell | — | |||||||||||
Trading securities | — | |||||||||||
Available-for-sale securities | — | |||||||||||
Mortgage loans held for sale | — | |||||||||||
Mortgage loans held for investment, net of allowance for loan losses | — | |||||||||||
Advances to lenders | — | |||||||||||
Derivative assets at fair value | ( | |||||||||||
Guaranty assets and buy-ups | — | |||||||||||
Total financial assets | $ | $ | $ | $ | $( | $ | ||||||
Financial liabilities: | ||||||||||||
Short-term debt: | ||||||||||||
Of Fannie Mae | $ | $ | $ | $ | $— | $ | ||||||
Long-term debt: | ||||||||||||
Of Fannie Mae | — | |||||||||||
Of consolidated trusts | — | |||||||||||
Derivative liabilities at fair value | ( | |||||||||||
Guaranty obligations | — | |||||||||||
Total financial liabilities | $ | $ | $ | $ | $( | $ |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-78 |
Instruments | Description | Classification |
Financial Instruments for which Fair Value Approximates Carrying Value | We hold certain financial instruments that are not carried at fair value but for which the carrying value approximates fair value due to the short-term nature and negligible credit risk inherent in them. These financial instruments include cash and cash equivalents, the majority of advances to lenders, and securities sold/purchased under agreements to repurchase/resell. | Level 1 and 2 |
Securities Sold/ Purchased Under Agreements to Repurchase/Resell | The carrying value for the majority of these specific instruments approximates the fair value due to the short-term nature and the negligible inherent credit risk, as they involve the exchange of collateral that is easily traded. Were we to calculate the fair value of these instruments, we would use observable inputs. | Level 2 |
Mortgage Loans Held for Sale | Loans are reported at the lower of cost or fair value in our consolidated balance sheets. The valuation methodology and inputs used in estimating the fair value of HFS loans are the same as for our HFI loans and are described under “Fair Value Measurement—Mortgage Loans Held for Investment” in the valuation techniques for assets and liabilities held at fair value table. To the extent that significant inputs are unobservable, the loans are classified within Level 3 of the valuation hierarchy. | Level 2 and 3 |
Mortgage Loans Held for Investment | For a description of loan valuation techniques, refer to “Fair Value Measurement—Mortgage Loans Held for Investment” in the valuation techniques for assets and liabilities held at fair value table. We measure the fair value of certain loans that are delivered under the Home Affordable Refinance Program® (“HARP®”) using a modified build-up approach while the loan is performing. Under this modified approach, we set the credit component of the consolidated loans (that is, the guaranty obligation) equal to the compensation we would currently receive for a loan delivered to us under the program because the total compensation for these loans is equal to their current exit price in the government-sponsored enterprise securitization market. If, subsequent to delivery, the refinanced loan becomes past due or is modified, the fair value of the guaranty obligation is then measured consistent with other loans that have similar characteristics. | Level 2 and 3 |
Advances to Lenders | The carrying value for the majority of our advances to lenders approximates the fair value due to the short-term nature and the negligible inherent credit risk. If we were to calculate the fair value of these instruments, we would use discounted cash flow models that use observable inputs such as spreads based on market assumptions, resulting in Level 2 classification. Advances to lenders also include loans that do not qualify for Fannie Mae MBS securitization and are valued using a discounted cash flow technique that uses estimated credit spreads of similar collateral and prepayment speeds that consider recent prepayment activity. We classify these valuations as Level 3 given that significant inputs are not observable or are determined by extrapolation of observable inputs. | Level 2 and 3 |
Guaranty Assets and Buy-ups | Guaranty assets related to our portfolio securitizations are recorded in our consolidated balance sheets at fair value on a recurring basis and are classified as Level 3. Guaranty assets in lender swap transactions are recorded in our consolidated balance sheets at the lower of cost or fair value. These assets, which are measured at fair value on a nonrecurring basis, are also classified as Level 3. We estimate the fair value of guaranty assets by using proprietary models to project cash flows based on management’s best estimate of key assumptions such as prepayment speeds and forward yield curves. Because guaranty assets are similar to an interest-only income stream, the projected cash flows are discounted at rates that consider the current spreads on interest-only swaps that reference Fannie Mae MBS and also liquidity considerations of the guaranty assets. The fair value of guaranty assets includes the fair value of any associated buy-ups. | Level 3 |
Guaranty Obligations | The fair value of all guaranty obligations, measured subsequent to their initial recognition, is our estimate of a hypothetical transaction price we would receive if we were to issue our guaranty to an unrelated party in a standalone arm’s-length transaction at the measurement date. The valuation methodology and inputs used in estimating the fair value of the guaranty obligations are described under “Fair Value Measurement—Mortgage loans held for investment—build-up” in the valuation techniques for assets and liabilities held at fair value. | Level 3 |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-79 |
As of December 31, | ||||||||||||
2023 | 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 | $ | $ | $ | $ | $ | $ | ||||||
Unpaid principal balance |
Notes to Consolidated Financial Statements | Fair Value |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-80 |
As of December 31, 2023 | ||||||
Loans and Mortgage- Related Securities(1) | Operating Leases(2) | Other(3) | ||||
(Dollars in millions) | ||||||
2024 | $ | $ | $ | |||
2025 | ||||||
2026 | ||||||
2027 | ||||||
2028 | ||||||
Thereafter | ||||||
Total | $ | $ | $ |
Notes to Consolidated Financial Statements | Commitments and Contingencies |
Fannie Mae (In conservatorship) 2023 Form 10-K | F-81 |