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美國證券交易委員會

華盛頓特區20549

形式 10-Q

☑    根據1934年《證券交易法》第13或15（d）條的季度報告

截至季度 2024年9月30日

或

☐    根據證券第13或15（d）條提交的過渡報告 1934年交易所法案

從 到

委員會文件號： 0-50231

聯邦國民抵押貸款協會

（章程中規定的註冊人的確切名稱）

房利美

聯邦特許公司

52-0883107

西北15街1100號

800

232-6643

華盛頓，

DC

20005

（州或其他司法管轄區 成立或組織）

（國稅局僱主 識別號）

（主要行政辦公室地址，包括郵政編碼）

（註冊人的電話號碼，包括地區代碼）

根據該法第12（b）條登記的證券：

每個班級的標題			交易符號			註冊的每個交易所的名稱
沒有一			N/A			N/A

通過勾選標記標明註冊人是否（1）在過去12個月內（或在註冊人被要求提交此類報告的較短期限內）提交了1934年證券交易法第13或15（d）條要求提交的所有報告，以及（2）在過去90天內是否已遵守此類提交要求。 是的 ☑ 沒有 ☐

通過勾選標記檢查註冊人是否已在過去12個月內（或在註冊人被要求提交此類文件的較短期限內）以電子方式提交了根據S-t法規第405條（本章第232.405條）要求提交的所有交互數據文件。 是的 ☑ 沒有 ☐

通過複選標記來確定註冊人是大型加速申報人、加速申報人、非加速申報人、小型報告公司還是新興成長型公司。請參閱《交易法》第120條第2條中「大型加速申報人」、「加速申報人」、「小型報告公司」和「新興成長型公司」的定義。

大型加速文件夾

☐

加速編報公司

☑

非加速歸檔

☐

小型上市公司

☐

新興成長型公司

☐

如果是新興成長型公司，請通過勾選標記表明註冊人是否選擇不利用延長的過渡期來遵守根據《交易法》第13（a）條規定的任何新的或修訂的財務會計準則。 ☐

通過勾選標記檢查註冊人是否是空殼公司（定義見《交易法》第120條第2款）。是的☐ 沒有 ☑

截至2024年10月14日，已有 1,158,087,567 註冊人的流通普通股股份。

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目錄
						頁面
第一部分-財務信息						1
項目1.			財務報表
			精簡合併資產負債表			64
			簡明合併經營和全面收益表			65
			簡明綜合現金流量表			66
			簡明合併權益變動表			67
			注1-重要會計政策摘要			69
			注2-管理權、高級優先股購買協議及相關事項			70
			注3-金融資產的合併和轉讓			72
			注4-抵押貸款			73
			注5-貸款損失備抵			88
			注6-證券投資			90
			注7-財務擔保			92
			注8-短期和長期債務			93
			注9-衍生工具			94
			注10-分部報告			99
			注11-信用風險集中			101
			注12-淨額結算安排			106
			注13-公允價值			107
			注14-承諾和或有事項			116
			注15-監管資本要求			117
項目2.			管理層對財務狀況和經營成果的討論和分析			1
			有關聯邦抵押協會的			1
			執行摘要			2
			立法 和 調控			2
			主要市場經濟指標			5
			綜合經營運績			7
			合併資產負債表分析			16
			保留按揭貸款組合			17
			擔保 商業書籍			19
			商業賽門ts			20
			單一家族企業			20
			單戶抵押貸款市場			20
			單一家庭抵押貸款相關證券發行份額			21
			單一家族企業收件箱			22
			單一家族企業財務業績			23
			單戶抵押貸款信用風險管理			24
			多家族企業			37
			多家庭抵押貸款市場			37
			多家庭企業收件箱			38
			多家族企業財務業績			40
			多家庭抵押貸款信用風險管理			40
			合併信用比率和選擇信用信息			47
			流動性和資本管理			48
			風險管理			55
			機構對手信用風險管理			55
			市場風險管理，包括利率風險管理			55
			關鍵會計估計			57
			未來採用新會計的影響 指導			60
			前瞻性陳述			60

房利美2024年第三季度10-Q表格						i

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項目3.			市場風險的定量和定性披露			119
項目4.			控制和程式			119
第二部分-其他信息						121
項目1.			法律訴訟			121
項目1A.			危險因素			122
項目2.			股權證券的未登記銷售和收益的使用			122
項目3.			優先證券			124
項目4.			礦山安全披露			124
項目5.			其他信息			124
項目6.			展品			125

房利美2024年第三季度10-Q表格						ii

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						MD&A|有關聯邦抵押協會的

第一部分-財務信息

項目2. 管理層對財務狀況和經營成果的討論和分析

您應該閱讀本管理層對財務狀況和經營運績的討論和分析（「MD & A」），並結合我們未經審計的簡明合併財務報表和本報告中的相關注釋以及截至2023年12月31日年度10-k表格年度報告中的更詳細信息（「2023年10-K表格」）。您可以找到「本術語表 我們2023年表格10-k中的MD & A中的報告」。

本報告包括基於管理層當前預期的前瞻性陳述，這些預期存在重大不確定性。由於多種因素，包括「前瞻性陳述」、「風險因素」以及本報告和2023年表格10-k中其他地方討論的因素，未來事件和我們的結果可能與我們的前瞻性陳述中反映的結果存在重大差異。

有關聯邦抵押協會的

房利美是美國住宅抵押貸款的主要融資來源。2024年前9個月，我們向抵押貸款市場提供了2739美金的流動性，為約993，000套購房、再融資和租賃單位提供了融資。

我們是一家政府資助、股東所有的公司，由國會授權，為美國房地產市場提供流動性和穩定性，並促進抵押貸款的獲取。我們主要通過購買貸方發起的住宅抵押貸款來實現這一目標。我們將這些貸款存入信託，並發行全球投資者從我們手中購買的有擔保抵押貸款支持證券（「MBS」或「房利美MBS」）。我們不會發放抵押貸款或直接向借款人借錢。

我們支持單戶和多戶住房。我們的單戶業務為擁有四個或更少住宅單元的物業提供融資。我們的多戶業務為擁有五個或更多單元的住宅樓提供融資。截至2024年6月30日（有信息可查的最新日期），房利美擁有或擔保了美國約26%的未償單戶抵押貸款債務和約21%的未償多戶抵押貸款債務。

我們為發行的MBS提供擔保。如果借款人未能支付房利美MBS中包含的抵押貸款，我們將向MBS投資者支付短缺金額。作為提供此擔保的交換，我們將收到擔保費。擔保費是我們收入的主要來源。

由於我們承擔MBS中抵押貸款的信用風險，因此我們的盈利受到這些貸款信用表現的影響。因此，信用風險管理是我們業務和財務業績的關鍵。為了幫助管理我們的抵押貸款信用風險，並響應資本和其他要求，我們通過信用風險轉移交易和抵押貸款保險將部分信用風險轉移給第三方。有關我們如何管理信用風險的討論，請參閱本報告和2023年表格10-k中的「MD & A-單一家庭企業-單一家庭抵押貸款信用風險管理」和「MD & A-Multifamily Business-Multifamily Mortgage Credit Risk Management」。

我們處於管理狀態，聯邦住房金融局（「FHFA」）作為我們的管理者。在託管期間，我們的董事會對公司或其股東沒有信託義務，因為他們的謹慎和忠誠的信託義務完全歸功於作為託管人的FHFA。監管權以及我們與美國財政部（「財政部」）的協議極大地限制了我們的業務活動和股東權利。有關託管和這些協議對我們的業務、股東和我們不確定的未來的影響的更多信息，請參閱我們2023年表格10-k中的「業務託管和財政部協議」和「風險因素-GSE和託管風險」。

房利美2024年第三季度10-Q表格						1

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			MD&A|執行摘要

執行摘要

請與我們的MD & A、截至2024年9月30日的簡明合併財務報表以及隨附的注釋一起閱讀本摘要。

財務業績概覽

財務業績摘要

季度業績

•淨收入 與2023年第三季度相比，2024年第三季度相對持平。

•淨收入 與2023年第三季度相比，2024年第三季度減少了6.55億美金，主要是由於公允價值收益減少和信用損失福利減少。

年初至今結果

•淨收入 受淨利息收入增加的推動，2024年前9個月比2023年前9個月增加了5.22億美金。

•淨收入 與2023年前9個月相比，2024年前9個月減少了6.17億美金，主要是由於信用損失福利減少和公允價值收益減少。這被淨利息收入的增加部分抵消。

•淨值 截至2024年9月30日，這一數字從截至2023年12月31日的777億美金增加至截至2024年9月30日的905億美金。

有關財務業績驅動因素的更多信息，請參閱「合併運營運績」。

立法和監管

本節中的信息更新和補充了我們2023年表格10-k中的「業務監管和財政協議」和「業務立法和監管」以及截至3月31日季度的10-Q表格中的「MD & A-立法和監管」中規定的有關立法、監管、監管和其他影響我們業務的事項的信息，2024年（「2024年第一季度10-Q表格」）以及截至2024年6月30日的季度的10-Q表格（「2024年第二季度10-Q表格」）。另請參閱我們2023年表格10-k中的「風險因素」，了解與立法和監管事項相關的風險討論。

擬議的2025-2027年住房目標

我們受制於住房目標，這要求我們獲得的特定金額的抵押貸款滿足與負擔能力或地點相關的要求。我們的住房目標是由FHFA根據修訂後的1992年《聯邦住房企業金融安全與健全法案》（「GSE法案」）制定的。2024年8月，FHFA發布了一項擬議規則，為房利美和房地美制定單戶和多戶住房目標

房利美2024年第三季度10-Q表格						2

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			MD&A|立法和監管

2025年至2027年的Mac。對擬議規則的評論將於2024年10月提交。請參閱2023年10-k表格中的「風險因素-GSE和管理風險」，討論追求住房目標可能如何對我們的業務、運營運績和財務狀況產生重大不利影響。

擬議的單戶住房目標

根據FHFA擬議的規則，FHFA將繼續使用兩部分方法來評估我們針對單戶住房目標的表現，該方法將我們單戶抵押貸款收購的目標合格份額與基準水平和市場水平進行比較。為了實現單戶住房目標或子目標，我們滿足每個目標或子目標的抵押貸款收購百分比必須等於或超過FHFA預先設定的基準水平或當年的市場水平。市場水平每年根據整個市場的實際目標合格來源追溯確定，該來源是根據當年的《住房抵押貸款披露法》數據衡量的。通常，該數據會在次年第三季度公布。

下表列出了2024年適用於房利美的單戶住房目標基準，與FHFA提出的2025年至2027年單戶住房目標基準進行了比較。

當前和擬議的單戶住房目標
			2024年基準水平(1)						2025-2027年擬議基準水平(1)
低收入購房目標(2)			28			%			25			%
極低收入購房目標(3)			7						6
少數族裔人口普查擴大購房子目標(4)			10						12
低收入人口普查擴大購房子目標(5)			4						4
低收入再融資目標(6)			26						26

(1)    FHFA基準表示為當年獲得的符合目標的單戶抵押貸款總數的百分比。

(2)    向收入不超過地區收入中位數80%的借款人提供單戶業主自用房產的購房抵押貸款。

(3)    向收入不超過地區收入中位數50%的借款人提供單戶業主自用房產的購房抵押貸款。

(4) 向收入不超過少數族裔人口普查區地區收入中位數100%的借款人提供單戶業主自用房產的購房抵押貸款。少數族裔人口普查區是指少數族裔人口至少占30%且收入中位數低於地區收入中位數100%的地區。

(5) (i)向非少數族裔人口普查區的低收入人口普查區的借款人（無論收入如何）提供單戶業主自用房產的購房抵押貸款，以及（ii）向收入超過低收入人口普查區地區中位數收入100%的借款人提供單戶業主自用房產的購房抵押貸款。低收入人口普查區是指收入中位數不超過地區收入中位數80%的地區。

(6)    為收入不超過地區收入中位數80%的借款人對單戶業主自用房產進行再融資。

低收入地區住房目標基準水平未包含在擬議規則中。根據現有法規，低收入地區購房目標的基準水平將是上述少數族裔人口普查區子目標和低收入人口普查區子目標的基準水平之和，加上FHFA將通過通知單獨確定的額外金額，其中考慮到災區收入不超過地區收入中位數100%的家庭。

擬議的規則將制定新的標準，以評估未能實現某些單戶住房目標是否需要制定住房計劃。根據法規，如果FHFA確定我們沒有實現可行的住房目標，FHFA可能會要求我們提交一份住房計劃，描述我們將採取的措施來提高績效。根據擬議的規則，如果我們的表現符合或超過目標的市場水平減去指定的執行因素，FHFA通常不會要求我們提交住房計劃。FHFA表示，擬議的執行因素部分解決了提前幾年預測市場的不確定性，以及追溯確定實際市場水平的時間滯後。

擬議的多家庭住房目標

根據FHFA擬議的規則，FHFA將繼續僅對照基準水平評估我們的多家庭住房目標績效。2024年多家庭住房目標基準和FHFA提出的2025年至2027年多家庭住房目標基準都是基於我們年度多家庭貸款收購中符合目標的單位所占的百分比，每個收入類別都負擔得起。

房利美2024年第三季度10-Q表格						3

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			MD&A|立法和監管

下表列出了2024年適用於房利美的多家庭住房目標基準，與FHFA提出的2025年至2027年多家庭住房目標基準進行了比較。

當前和擬議的多家庭住房目標
			2024年基準水平						2025-2027年擬議基準水平
低收入目標(1)			61			%			61			%
極低收入目標(2)			12						14
小型多家庭低收入次級目標(3)			2.5						2

(1) 低收入家庭負擔得起，低收入家庭定義為收入不超過地區收入中位數80%的家庭。

(2) 極低收入家庭負擔得起，即收入不超過地區收入中位數50%的家庭。現行法規將極低收入住房基準水平作為子目標。擬議的規則將其稱為目標。

(3)    低收入家庭負擔得起的小型多戶房產（定義為擁有5至50個單元的房產）中的單元。

2023年住房目標表現

2024年10月，FHFA通知我們，它已確定我們實現了2023年六項單戶住房目標和子目標中的四項，以及所有2023年多戶住房目標和子目標。FHFA確定我們錯過了單戶低收入購房目標和單戶極低收入購房目標。FHFA還確定，由於兩項未能實現單戶目標，我們不需要提交住房計劃，因為我們在2023年實現這些目標是不可行的。有關我們2023年住房目標要求的更多信息，請參閱2023年表格10-k中的「商業立法和監管住房目標」。

房利美2024年第三季度10-Q表格						4

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			MD&A|主要市場經濟指標

主要市場經濟指標

在2023年10-k表格的「MD & A-Key市場經濟指標」中，我們討論了不同的宏觀經濟狀況如何影響我們在不同商業和經濟環境中的財務業績，並針對其中一些宏觀經濟狀況提供預測和預期。下面我們提供了這些預測和預期的更新，以及某些宏觀經濟信息的更新。我們的預測和預期基於許多假設，存在許多不確定性，並且可能會與我們當前的預測和預期發生重大變化。請參閱我們2023年10-k表格和本報告中的「風險因素」和「前瞻性陳述」，以了解可能導致實際結果與我們當前的預測和預期存在重大差異的因素的討論。

利率

選定的基準利率

(1)根據房地美的一級抵押貸款市場調查，參考美國周平均固定利率抵押貸款利率®.這些比率是使用給定時期的最新可用數據報告的。

(2)據彭博社報導。

(3)按紐約聯邦儲備銀行的每日利率計算。

2024年第三季度末30年期固定利率抵押貸款平均利率較2024年第二季度末和2023年第四季度末有所下降。

房價

單戶季度房價增長（下降）率(1)

(1)使用房利美、房地美購買貸款的房地產數據和其他第三方房屋銷售數據進行內部計算。房利美的房價指數是加權重複交易指數，衡量相同房產重複銷售的平均價格變化。房利美的房價指數不包括因止贖而出售的房產的價格。房利美的房價增長率代表了基於非季節性調整初步數據的估計，並可能會隨著額外數據的出現而發生變化。

2024年前9個月，全國房價估計上漲了5.9%。基於我們對2024年第四季度房價小幅下跌的預期，我們預測2024年全年全國房價增長5.8%。我們預計房價變化的時間和速度會出現地區差異。

房利美2024年第三季度10-Q表格						5

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			MD&A|主要市場經濟指標

住房活動

新屋開工(1)

(1)根據美國人口普查局的數據，並可能會修訂。

與2024年第二季度相比，2024年第三季度單戶住房開工量小幅下降。由於對新建單戶住房的需求上升，我們預計2024年單戶住房開工量總體上將高於2023年。

由於預計2024年將有大量新租賃單元完工，我們預計2024年多戶住房開工量總體上將低於2023年。

有關住房活動的進一步討論，請參閱「單戶企業-單戶抵押貸款市場」和「多戶企業-多戶抵押貸款市場」。

經濟活動

GDP和失業率

(1)實際GDP增長（下降）基於經濟分析局計算的季度系列，並可能會進行修訂。

(2)根據美國勞工統計局的數據，並可能會修訂。

2024年前9個月美國國內生產總值（「GDP」）增長。2024年前9個月失業率上升，預計2024年第四季度失業率將繼續溫和上升。

請參閱2023年10-k表格中的「風險因素-市場和行業風險」和「風險因素-信用風險」，以進一步討論與利率、房價、住房活動和經濟狀況相關的業務和財務業績風險。

房利美2024年第三季度10-Q表格						6

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			MD&A|綜合經營運績

綜合經營運績

本節討論我們的簡明綜合經營運績，應與我們的簡明綜合財務報表和隨附註釋一起閱讀。

濃縮合併經營運績摘要
						截至9月30日的三個月內，																		截至9月30日的九個月內，
						2024						2023						方差						2024						2023						方差
						（百萬美金）
淨利息收入						$	7,275					$	7,220					$	55					$	21,566					$	21,041					$	525
費用和其他收入(1)						66						76						(10)						206						209						(3)
淨收入						7,341						7,296						45						21,772						21,250						522
投資收益（損失），淨						12						8						4						(28)						(34)						6
公允價值收益（損失），淨額						52						795						(743)						979						1,403						(424)
行政開支						(925)						(897)						(28)						(2,793)						(2,629)						(164)
信用損失福利（撥備）						27						652						(625)						507						1,786						(1,279)
TCA費用(2)						(862)						(860)						(2)						(2,581)						(2,571)						(10)
信用增強費用(3)						(411)						(390)						(21)						(1,235)						(1,115)						(120)
預期信用增強復甦的變化(4)						89						(128)						217						189						(168)						357
其他開支淨額(5)						(270)						(535)						265						(720)						(922)						202
聯邦所得稅前收入						5,053						5,941						(888)						16,090						17,000						(910)
聯邦所得稅撥備						(1,009)						(1,242)						233						(3,242)						(3,535)						293
淨收入						$	4,044					$	4,699					$	(655)					$	12,848					$	13,465					$	(617)
全面收益總額						$	4,047					$	4,681					$	(634)					$	12,848					$	13,448					$	(600)

(1)單戶費用和其他收入主要包括參與結構性交易和提供其他貸方服務的報酬。多家庭費用和其他收入包括與某些多家庭業務活動相關的費用，例如免稅多家庭住房收入債券的信用增強。

(2)TCA費用是指根據2011年《臨時薪津減稅延續法案》並經《基礎設施投資和就業法案》延期，在2012年4月1日或之後交付給我們的所有單戶抵押貸款的擔保費增加10個基點而確認的費用，我們向財政部支付該費用。

(3)包括與我們獨立的信用增強相關的成本，主要包括我們的康乃狄克大道證券® （「CAS」）和信用保險風險轉移TM （「CIRTTM」）計劃、企業付費抵押貸款保險和某些貸方風險分擔計劃。

(4)包括我們獨立信用增強措施帶來的福利估計變化以及任何已實現金額。

(5)包括債務消滅損益、與法律索賠相關的費用、止贖財產收入（費用）、合夥投資的損益、住房信託基金費用、貸款次級服務成本以及與某些損失減輕活動相關支付的服務費。

淨利息收入

概述

我們淨利息收入的主要來源是我們因承擔我們擔保業務帳簿中第三方持有的房利美MBS相關抵押貸款的信用風險而收到的擔保費。我們還根據保留抵押貸款投資組合和企業流動性投資組合（統稱為「投資組合」）中資產賺取的利息收入與與融資債務相關的利息費用之間的差額確認淨利息收入。此外，對沖會計的收入或費用是我們淨利息收入的一部分。請參閱我們2023年10-k表格中的「MD & A-合併運營運績-淨利息收入」，了解我們單家庭和多家庭擔保費的組成部分以及我們業務擔保帳簿的淨利息收入的組成部分、投資組合和對沖會計。

房利美2024年第三季度10-Q表格						7

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			MD&A|綜合經營運績

淨利息收入的組成部分

下表顯示了我們來自業務擔保帳簿、投資組合以及對沖會計的淨利息收入的組成部分。

淨利息收入的組成部分
						截至9月30日的三個月內，																		截至9月30日的九個月內，
						2024						2023						方差						2024						2023						方差
						（百萬美金）
業務擔保帳簿的淨利息收入：
基本擔保費收入(1)						$	4,159					$	4,060					$	99					$	12,357					$	12,077					$	280
與TCA相關的基本擔保費收入(2)						862						860						2						2,581						2,571						10
淨延期擔保費收入(3)						831						942						(111)						2,475						2,611						(136)
業務擔保書淨利息收入總額						5,852						5,862						(10)						17,413						17,259						154
投資組合的淨利息收入(4)						1,624						1,596						28						4,817						4,554						263
對沖會計的收入（費用）(5)						(201)						(238)						37						(664)						(772)						108
淨利息收入總額						$	7,275					$	7,220					$	55					$	21,566					$	21,041					$	525

(1)不包括我們根據TCA實施的10個基點擔保費增加所產生的收入，其中的增量收入支付給財政部，而不是由我們保留。

(2)代表我們根據TCA實施的10個基點擔保費增加所產生的收入，其中的增量收入支付給財政部，而不是由我們保留。

(3)不包括對沖會計產生的成本基礎調整的攤銷，該攤銷計入對沖會計的收入（費用）。

(4)包括我們保留抵押貸款組合和企業流動性組合中持有的資產的利息收入，以及用於支持貸方流動性的其他資產。還包括我們融資債務的利息費用，包括未償CAS債務。

(5)有關我們的對沖會計計劃的更多信息，請參閱「注釋9，衍生工具」。

與2023年第三季度相比，2024年第三季度淨利息收入保持相對持平。基本擔保費收入的增加和對沖會計費用的減少被較低的淨遞延擔保費收入大大抵消。

•更高的基本擔保費收入.與2023年第三季度相比，我們單戶擔保業務帳簿中新收購的平均匯出擔保費較高，是2024年第三季度基本擔保費收入增加的主要驅動力。

•對沖會計減少費用.與2023年第三季度相比，我們2024年第三季度的對沖會計費用較低，主要原因是2024年第三季度對沖關係中衍生品的利息費用低於2023年第三季度。

•淨延期擔保費收入較低。 2024年第三季度淨攤銷收入較2023年第三季度有所下降，主要是由於未攤銷遞延擔保費淨額餘額較低。有關更多信息，請參閱下文「未攤銷遞延擔保費分析」。

與2023年前9個月相比，2024年前9個月的淨利息收入有所增加，主要是由於基礎擔保費收入增加和投資組合淨利息收入增加，但部分被淨遞延擔保費收入減少所抵消。

•更高的基本擔保費收入.與2023年前9個月相比，我們單戶擔保業務帳簿中新收購的平均匯出擔保費較高，是2024年前9個月基本擔保費收入增加的主要驅動力。

•投資組合的淨利息收入更高。 與2023年前9個月相比，2024年前9個月投資組合的淨利息收入較高，主要是由於2024年前9個月比2023年前9個月的利率較高，我們的企業流動性投資組合中的證券，主要是根據轉售協議購買的證券。

•淨延期擔保費收入較低。 與2023年前9個月相比，2024年前9個月的淨攤銷收入有所下降，主要是由於未攤銷遞延擔保費餘額減少。

房利美2024年第三季度10-Q表格						8

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			MD&A|綜合經營運績

未分配的延期擔保費分析

以下圖表顯示了有關我們的單戶傳統擔保業務帳簿中貸款利率的信息以及有關我們的遞延擔保費的信息。

如下圖（左圖）所示，截至2024年9月30日，我們大部分單戶傳統擔保業務帳簿的利率低於30年期固定利率抵押貸款平均利率。根據房地美的一級抵押貸款市場調查®截至2024年9月26日，美國單戶30年期固定利率抵押貸款周平均利率為6.08%。因此，即使利率有意義地下降，大多數抵押貸款在我們的單戶傳統擔保業務帳簿中的借款人仍然不會受到激勵進行再融資。

下面（右側）的另一張圖表顯示了將在未來期間攤銷為遞延擔保費收入的擔保費，我們稱其為「未攤銷的遞延擔保費」，如我們2023年表格10-k中「MD & A-合併經營運績-淨利息收入-未攤銷的遞延擔保費分析」中所述。

單戶傳統擔保業務帳簿的利率與30年期固定利率抵押貸款平均利率相比			未攤銷的遞延擔保費(1)
截至2024年9月30日			（美金單位：十億美金）

—						根據房地美的一級抵押貸款市場調查，代表截至2024年9月26日的平均30年期固定利率抵押貸款利率®，截至2024年9月30日的季度最後一次發布的利率。			(1)						代表淨未攤銷成本基礎調整（包括單戶和多戶抵押貸款以及合併信託債務的溢價和折扣），將在抵押貸款或債務的剩餘合同期限內通過遞延擔保費收入確認。儘管我們在抵押貸款和合併信託債務方面都處於淨溢價地位，但我們在合併信託債務方面擁有更高的溢價。主要由於我們收取的前期費用，這些成本基礎調整的淨攤銷將產生收入。
—						代表根據抵押貸款當前利率選擇的利率範圍，按單戶傳統擔保業務帳簿的百分比。

我們記錄的延期擔保費收入金額可能有所不同，主要受以下因素的影響：（1）我們對單戶抵押貸款收取的前期費用金額，以及（2）利率變化，這會影響我們記錄的新獲得抵押貸款和新創建的合併信託債務的溢價和折扣。與2023年12月31日相比，截至2024年9月30日，我們的未攤銷遞延擔保費餘額有所減少，主要是由於合併信託債務的現有溢價攤銷。此外，利率驅動的定價變化增加了新獲得貸款的溢價，進一步減少了未攤銷遞延擔保費的餘額。

房利美2024年第三季度10-Q表格						9

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			MD&A|綜合經營運績

淨利息收入分析

下表顯示了我們對淨利息收入、平均餘額以及資產賺取和負債產生的相關收益率的分析。對於平均餘額的大多數組成部分，我們使用扣除未攤銷成本基礎調整後的未付本金餘額的每日加權平均值。當每日平均餘額信息不可用時，例如抵押貸款，我們使用月平均餘額。

淨利息收入和收益率分析(1)
						截至9月30日的三個月內，
						2024																		2023
						平均餘額						利息收入/（）						賺取/支付的平均費率						平均餘額						利息收入/（）						賺取/支付的平均費率
						（百萬美金）
盈利資產：
現金及現金等價物(2)						$	47,241					$	643					5.44		%				$	56,077					$	753					5.37		%
根據轉售協議購買的證券						41,706						572						5.49						41,570						563						5.42
證券投資(3)						57,212						350						2.45						55,115						322						2.34
抵押貸款：
房利美的抵押貸款						52,105						576						4.42						51,802						615						4.75
合併信託抵押貸款						4,092,789						35,814						3.50						4,086,890						33,096						3.24
抵押貸款總額(4)						4,144,894						36,390						3.51						4,138,692						33,711						3.26
貸方預付款						3,325						57						6.86						3,973						66						6.64
生息資產總額						$	4,294,378					$	38,012					3.54		%				$	4,295,427					$	35,415					3.30		%
負債：
短期融資債務						$	10,445					$	(137)					5.25		%				$	15,388					$	(201)					5.22		%
長期融資債務						104,952						(1,014)						3.86						111,351						(942)						3.38
CAS債務						2,197						(64)						11.65						3,702						(100)						10.80
房利美債務總額						117,594						(1,215)						4.13						130,441						(1,243)						3.81
第三方持有的合併信託的債務證券						4,081,619						(29,522)						2.89						4,087,136						(26,952)						2.64
帶息債務總額						$	4,199,213					$	(30,737)					2.93		%				$	4,217,577					$	(28,195)					2.67		%
淨利息收入/淨利息收益率												$	7,275					0.68		%										$	7,220					0.67		%

房利美2024年第三季度10-Q表格						10

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			MD&A|綜合經營運績

						截至9月30日的九個月內，
						2024																		2023
						平均餘額						利息收入/（）						賺取/支付的平均費率						平均餘額						利息收入/（）						賺取/支付的平均費率
						（百萬美金）
盈利資產：
現金及現金等價物(2)						$	46,687					$	1,897					5.42		%				$	60,521					$	2,258					4.97		%
根據轉售協議購買的證券						46,046						1,887						5.46						39,834						1,505						4.98
證券投資(3)						54,371						932						2.29						54,443						899						2.20
抵押貸款：
房利美的抵押貸款						51,057						1,711						4.47						52,179						1,833						4.68
合併信託抵押貸款						4,091,464						105,512						3.44						4,078,981						96,670						3.16
抵押貸款總額(4)						4,142,521						107,223						3.45						4,131,160						98,503						3.18
貸方預付款						2,882						146						6.75						3,379						160						6.24
生息資產總額						$	4,292,507					$	112,085					3.48		%				$	4,289,337					$	103,325					3.21		%
負債：
短期融資債務						$	11,808					$	(462)					5.22		%				$	13,628					$	(503)					4.87		%
長期融資債務						103,133						(2,854)						3.69						116,433						(2,686)						3.08
CAS債務						2,422						(207)						11.40						4,381						(332)						10.10
房利美債務總額						117,363						(3,523)						4.00						134,442						(3,521)						3.49
第三方持有的合併信託的債務證券						4,084,450						(86,996)						2.84						4,081,140						(78,763)						2.57
帶息債務總額						$	4,201,813					$	(90,519)					2.87		%				$	4,215,582					$	(82,284)					2.60		%
淨利息收入/淨利息收益率												$	21,566					0.67		%										$	21,041					0.65		%

(1)    包括折扣、溢價和其他成本基礎調整的影響，包括與對沖會計相關的基礎調整。

(2) 2024年3月31日之前，「現金及現金等值項目」此前在「證券投資」中報告。先前期間已更新以符合本期列報方式。現金等值物由隔夜逆回購協議和美國國債（如果有）組成，其到期日為三個月或更短。

(3)    由未歸類為現金等值物的美國國債和抵押貸款相關證券組成。

(4)    平均餘額包括非應計狀態的抵押貸款。利息收入包括2024年第三季度和2024年前9個月的貸款費用分別為71100加元和21加元，而2023年第三季度和2023年前9個月的貸款費用分別為72200加元和21加元。貸款費用主要包括我們在多家庭抵押貸款預付款中確認的收益率維持收入以及我們收購抵押貸款時交換的預付現金費用的攤銷。

房利美2024年第三季度10-Q表格						11

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			MD&A|綜合經營運績

公允價值收益（損失），淨值

由於利率、收益率曲線、抵押貸款和信貸利差以及隱含波動率以及與這些金融工具相關的活動的變化，我們的衍生品、交易證券和其他以公允價值計價的金融工具的估計公允價值可能會在不同時期大幅波動。

下表顯示了我們公允價值損益的組成部分。

公允價值收益（損失），淨值
						截至9月30日的三個月內，												截至9月30日的九個月內，
						2024						2023						2024						2023
						（百萬美金）
風險管理衍生品公允價值收益（損失）歸因於：
利率掉期淨合同利息收入（費用）(1)						$	(272)					$	(348)					$	(860)					$	(1,123)
期內公允價值淨變動						(198)						852						831						1,544
對沖會計的影響(2)						215						(339)						471						283
風險管理衍生品公允價值收益（損失），淨額						(255)						165						442						704
抵押承諾衍生品公允價值收益（損失），淨						(567)						591						(266)						675
信用增強衍生品公允價值收益（損失），淨						(38)						47						(52)						61
衍生品公允價值收益（損失）總額，淨						(860)						803						124						1,440
交易證券收益（損失），淨						1,267						(318)						1,127						(295)
長期債務公允價值收益（損失），淨額						(471)						406						(343)						356
其他，淨(3)						116						(96)						71						(98)
公允價值收益（損失），淨額						$	52					$	795					$	979					$	1,403

(1)「利率掉期淨合同利息收入（費用）」主要受利率變化和利率掉期投資組合組成變化的影響。

(2)本表中反映的「對沖會計的影響」顯示對沖關係中掉期的淨收益或損失加上適用期間在「淨利息收入」中確認的任何應計利息。

(3)主要包括以公允價值持有的抵押貸款的公允價值損益。

2024年第三季度的公允價值淨收益由固定利率交易證券的收益推動，但抵押貸款承諾衍生品、以公允價值持有的合併信託的長期債務和風險管理衍生品的損失大幅抵消了這一收益，所有這些主要是由於2024年第三季度利率下降。

公允價值收益，淨值 前九個月 2024年的驅動因素是：

•固定利率交易證券和風險管理衍生品的收益，部分被

•以公允價值持有的合併信託和抵押承諾衍生品的長期債務損失。

2024年第三季度利率下降推動了固定利率交易證券的收益、以公允價值持有的合併信託長期債務的損失以及抵押貸款承諾衍生品的損失。2024年上半年利率上升推動了風險管理衍生品的收益，但這部分被2024年第三季度利率下降帶來的損失所抵消。

公允價值收益，第三季度淨收益 前九個月 的 2023 主要受到收益的推動 抵押貸款承諾衍生品、風險管理衍生品和以公允價值持有的合併信託的長期債務，主要是由於利率上升。

這些收益被主要由利率上升推動的固定利率交易證券價格下跌的影響部分抵消。

房利美2024年第三季度10-Q表格						12

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			MD&A|綜合經營業績

信用損失的福利（準備金）

下表對我們的單家庭和多家庭福利或信用損失撥備以及預期信用增級復甦變化的驅動因素進行了定量分析。許多爲我們的利益或信用損失撥備做出貢獻的驅動因素是重疊或相互依賴的。下面顯示的組成部分基於內部分配估計。信用損失的福利或撥備包括我們的貸款損失福利或撥備、應計應收利息損失、我們的擔保損失準備金以及我們可供出售（「ATF」）債務證券的信用損失。就此歸因表而言，不包括可供出售證券的信用損失.

信用損失的利益（撥備）組成部分和預期信用增強復甦的變化
						截至9月30日的三個月，												在截至9月30日的9個月內，
						2024						2023						2024						2023
						(百萬美元)
信貸損失的單一家庭福利（準備金）：
貸款活動的變化(1)						$	(328)					$	(335)					$	(769)					$	(1,075)
將貸款從持作投資（「HFI」）重新指定爲持作出售（「HFS」）						(96)						(591)						(131)						(591)
實際和預測房價						603						1,901						1,929						4,005
實際和預計利率						248						(260)						15						(284)
其他(2)						24						21						290						146
針對信貸損失的單一家庭福利（準備金）						451						736						1,334						2,201
多家庭信用損失福利（準備金）：
貸款活動的變化(1)						(278)						(103)						(444)						(187)
實際和預計利率						81						(242)						(20)						(234)
實際和預測經濟數據(3)						(83)						234						(154)						(69)
其他(2)						(144)						27						(209)						75
多家庭信用損失福利（準備金）						(424)						(84)						(827)						(415)
信用損失的總收益（撥備）						$	27					$	652					$	507					$	1,786
預期信用增強復甦的變化：(4)
獨棟住宅						$	(45)					$	(170)					$	(134)					$	(298)
多個家庭						134						42						323						130
預期信用增強復甦的變化						$	89					$	(128)					$	189					$	(168)

(1)主要包括貸款收購、清算、貸款拖欠的變化以及確定無法收回的金額的註銷。對於多家庭來說，「貸款活動的變化」還包括因貸款拖欠而導致的津貼變化以及基於更新的財產財務信息（用於評估貸款信用質量）的償債覆蓋率（「DSRC」）變化的影響。

(2)包括應計應收利息撥備和模型增強的影響。還包括未單獨包含在其他部分中的我們擔保損失準備金的任何福利或撥備。從截至2024年3月31日的期間開始，單戶還包括釋放與之前指定爲問題債務重組（「TLR」）的貸款相關的經濟減讓，這些貸款在此期間獲得了損失緩解安排。先前期間已更新以符合本期列報方式。

(3)主要包括預計房地產淨營業收入、實際和預計房地產價值以及勞動力市場預測的變化。

(4)包括來自我們獨立信用增強措施的估計福利變化。從截至2023年12月31日的期間開始，本表中列出的「預期信用增強復甦的變化」包括與活躍和非活躍貸款相關的活動。此前，此演示僅包括主動貸款。先前期間已更新以符合本期列報方式。

房利美2024年第三季度10-Q表格						13

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			MD&A|綜合經營業績

信貸損失的單一家庭福利（規定）

我們2024年第三季度的單戶信貸損失福利主要是由預測房價增長的好處以及實際和預測利率的好處推動的，部分被貸款活動變化的撥備所抵消，如下所述。此外，我們截至2024年9月30日的貸款損失備抵考慮了颶風海倫的潛在影響。

•受益於預測的房價增長。 2024年第三季度，我們對未來房價的預測有所改善。房價上漲會降低貸款違約的可能性，並減少違約貸款的損失金額，這會影響我們對損失的估計，並最終減少我們的損失準備金和信用損失撥備。有關房價如何影響我們的信用損失估計的更多信息，請參閱2023年表格10-k中的「關鍵市場經濟指標」。有關房價增長和我們的房價預測的討論，請參閱本報告中的「關鍵市場經濟指標」。另請參閱本報告中的「關鍵會計估計」，了解有關我們房價預測的更多信息。

•受益於實際和預計利率。 2024年第三季度實際和預計利率下降，降低了違約的可能性，從而爲信用損失帶來了好處。

•貸款活動變化撥備。 這包括對新收購貸款的撥備，主要是受我們2024年第三季度單戶收購的信用風險狀況驅動的，其中主要包括購買貸款。購買貸款通常比再融資貸款具有更高的初始貸款與價值（「LTV」）比率;因此，購買貸款比再融資貸款具有更高的估計違約風險和備抵損失嚴重程度，並且在收購時相應更高的信用損失撥備。

我們2024年前9個月的單戶信貸損失福利主要是由實際和預測房價增長的好處推動的，部分被貸款活動變化的撥備所抵消。

•受益於實際和預測的房價增長。 2024年前9個月，實際房價漲幅超過了最初的預期，我們對未來房價的預測也有所改善。

•貸款活動變化撥備。 這包括對新收購貸款的撥備，主要是受我們2024年前9個月單戶收購的信用風險狀況驅動的，其中主要包括購買貸款。

我們2023年第三季度和2023年前9個月的單戶信貸損失福利主要由實際和預測房價增長的好處推動，部分被與將貸款從HFI重新指定爲HFS相關的撥備以及貸款活動變化撥備所抵消，如下所述：

•受益於實際和預測的房價增長。 2023年第三季度和前9個月，我們觀察到實際和預測房價上漲強於預期。

•將貸款從HFI重新指定爲HFS的撥備。 我們將某些不良和可再生單戶貸款從HFI重新指定爲HFS，因爲我們不再打算在可預見的未來或到期持有它們。重新指定這些貸款後，我們按成本或公允價值兩者中的較低者記錄貸款，並在貸款損失撥備中沖銷。2023年第三季度，我們重新指定了攤銷成本爲31億美元的貸款，並對63800萬美元的貸款損失備抵進行了相關覈銷。重新指定貸款的利率低於當前市場利率，因此，如果貸款的公允價值超過重新指定時的公允價值，我們就信貸損失額外撥備。

•貸款活動變化撥備。 這包括新收購貸款的撥備，主要是由於我們單戶收購中由購買貸款組成的部分增加而推動的。

多家庭信貸損失福利（準備金）

我們在2024年第三季度爲多家庭信用損失做出的撥備主要是由期內減記至淨可收回金額的某些可調利率常規貸款推動的。我們還確認了信用損失撥備，因爲與我們之前的預測相比，我們的本期預測預計多家庭財產價值將進一步小幅下降，預計多家庭財產價值將在更長的時間內改善。

我們的多家庭津貼和截至2024年9月30日的信用損失估計也考慮了不確定性。這包括與多家庭財產價值相關的不確定性，以及因正在對涉嫌欺詐的多家庭貸款交易進行調查而產生的不確定性，這可能會增加違約風險。有關可能發生欺詐的多家庭貸款交易的更多信息，請參閱「多家庭業務-多家庭抵押信貸風險管理-多家庭擔保書多元化和監控」。

房利美2024年第三季度10-Q表格						14

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			MD&A|綜合經營業績

我們在2024年前9個月爲多家庭信用損失做出的撥備主要是由我們多家庭擔保業務賬簿中的貸款違約驅動的，包括嚴重拖欠並減記至淨可收回金額的可調利率傳統貸款的撥備、估計實際和預計多家庭財產價值下降以及上述不確定性撥備。與不確定性相關的撥備已包含在上表的「其他」中，與多家庭財產價值相關的撥備（包括收回時間的變化）包含在上表的「實際和預測經濟數據」中。

2023年第三季度我們爲多家庭信用損失撥備的最大驅動因素是實際和預測利率撥備。由於再融資利率上升，利率上升增加了到期餘額龐大的貸款無法再融資的可能性。此外，利率上升增加了可調利率貸款的成本，從而增加了這些貸款的預期減損和信用損失撥備。

這一因素的影響被2023年第三季度實際和預測經濟數據的好處所抵消。實際和預測經濟數據的好處主要是由我們長期經濟預測假設變化的影響推動的，但這一影響被多戶房產價值的持續下跌部分抵消。

我們在2023年前9個月爲多家庭信用損失做出的撥備主要由上述實際和預測利率驅動。

其他費用，淨額

其他費用（淨額）包括債務消除損益、與法律索賠相關的費用、止贖財產收入（費用）、合夥投資的損益、住房信託基金費用、貸款次級服務成本以及與某些損失減輕活動相關的服務人員費用。2023年第三季度，我們確認了4.91億美元的費用，這兩起案件合併在美國哥倫比亞特區地方法院審理，這兩起案件涉及陪審團裁決和房利美優先股東的判決前利息裁決。

房利美2024年第三季度10-Q表格						15

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			MD&A|合併資產負債表分析

合併資產負債表分析

本節討論我們的簡明綜合資產負債表，應與我們的簡明綜合財務報表和隨附註釋一起閱讀。

濃縮合並資產負債表摘要
						截至
						2024年9月30日						2023年12月31日						方差
						(百萬美元)
資產
現金及現金等價物						$	38,146					$	35,817					$	2,329
受限現金和現金等價物						38,626						32,889						5,737
根據轉售協議購買的證券						18,065						30,700						(12,635)
按公允價值計算的證券投資						61,790						53,116						8,674
按揭貸款：
房利美						52,720						50,325						2,395
合併信託						4,093,594						4,094,036						(442)
貸款損失準備						(7,656)						(8,730)						1,074
抵押貸款，扣除貸款損失備抵						4,138,658						4,135,631						3,027
遞延稅項資產，淨額						10,968						11,681						(713)
其他資產						28,303						25,603						2,700
總資產						$	4,334,556					$	4,325,437					$	9,119
負債和權益
債務：
房利美						$	121,715					$	124,065					$	(2,350)
合併信託						4,096,063						4,098,653						(2,590)
其他負債						26,248						25,037						1,211
總負債						4,244,026						4,247,755						(3,729)
房利美股東權益：
高級優先股						120,836						120,836						—
其他淨赤字						(30,306)						(43,154)						12,848
權益總額						90,530						77,682						12,848
負債和權益總額						$	4,334,556					$	4,325,437					$	9,119

限制性現金和現金等價物

2023年12月31日至2024年9月30日期間受限制現金和現金等值物的增加主要是由於合併信託持有的貸款預付款增加，導致期末信託持有的現金餘額增加。

根據轉售協議購買的證券和證券投資，按公允價值

2023年12月31日至2024年9月30日，按公允價值計算的證券投資增加以及根據轉售協議購買的證券減少的主要驅動因素是，轉向將2024年第三季度發行的債務融資收益投資於長期美國國債，而不是將這些資金投資於根據轉售協議購買的證券。有關更多信息，請參閱「流動性和資本管理-流動性管理-企業流動性投資組合」。

抵押貸款，扣除津貼

我們的簡明綜合資產負債表中報告的抵押貸款被分類爲HFS或HFI，包括房利美擁有的貸款和合並信託持有的貸款。

房利美2024年第三季度10-Q表格						16

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			MD&A|合併資產負債表分析

2023年12月31日至2024年9月30日，扣除貸款損失備抵後的抵押貸款有所增加，主要原因是2024年前9個月收購超過了貸款償還、清算和銷售，以及我們的貸款損失備抵下降。

有關我們的抵押貸款的更多信息，請參閱「註釋4，抵押貸款」，有關我們的貸款損失備抵變更的更多信息，請參閱「註釋5，貸款損失備抵」。

債務

2023年12月31日至2024年9月30日期間，房利美債務減少是由於贖回速度超過了新發行速度。2023年12月31日至2024年9月30日合併信託債務的減少主要是由於房利美MBS的清算速度超過發行速度。請參閱「流動性和資本管理-流動性管理-債務融資」，了解房利美債務活動摘要以及未償短期和長期債務的信息。另請參閱「注8，短期和長期債務」，了解有關我們未償債務總額的更多信息。

股東權益

截至2024年9月30日，我們的股東權益（也稱爲我們的淨資產）增加至905億美元，而截至2023年12月31日爲777億美元，原因是2024年前9個月確認的綜合收益爲128億美元。

保留按揭貸款組合

我們使用保留抵押貸款投資組合主要是爲了通過投資組合證券化交易爲抵押貸款市場提供流動性，並支持我們的損失緩解活動。

我們的保留抵押貸款組合由我們擁有的抵押貸款和抵押貸款相關證券組成，包括房利美MBS和非房利美抵押貸款相關證券。支持第三方擁有的抵押貸款相關證券的合併MBS信託持有的資產不包括在我們的保留抵押貸款投資組合中。

我們根據每種工具的用途將保留抵押貸款組合中的工具分爲三個類別：

•暫停流動性，其中包括與我們的投資組合證券化活動相關的餘額，支持我們爲單戶和多戶抵押貸款市場提供流動性的努力。

•丟失緩解 通過從MBS信託購買拖欠貸款來支持我們的損失緩解工作。

•其他 代表我們之前出於投資目的購買的資產。

房利美2024年第三季度10-Q表格						17

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			MD&A|保留按揭貸款組合

下表顯示了我們保留抵押貸款組合的組成部分。根據資產的性質，這些餘額包括在上表「簡明合併資產負債表摘要」中的「按公允價值計算的證券投資」或「扣除貸款損失撥備的抵押貸款」中。

保留按揭貸款組合
						截至
						2024年9月30日						2023年12月31日
						(百萬美元)
排除流動性：
機構證券(1)						$	31,227					$	27,823
按揭貸款						9,370						7,101
貸方流動性總額						40,597						34,924
損失減輕抵押貸款(2)						40,649						38,634
其他：
反向抵押貸款和證券(3)						3,897						5,953
其他抵押貸款和證券(4)						2,754						3,683
總計其他						6,651						9,636
保留抵押貸款組合總額						$	87,897					$	83,194
按部門劃分的保留抵押貸款組合：
單戶抵押貸款和抵押相關證券						$	82,454					$	77,357
多家庭抵押貸款和抵押相關證券						$	5,443					$	5,837

(1)由房利美、房地美和金尼梅抵押貸款相關證券組成，包括由房利美擔保的房地美證券。不包括房利美和Ginnie Mae反向抵押貸款證券以及房利美包裝的自有品牌證券。

(2)包括截至2024年9月30日和2023年12月31日的非應計狀態單戶貸款分別爲98億美元和81億美元。還包括截至2024年9月30日和2023年12月31日的非應計狀態的多家庭貸款，分別爲29億美元和20億美元。

(3)包括房利美和金尼梅反向抵押貸款證券。我們於2010年停止收購新發起的反向抵押貸款。

(4)其他抵押貸款主要包括應計狀態的多家庭貸款和不包括在損失緩解或貸方流動性類別中的單家庭貸款。其他抵押貸款證券主要包括自有品牌證券和抵押貸款收入債券。

根據我們與財政部達成的高級優先股購買協議的條款，我們可能擁有的抵押貸款資產金額上限爲2250億美元。此外，根據FHFA的指示，我們目前需要將抵押貸款資產上限爲2025億美元。在計算保留抵押貸款投資組合的規模時，我們將持有的僅利息證券名義價值的10%納入其中，以確定是否符合高級優先股購買協議抵押貸款資產上限和相關FHFA指令。截至2024年9月30日，我們的利息證券名義價值的10%爲16億美元，未包括在上表中。

根據我們的MBS信託文件的條款，我們可以選擇或在某些情況下有義務從MBS信託購買符合特定標準的抵押貸款。這些貸款的購買價格是貸款的未付本金餘額加上應計利息。如果拖欠貸款仍然存在於單家庭MBS信託中，則服務機構負責將借款人錯過的預定本金和利息支付預付給MBS持有人長達四個月，之後我們必須支付這些錯過的付款。此外，我們必須償還服務商預付的本金和利息。

爲了支持我們的損失緩解策略，我們在2024年前9個月從單家庭MBS信託購買了96億美元的貸款，其中絕大多數是拖欠的，而2023年前9個月從單家庭MBS信託購買了69億美元的貸款。

房利美2024年第三季度10-Q表格						18

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			MD&A|保證業務賬簿

保證業務賬簿

我們的「業務擔保書」包括：

•房利美未償MBS，不包括我們發行的任何由房地美證券支持的結構性證券部分;

•我們保留抵押貸款組合中持有的房利美抵押貸款;以及

•我們對抵押貸款資產提供的其他信用增強措施。

「房利美擔保總額」包括：

•我們的業務擔保書;和

•我們發行的任何結構性證券中由房地美證券支持的部分。

我們和房地美髮行單一家庭統一抵押貸款支持證券（「UMBS」）。我們使用「房利美MBS」或「我們的MBS」一詞來指代我們發行的任何類型的抵押貸款支持證券，包括UMBS®，超級球員®、房地產抵押投資管道證券（「REMICs」）和其他類型的單戶或多戶抵押貸款支持證券。

我們發行的一些房利美MBS全部或部分由房地美證券支持。當我們將房地美證券重新證券化爲房利美髮行的結構性證券（例如Supers和REMICs）時，我們的本金和利息擔保擴展到基礎房地美證券。然而，房地美繼續擔保我們已重新認證的房地美基礎證券的本金和利息的支付。對我們單一家庭擔保業務賬簿的引用不包括房地美收購的抵押貸款，我們已重新認證的房地美證券的基礎。

我們發行的全部或部分由房地美證券支持的結構性證券會產生額外的表外風險。我們的擔保延伸到結構性證券中包含的基礎房地美證券，但我們對房地美抵押貸款證券化沒有控制權。由於我們無權指導影響我們所面臨的信用風險的事項（主要是抵押貸款的服務），這些風險構成了對這些證券化信託的控制，因此我們不會將這些信託合併到我們的簡明合併資產負債表中，從而導致表外風險。請參閱「流動性和資本管理-流動性管理-資產負債表外安排」和「註釋7，財務擔保」，了解有關我們未合併房利美MBS和房地美證券最大損失風險的信息。

下表顯示了我們基於未付本金餘額的擔保業務賬簿的組成。

房利美擔保業務賬簿的構成
						截至
						2024年9月30日																		2023年12月31日
						獨棟住宅						多個家庭						總						獨棟住宅						多個家庭						總
						(百萬美元)
常規業務擔保書(1)						$	3,643,490					$	487,715					$	4,131,205					$	3,647,344					$	471,812					$	4,119,156
政府擔保營業簿(2)						6,077						491						6,568						7,901						520						8,421
營業保證書						3,649,567						488,206						4,137,773						3,655,245						472,332						4,127,577
房利美擔保的房地美證券(3)						203,742						—						203,742						215,605						—						215,605
房利美擔保總額						$	3,853,309					$	488,206					$	4,341,515					$	3,870,850					$	472,332					$	4,343,182

(1)指未經美國政府全部或部分擔保或保險的抵押貸款和抵押相關證券。

(2)指由美國政府全部或部分擔保或保險的抵押貸款和抵押相關證券。

(3)由表外安排組成：（i）截至2024年9月30日和2023年12月31日，房地美髮行的UMBS支持房利美髮行的Supers的未付本金餘額分別約爲1，702億美元和1，796億美元;和（ii）截至2024年9月30日和12月31日，支持房利美髮行的REMICs的房地美證券未付本金餘額爲335億美元和360億美元，分別爲2023年。請參閱「流動性和資本管理-流動性管理-資產負債表外安排」，了解有關我們合併房利美MBS和房地美證券最大損失風險敞口的更多信息。

新業務和經濟適用住房分配

《GSE法案》要求我們每年撥出相當於新企業購買未付本金餘額4.2個點子的金額，並將這筆金額支付給指定的美國住房和城市發展部（「HUD」）和財政部基金，以支持經濟適用房。2024年3月，我們向基金支付了15500萬美元

房利美2024年第三季度10-Q表格						19

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			MD&A|保證業務賬簿

我們將於2023年購買新業務。2024年前9個月，我們根據期內2，739億美元的新業務採購確認了與該義務相關的11500萬美元費用。我們預計將在2025年向這些基金支付這筆金額，並根據2024年第四季度的新業務購買而應計的額外金額。

業務細分

我們有兩個可報告的業務部門：單家庭和多家庭。下圖顯示了2024年前9個月與2023年前9個月相比我們各業務板塊的淨收入和淨利潤。淨收入包括淨利息收入、手續費和其他收入。

業務部門淨收入和淨利潤

(數十億美元)

在以下部分中，我們描述了每個部門的業務指標、財務業績和信用績效。

單一家族企業

本部分補充和更新了2023年表格10-k中有關單家族業務部門的信息。請參閱我們2023年10-k表格中的「MD & A-單一家族企業」，了解有關我們單一家族企業的主要業務活動、貸方、投資者和競爭的更多信息。

單戶抵押貸款市場

與2024年第二季度相比，2024年第三季度的住房活動總量有所下降。根據全國房地產經紀人協會的數據，2024年第三季度現房銷量平均爲389萬套，而2024年第二季度爲405萬套®.根據美國人口普查局的數據，2024年第三季度新單戶住宅銷售平均年率約爲724，000套，而2024年第二季度約爲693，000套。

根據房地美的一級抵押貸款市場調查，截至2024年9月26日，30年期固定抵押貸款平均利率爲6.08%，而截至2024年6月27日爲6.86%，2024年第三季度平均利率爲6.51%，而2024年第二季度爲7.00%®.

單戶抵押貸款市場發放額從2023年第三季度的估計4，110億美元小幅增加至2024年第三季度的估計4，430億美元。根據我們的經濟與戰略研究小組10月份的預測，2024年美國單戶抵押貸款市場的發放總額預計將比2023年的水平增加約11%，從2023年的估計1.5萬億美元增加到2024年的1.67萬億美元，預計美國單戶抵押貸款市場的再融資金額將從2023年的估計2210億美元增加到2024年的3680億美元。我們的經濟與戰略研究小組的10月份預測基於截至2024年10月11日的可用數據。請參閱2023年表格10-k中的「關鍵市場經濟指標」，以進一步討論住房活動如何影響我們的財務業績以及可能影響我們預測和預期的不確定性。

房利美2024年第三季度10-Q表格						20

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			MD&A|單一家族企業|單一家庭抵押貸款相關證券發行份額

單一家庭抵押貸款相關證券發行份額

2024年第三季度，我們的單一家庭房利美MBS發行量爲923億美元，而2023年第三季度爲876億美元。根據可用的最新數據，下圖顯示了我們在所示期間發行單戶抵押貸款相關證券的估計份額與我們主要競爭對手發行單戶抵押貸款相關證券的份額進行了比較。

單一家庭抵押貸款相關證券發行份額

吉妮·梅

自有品牌證券

聯邦抵押協會

房地美

幾個季度以來，我們在收購單戶抵押貸款資產方面面臨着越來越激烈的競爭，這影響了我們在單戶貸款收購中的份額，進而影響了我們在單戶抵押貸款相關證券發行中的份額。

我們的市場份額受到不同變量的影響，例如我們的單戶貸款定價和競爭激烈的市場環境。有關單戶貸款定價和收購的決定包含不同的、有時甚至是競爭的因素，正如我們2024年第一季度的「MD & A-單戶企業-單戶抵押貸款相關證券發行股份」中所討論的那樣。有關影響或可能影響我們的業務、競爭環境、MBS的需求或MBS的流動性和市場價值的因素的討論，以及與我們的託管相關的風險、我們相對於主要競爭對手的資本要求、我們的住房目標、UMBS市場和MBS的表現，請參閱“業務託管和財政協議，“我們2023年表格10-k中的「商業立法和監管」、「風險因素」和「MD & A-單一家庭企業-單一家庭競爭」。

房利美2024年第三季度10-Q表格						21

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			MD&A|單一家族企業|單一家族企業收件箱

單一家族企業收件箱

選擇業務收件箱

下圖顯示了我們在單戶傳統擔保業務賬簿和新的單戶傳統貸款收購中收取的平均擔保費（扣除TCA費用），以及我們在所示期間的平均單戶傳統擔保業務賬簿和單戶傳統貸款收購。

選擇單一家族企業收件箱(1)

(數十億美元)

單戶傳統擔保業務賬簿上收取的平均擔保費，扣除TCA費用(2)

平均單戶常規業務擔保書(3)

新的單戶傳統收購的平均收取擔保費，扣除TCA費用(2)

單家族傳統收購

(1)爲了獲取這一「單一家庭業務」部分中報告的信息，我們的單一家庭常規擔保業務賬簿是使用我們的抵押貸款的未償還本金餘額來衡量的，這些貸款是作爲房利美未償還MBS的基礎。相比之下，在「擔保商業賬簿」部分的「房利美擔保商業賬簿的構成」表中介紹的單一家庭常規擔保業務賬簿是基於未償還的房利美MBS的未償還本金餘額，而不是基礎抵押貸款的未償還本金餘額。這些金額的差異主要是因爲我們收到了尚未支付給MBS持有人的標的貸款的付款，或者我們提前支付了未達到預期的借款人的抵押貸款款項，以便向相關MBS持有人進行必要的分配。根據本節報告的信息來衡量，截至2024年9月30日，我們的單系列常規擔保業務賬簿爲36274美元億，截至2023年12月31日，我們的單系列常規擔保業務賬簿爲36367美元億。

(2)    不包括根據TCA實施的擔保費增加10個點子的影響，其中的增量收入支付給財政部，而不是由我們保留。

(3) 我們的單戶傳統擔保業務賬簿主要由房利美未償MBS基礎的單戶傳統抵押貸款組成。它還包括我們保留抵押貸款組合中持有的房利美單戶傳統抵押貸款，以及我們對單戶傳統抵押貸款資產提供的其他信用增強措施。我們的單戶傳統擔保業務賬簿不包括：（a）由美國政府全部或部分擔保或保險的抵押貸款;（b）我們已重新認證的房地美收購的、房地美髮行的UMBS相關抵押貸款;或（c）我們不提供擔保的非房利美單戶抵押貸款投資組合中持有的非房利美單戶抵押相關證券。我們的平均單戶傳統擔保業務賬簿基於季度末餘額的平均值。

2024年第三季度，我們的單戶常規貸款收購量仍處於較低水平。儘管2024年第三季度利率有所下降，但該季度平均30年期固定利率抵押貸款利率仍高於大多數未償單戶貸款的利率，導致再融資量較低。此外，住房負擔能力限制和供應有限繼續給我們獲得的購房貸款數量帶來下行壓力。

新獲得的傳統單戶貸款的平均收取擔保費是管理層用來衡量我們爲管理的信用風險補償而賺取的金額並評估我們的回報的指標。平均收取的擔保費按年化計算，代表我們在單戶傳統擔保安排期間收取的基本擔保費的平均值，我們在貸款期限內每月收到該費用，加上任何預付現金付款的確認，包括貸款水平價格調整，基於收購時的估計平均壽命。與2023年第三季度相比，2024年第三季度，我們對新獲得的傳統單戶貸款收取的平均擔保費（扣除TCA費用）保持相對持平。

房利美2024年第三季度10-Q表格						22

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			MD&A|單一家族企業|單一家族企業財務業績

單一家族企業財務業績

本節討論我們單一家族企業淨收入的主要組成部分。該信息補充了「合併經營業績」中對財務業績的討論。

單一家族企業財務業績(1)
						截至9月30日的三個月，																		在截至9月30日的9個月內，
						2024						2023						方差						2024						2023						方差
						(百萬美元)
淨利息收入(2)						$	6,131					$	6,074					$	57					$	18,101					$	17,663					$	438
手續費及其他收入						48						56						(8)						154						156						(2)
淨收入						6,179						6,130						49						18,255						17,819						436
投資收益（損失），淨						9						9						—						(48)						(35)						(13)
公允價值收益（損失），淨額						(8)						742						(750)						930						1,368						(438)
行政費用						(766)						(745)						(21)						(2,327)						(2,183)						(144)
信用損失福利（撥備）						451						736						(285)						1,334						2,201						(867)
TCA費用(2)						(862)						(860)						(2)						(2,581)						(2,571)						(10)
信用增強費用						(336)						(335)						(1)						(1,022)						(949)						(73)
預期信用增強復甦的變化(3)						(45)						(170)						125						(134)						(298)						164
其他費用，淨額(4)						(218)						(411)						193						(612)						(730)						118
聯邦所得稅前收入						4,404						5,096						(692)						13,795						14,622						(827)
關於聯邦所得稅的規定						(890)						(1,071)						181						(2,819)						(3,071)						252
淨收入						$	3,514					$	4,025					$	(511)					$	10,976					$	11,551					$	(575)

(1)有關我們的分部分配方法的信息，請參閱「註釋10，分部報告」。

(2)反映了根據TCA實施的擔保費增加10個點子的影響，其中的增量收入支付給財政部。由此產生的收入計入「淨利息收入」，費用確認爲「TCA費用」。

(3)包括我們的單戶獨立信用提升計劃的福利估計變化以及任何已實現金額，這主要與我們的CAS和Cirt計劃有關。

(4)包括債務消滅損益、與法律索賠相關的費用、止贖財產收入（費用）、合夥投資的損益、住房信託基金費用、貸款次級服務成本以及與某些損失減輕活動相關支付的服務費。

淨利息收入

與2023年第三季度相比，2024年第三季度單戶淨利息收入保持相對持平。基本擔保費收入的增加和對沖會計費用的減少被較低的淨遞延擔保費收入大大抵消。

與2023年前9個月相比，2024年前9個月的單戶淨利息收入增加主要是由於基礎擔保費收入增加和投資組合淨利息收入增加，部分被較低的淨遞延擔保費收入所抵消。

單一家庭分部的淨利息收入驅動因素與我們簡明綜合經營報表和全面收益中的淨利息收入驅動因素一致。有關影響我們單戶淨利息收入因素的更多信息，請參閱「合併經營業績-淨利息收入」。

公允價值收益（損失），淨值

公允價值損失，淨值 三季度 2024年的主要是由於抵押貸款承諾衍生品、以公允價值持有的合併信託長期債務和風險管理衍生品的損失，所有這些都主要是由於2003年第三季度利率下降 2024.這些公允價值損失被2003年第三季度固定利率交易證券的公允價值收益大幅抵消 2024這也主要是由於2013年第三季度利率下降 2024.

2024年前9個月的公允價值淨收益由固定利率交易證券和風險人收益推動應收賬款衍生品，部分被按公允價值持有的合併信託的長期債務損失和抵押貸款承諾衍生品所抵消。

房利美2024年第三季度10-Q表格						23

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			MD&A|單一家族企業|單一家族企業財務業績

2023年第三季度和前9個月的公允價值淨收益主要由抵押貸款承諾衍生品、風險管理衍生品和以公允價值持有的合併信託長期債務的收益推動，主要是由於利率上升。這些收益被主要由利率上升推動的固定利率交易證券價格下跌的影響部分抵消。

單一家庭分部公允價值損益的驅動因素通常與我們的簡明綜合經營報表和全面收益中公允價值損益的驅動因素一致，我們在「綜合經營業績-公允價值收益（虧損），淨」中對此進行了討論。

信用損失的福利（準備金）

請參閱「合併運營業績-信貸損失福利（撥備）」以了解我們的單戶信貸損失福利的討論。

其他費用，淨額

2023年第三季度，其他費用（淨額）包括陪審團裁決和房利美優先股東判決前利息的訴訟費用，其中43700萬美元分配給單一家族業務部門。

單戶抵押貸款信用風險管理

本節更新了我們在2023年表格10-k中對單戶抵押貸款信用風險管理的討論。有關我們的單家庭收購和服務政策、承保和服務標準、質量控制流程、回購請求以及代表和擔保框架的更多信息，請參閱我們2023年表格10-k中的「MD & A-單家庭企業-單家庭抵押信貸風險管理」。

單戶收購和服務政策以及承保和服務標準

桌面保險商更新

作爲我們全面風險管理方法的一部分，我們定期更新我們專有的自動承保系統桌面承保®(“DU®“)，以反映我們的承保和資格準則的變化。2024年3月，我們對DU進行了更新，允許貸款人在DU驗證服務中使用單一的12個月資產驗證報告，以識別申請人數字銀行對賬單數據中的經常性存款，從而一步自動驗證收入和就業以及資產。同樣的報告也可以用來識別和考慮申請人的積極租金支付和現金流歷史。我們相信，這一更新可能會幫助貸款人提高運營效率和降低成本，並可能通過租金識別和現金流評估來評估資格，從而增加在DU獲得批准/合格建議的借款人數量。我們將繼續密切關注貸款收購和市場狀況，並在適當情況下對DU進行修改，包括其資格標準，以使我們獲得的貸款符合我們的風險偏好和使命。

新的信用評分模型和信用報告要求

房利美使用信用評分來確定抵押貸款的最低信用門檻，爲基於風險的定價提供基礎，並支持向投資者披露。我們目前使用“經典FICO® Fair Isaac Corporation的「評分」作爲我們的信用評分模型，已獲得FHFA批准。

2022年10月，FHFA宣佈驗證和批准房利美和房地美使用的兩個新信用評分模型：FICO® 評分10萬億信用評分模型和VantageScore® 4.0信用評分模型。實施後，貸方將被要求在出售給我們的每筆貸款時提供FICO Score 10萬億和VantageScore 4.0信用評分，從而取代經典的FICO Score模型。FHFA還於2022年10月宣佈，房利美和房地美將努力改變貸方提供所有三家全國消費者報告機構信用報告的要求。相反，我們將要求貸方提供三家全國消費者報告機構中至少兩家的信用報告（稱爲新的雙合併信用報告要求）。

2024年2月，FHFA宣佈了有關對房利美和房地美收購的貸款實施新的信用評分要求以及新的雙合併信用報告要求的更新。FHFA宣佈，兩項新要求的實施日期將進行一致，預計將於2025年第四季度實施。FHFA還宣佈，爲了更好地支持市場參與者進行這一轉變，房利美和房地美將加速發佈VantageScore 4.0歷史數據至2024年第三季度初，並於2024年7月公佈了這一歷史數據。FHFA主任表示，同步雙合併

房利美2024年第三季度10-Q表格						24

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

實施新的信用評分模型要求的信用報告將降低市場參與者的複雜性。

單戶保證書多元化和監控

下表顯示了我們的單戶傳統業務量和單戶傳統擔保業務賬簿，基於我們用於評估單戶貸款的風險狀況和信用質量的某些關鍵風險特徵。有關我們單戶傳統擔保業務賬簿的關鍵風險特徵的描述，請參閱我們2023年表格10-k中的「MD & A-單戶企業-單戶抵押信貸風險管理-單戶擔保賬簿多元化和擔保-概述」。

我們在季度財務增刊中提供有關單戶貸款信用特徵的更多信息，我們將這些信息與8-k表格的當前報告一起向美國證券交易委員會（「SEC」）提供，並在我們的網站上提供。我們季度財務補充中的信息並未以引用的方式納入本報告中。

房利美2024年第三季度10-Q表格						25

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

單一家庭常規業務量和業務擔保賬簿的關鍵風險特徵(1)
						收購時佔單家族傳統業務量的百分比(2)																											單戶傳統住房的百分比 保證業務賬簿(3) 截至
						截至9月30日的三個月，												在截至9月30日的9個月內，
						2024						2023						2024						2023									2024年9月30日									2023年12月31日
原始LTV比率：(4)
<= 60%						17			%			16			%			17			%			16			%						25			%						25			%
60.01%至70%						11						10						10						10									14									14
70.01%至80%						33						34						33						33									33									33
80.01%至90%						15						16						16						16									11									11
90.01%至95%						17						17						17						19									12									12
95.01%至100%						7						7						7						6									4									4
大於100%						—						—						—						—									1									1
總						100			%			100			%			100			%			100			%						100			%						100			%
加權平均						77			%			78			%			78			%			78			%						73			%						73			%
平均貸款額						$	332,039					$	331,073					$	330,682					$	321,385								$	209,020								$	207,883
貸款計數（單位：千）						281						269						730						765									17,354									17,494
估計的市值LTV比率：(5)
<= 60%																																	70			%						68			%
60.01%至70%																																	12									14
70.01%至80%																																	10									10
80.01%至90%																																	5									5
90.01%至100%																																	3									3
大於100%																																	*									*
總																																	100			%						100			%
加權平均																																	50			%						51			%
FICO信用評分爲 起源：(6)
< 620						*			%			*			%			*			%			*			%						*			%						*			%
620至< 660						2						2						2						3									3									4
660至< 680						3						3						3						3									4									4
680至< 700						5						5						5						5									6									6
700至< 740						18						19						18						20									20									20
>= 740						72						71						72						69									67									66
總						100			%			100			%			100			%			100			%						100			%						100			%
加權平均						759						757						758						755									753									753
啓動時的債務與收入（「RTI」）比率：(7)
<= 43%						63			%			65			%			63			%			65			%						74			%						75			%
43.01%至45%						10						10						10						10									9									9
大於45%						27						25						27						25									17									16
總						100			%			100			%			100			%			100			%						100			%						100			%
加權平均						38			%			38			%			38			%			38			%						35			%						35			%

房利美2024年第三季度10-Q表格						26

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

						收購時佔單家族傳統業務量的百分比(2)																											單戶傳統住房的百分比 保證業務賬簿(3) 截至
						截至9月30日的三個月，												在截至9月30日的9個月內，
						2024						2023						2024						2023									2024年9月30日									2023年12月31日
產品類型：
固定費率：(8)
長期的						96			%			97			%			96			%			96			%						89			%						87			%
中期任用						3						2						3						3									10									12
固定利率總額						99						99						99						99									99									99
可調率						1						1						1						1									1									1
總						100			%			100			%			100			%			100			%						100			%						100			%
物業單元數量：
1單位						97			%			98			%			97			%			98			%						97			%						98			%
2-4單位						3						2						3						2									3									2
總						100			%			100			%			100			%			100			%						100			%						100			%
房產類型：
單戶住宅						92			%			91			%			91			%			91			%						91			%						91			%
公寓/合作社						8						9						9						9									9									9
總						100			%			100			%			100			%			100			%						100			%						100			%
職業類型：
主要住所						93			%			93			%			93			%			92			%						91			%						91			%
第二/度假屋						2						2						2						2									3									3
投資者						5						5						5						6									6									6
總						100			%			100			%			100			%			100			%						100			%						100			%
貸款目的：
購買						86			%			88			%			86			%			86			%						47			%						45			%
現金再融資						8						8						9						10									20									20
其他再融資						6						4						5						4									33									35
總						100			%			100			%			100			%			100			%						100			%						100			%
地理集中：(9)
中西部						17			%			15			%			16			%			14			%						14			%						14			%
東北方向						15						14						14						13									16									16
東南						26						27						27						28									23									23
西南						22						23						22						24									19									19
西						20						21						21						21									28									28
總						100			%			100			%			100			%			100			%						100			%						100			%
起源年份：
2018年及之前																																	19			%						21			%
2019																																	4									4
2020																																	22									24
2021																																	28									30
2022																																	13									13
2023																																	8									8
2024																																	6									—
總																																	100			%						100			%

* 佔單戶傳統業務量或業務擔保賬簿的不到0.5%。

房利美2024年第三季度10-Q表格						27

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

(1)第三方持有的第二抵押貸款並未反映在原始LTV或本表中的估計按市值計算LTV比率中。

(2)根據收購時各類別單戶貸款未付本金餘額計算。

(3)根據各類別單戶貸款的未付本金餘額總額除以每個期末單戶常規擔保業務賬簿中貸款的未付本金餘額總額計算。

(4)原始LTV比率通常基於貸款原始未付本金餘額除以獲得貸款時向我們報告的評估物業價值。不包括無法獲得此信息的貸款。

(5)總估計的按市值計價LTV比率基於截至每個報告期末貸款的未付本金餘額除以物業的估計當前價值，我們使用估計房屋價值的週期性變化的內部估值模型計算該價值。不包括無法獲得此信息的貸款。

(6)FICO信用評分不可用的貸款佔單戶傳統業務量或業務擔保賬簿的不到0.5%，因此不在本表中單獨列出。

(7)不包括無法獲得此信息的貸款。

(8)長期固定利率貸款包括期限大於15年的抵押貸款，而中期固定利率貸款的期限等於或小於15年。

(9)中西部由IL、IN、IA、MI、TN、NE、ND、OH、SD和WI組成。東北部由Ct、DE、ME、MA、NH、新澤西、NY、PA、PR、RI、VT和VI組成。東南部由AL、DC、FL、GA、KY、MD、MS、NC、SC、TN、VA和WV組成。西南航空由亞利桑那州、阿肯色州、科羅拉多州、堪薩斯州、路易斯安那州、密蘇里州、納米、奧克拉荷馬州、德克薩斯州和猶他州組成。West包括Ak、CA、GU、HI、ID、Mt、NV、OR、WA和WY。

有關可能影響我們未來獲得的貸款數量和信用特徵的因素的討論，請參閱我們2023年表格10-k中的「MD & A-單一家庭企業-單一家庭抵押信貸風險管理-單一家庭擔保書多元化和監控」。在2023年10-k表格的這一部分中，我們還提供了有關單戶傳統擔保業務賬簿中貸款信用特徵的更多信息，包括高餘額貸款和可調利率抵押貸款。

單戶增信與抵押信貸風險轉移

如果購買時LTV比率超過80%，我們的章程通常要求對我們購買或證券化的任何單戶傳統抵押貸款進行信用增強。我們通常通過初級抵押貸款保險來實現這一目標。我們還進行各種其他類型的交易，將抵押信貸風險轉移給第三方。

我們批准的單一抵押貸款保險公司的財務能力和支付索賠的意願是我們整體信用風險敞口的重要決定因素。有關我們對與這些信用增強措施提供商相關的交易對手信用風險的暴露和管理的討論，請參閱我們2023年表格10-k中的「MD & A-風險管理-機構交易對手信用風險管理」和「註釋14，信用風險集中」和本報告中的「註釋11，信用風險集中」。另請參閱我們2023年表格10-k中的「風險因素-信用風險」。

下表顯示了有關我們單戶傳統擔保業務賬簿中的貸款的信息，該擔保賬簿涵蓋了一種或多種信用增強形式，包括抵押貸款保險或信用風險轉移交易。有關表中指定的初級抵押貸款保險和其他類型信用增強措施的描述，請參閱我們2023年表格10-k中的「MD & A-單一家庭企業-單一家庭抵押貸款信用風險管理-單一家庭信用增強和抵押貸款信用風險轉移」。

具有信用增強功能的單戶貸款
						截至
						2024年9月30日												2023年12月31日
						未付本金餘額						單戶常規擔保業務賬簿比例						未付本金餘額						單戶常規擔保業務賬簿比例
			(數十億美元)
初級抵押貸款保險和其他						$	764					21		%				$	763					21		%
康涅狄格大道證券						875						24						843						24
信用保險風險轉移						425						12						399						11
企業風險分擔						46						1						52						1
減：多次信用提升覆蓋的貸款						(428)						(12)						(411)						(12)
信用增強型單戶貸款總額						$	1,682					46		%				$	1,646					45		%

房利美2024年第三季度10-Q表格						28

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

抵押信貸風險轉移

除了初級抵押貸款保險外，我們的單戶業務還開發了其他風險分擔能力，將部分單戶抵押貸款信用風險轉移到私人市場。我們的信用風險轉移交易通常旨在轉移我們預計在經濟低迷或信貸環境壓力下將產生的一部分損失。一般來說，損失補償付款是在基礎財產清算並且所有適用收益（包括私人抵押貸款保險福利）已用於減少損失後收到的。正如我們2023年10-k表格中「MD & A-單一家庭企業-單一家庭抵押信貸風險管理-單一家庭信用增強和抵押信貸風險轉移-信用風險轉移交易」中所述，我們的兩個主要單家庭信用風險轉移計劃是康涅狄格大道證券® （「CAS」）和信用保險風險轉移™（「CIRT™」）。

2024年前9個月，我們轉移了交易時未付本金餘額爲1，784億美元的單戶抵押貸款的部分抵押信貸風險。在從事信用風險轉移交易時，我們會考慮其成本、由此產生的資本減免以及市場的整體信用風險轉移能力。我們的信用風險轉移交易的成本受到宏觀經濟和房地產市場情緒以及支持這些交易的投資者和再保險公司的需求和能力的影響。容量考慮未償保險的總金額以及市場上新發行的數量。爲了應對這些因素，我們可能會選擇調整房利美保留的首次損失金額，作爲在構建我們的信用風險轉移交易時管理成本或市場容量的一種方式。

下表顯示了根據我們的單家庭信用風險轉移交易轉移給第三方並由房利美保留的總抵押貸款信用風險。該表不包括截至2024年9月30日取消或終止的單戶交易轉移的信用風險。下表還不包括通過初級抵押貸款保險獲得的保險範圍。

截至2024年9月30日未完成

(數十億美元)

高級

聯邦抵押協會(1) $1,294

優秀參考資料庫(5) $1,361

夾層

聯邦抵押協會(1) $4

CIRT(2) $15

CAS(2)(3) $14

風險共享(2)(4) $3

首次虧損

聯邦抵押協會(1) $19

CAS(2)(6) $10

風險共享(2)(4) $2

(1)房利美在CAS、Cirt和貸方風險分擔交易中保留的信用風險。還包括CAS Credit Link-Note交易中保留的信用風險，這些交易與CAS REMICs類似，只是它們允許我們在包含Refi Plus等經驗豐富貸款的參考池上獲得信用保護TM貸款各項目的份額規模各不相同。

(2)信用風險轉移給第三方。各項目的份額規模各不相同。

(3)對於CAS交易，「高級」包括我們保留的A-H份額餘額，而「夾層」包括我們出售的A-100萬.1和m-2份額餘額。2024年5月，我們創建並開始出售一部分A-1檔，這些檔優先於m-100萬.2和b檔，從屬於A-H檔，用於分配損失。

(4)代表定製的貸方風險分擔交易。在大多數交易中，貸方直接投資於其發放和/或服務的抵押貸款的一部分信用風險.

(5)對於Cirt和一些貸方風險分擔交易，「參考池」反映了一個擔保貸款池。對於CAS和一些貸方風險分擔交易，代表未償參考池，而不是基礎貸款的未償未付本金餘額。截至2024年9月30日，信用風險轉移計劃涵蓋的所有貸款（包括已在貸方風險分擔交易中轉移風險的所有貸款）的未償本金餘額爲13，460億美元。

(6)對於CAS交易，「首次損失」代表所有b檔餘額。在最近的交易中，我們保留了某些次級b類份額，這些份額在剩餘b類份額之前吸收損失。

房利美2024年第三季度10-Q表格						29

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

截至2024年9月30日，這些交易的有效風險（指信用風險轉移投資者可以吸收的最大損失金額）約爲440億美元，而截至2023年12月31日，該風險約爲420億美元。

下表顯示了有關我們在簡明綜合資產負債表中的「其他資產」中確認的信用增強恢復應收賬款的信息。截至2024年9月30日，我們的單戶獨立信用增強應收賬款與2023年12月31日相比有所減少，主要是由於我們對2024年前9個月信用損失的估計下降。隨着我們對信用損失的估計下降，我們預計從獨立信用增強措施中獲得的好處也隨之下降。

單戶信用增強收件箱
						截至
						2024年9月30日						2023年12月31日
						(百萬美元)
獨立信用增強應收賬款						$	117					$	253
初級抵押貸款保險應收賬款，扣除備抵(1)						65						54

(1)該金額已扣除截至2024年9月30日的40200萬美元和截至2023年12月31日的4.17億美元的估值備抵。絕大多數估值備抵與未付索賠金額相關的延期付款義務有關，但其收回能力不確定。

下表顯示了爲信用風險轉移交易支付或轉移給投資者和交易對手的大致現金。現金代表支付給投資者的擔保費部分，作爲承擔信用風險份額的補償。

信用風險轉移交易
						在截至9月30日的9個月內，
						2024						2023
						(百萬美元)
支付或轉移的現金用於：(1)
CAS交易(2)						$	684					$	678
Cirt交易						316						306
企業風險分擔交易						104						101

(1)就Cirt交易支付或轉移給交易對手的現金包括對某些Cirt交易支付的取消費，我們確定這些交易的成本超過了預期剩餘收益。該表不包括回購某些CAS票據時支付的現金。2024年前9個月，我們因回購8.07億美元的未償CAS票據支付了6100萬美元的購買溢價。

(2)包括爲未償CAS債務扣除LIBOR或SOFR（如適用）的利息支出支付的現金以及爲CAS REMIC支付的金額® 和CAS信用掛鉤票據交易。

房利美2024年第三季度10-Q表格						30

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

下表顯示了我們不含信用增強的單戶傳統業務擔保書中貸款的主要特徵。

目前沒有信用增強的單戶貸款
						截至
						2024年9月30日												2023年12月31日
						未付本金餘額						單戶常規擔保業務賬簿比例						未付本金餘額						單戶常規擔保業務賬簿比例
						(數十億美元)
LTV比率低或短期(1)						$	1,064					30		%				$	1,112					31		%
信貸前風險轉移計劃啓動(2)						217						6						236						6
最近收購(3)						160						4						180						5
其他(4)						760						21						730						20
減：多類別貸款						(256)						(7)						(267)						(7)
目前沒有信用提升的單戶貸款總額						$	1,945					54		%				$	1,991					55		%

(1)代表LTV比率小於或等於60%的貸款或原期限爲20年或以下的貸款。

(2)代表在我們的信用風險轉移計劃開始之前獲得的貸款。還包括Refi PlusTM貸款。

(3)代表最近獲得且未包含在參考池中的貸款。

(4)包括可調利率抵押貸款、綜合LTV比率超過97%的貸款、在我們的信用風險轉移計劃啓動後獲得的、在納入信用風險轉移交易之前拖欠30天或以上的非Refi Plus貸款，以及截至2024年9月30日或2023年12月31日拖欠的貸款。還包括之前包含在信用風險轉移交易中但隨後保險被取消的貸款。

單戶問題貸款管理

我們的問題貸款管理策略主要集中在減少違約以避免否則將發生的損失，並尋求止贖替代方案以減輕我們所遭受的損失的嚴重性。請參閱我們2023年10-k表格中的「MD&A-單一家族企業-單一家族抵押貸款風險管理-單一家族問題貸款管理」，以討論我們的問題貸款的拖欠統計數據、爲管理我們的問題貸款所做的努力、關於我們貸款活動的指標、房地產擁有(REO)管理和其他與單家族信貸相關的信息。下面的討論更新了其中的一些信息。我們還提供單一家庭Fannie Mae MBS相關貸款和單一家庭信用風險轉移交易涵蓋的貸款的持續信用表現信息。有關支持房利美MBS的貸款，請參閱我們的數據動態中MBS部分的「容忍和違約儀表板」®工具，可在www.fanniemae.com/datadynamics上找到。對於信用風險轉移交易所涵蓋的貸款，請參閱該工具的CAS和CIRT部分中提供的「交易表現數據」報告。我們網站上的信息不包括在本報告中。由於各種原因，數據動態中的信息可能不同於我們的財務報表和其他公開披露中的類似衡量標準，包括所涵蓋貸款人群的變化、報告的時間差異和其他因素。

房利美2024年第三季度10-Q表格						31

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

犯罪

下表根據貸款數量顯示了我們的單戶傳統擔保業務賬簿中貸款的拖欠狀況以及嚴重拖欠貸款數量的變化。單戶嚴重拖欠貸款是指逾期90天或以上或處於止贖過程中的貸款。我們的單戶嚴重拖欠率以基於貸款計數的單戶傳統擔保業務賬簿的百分比表示。管理層監控單一家庭嚴重拖欠率，作爲潛在未來信用損失和損失緩解活動的指標。嚴重的拖欠率反映了我們在評估和管理與擔保業務賬簿中單戶貸款相關的信用風險方面的表現。通常，較高的嚴重拖欠率會導致較高的貸款損失備抵。

單戶常規貸款的違約狀況和活動
						截至
						2024年9月30日						2023年12月31日						2023年9月30日
違法狀態：
拖欠30至59天						1.02		%				1.06		%				0.95		%
拖欠60至89天						0.26						0.26						0.23
嚴重違法者（「SDQ」）：						0.52						0.55						0.54
拖欠超過180天的SDQ貸款比例						44						47						51
拖欠兩年以上的SDQ貸款百分比						7						10						13

						在截至9月30日的9個月內，
						2024						2023
單戶SDQ貸款（貸款數量）：
期初餘額						96,479						114,960
添加						128,936						122,594
拆除：
修改和其他貸款調整						(56,872)						(60,507)
清算和出售						(21,699)						(22,707)
已治癒或拖欠不超過90天						(57,340)						(60,234)
清除總數						(135,911)						(143,448)
期末餘額						89,504						94,106

截至2024年9月30日，我們的單戶嚴重犯罪率仍接近歷史最低水平。我們預計，海倫和米爾頓颶風的影響將導致我們的單戶嚴重犯罪率在短期內上升。此外，鑑於我們對經濟增長放緩的預期，我們預計與近期表現相比，我們單戶擔保業務中貸款的信用表現可能會下降，這可能會導致拖欠率上升或單戶嚴重拖欠率上升。有關影響單戶嚴重拖欠率的因素的信息，請參閱我們2023年表格10-k中的「MD & A-單戶企業-單戶抵押信貸風險管理-單戶問題貸款管理」。

房利美2024年第三季度10-Q表格						32

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

下表顯示了指定貸款類別的嚴重拖欠率以及嚴重拖欠單戶傳統貸款的百分比。賬簿金額的百分比代表每一類貸款的未付本金餘額除以我們單一家庭常規擔保業務賬簿的未付本金餘額。報告的類別並不相互排斥。

單戶傳統嚴重違約貸款集中度分析
			截至
			2024年9月30日																		2023年12月31日																		2023年9月30日
						未售出圖書的百分比						嚴重違約貸款比例(1)						嚴重犯罪率						未售出圖書的百分比						嚴重違約貸款比例(1)						嚴重犯罪率						未售出圖書的百分比						嚴重違約貸款比例(1)						嚴重犯罪率
國家：
加利福尼亞						19		%				10		%				0.39		%				19		%				10		%				0.42		%				19		%				10		%				0.41		%
佛羅里達						6						9						0.68						6						9						0.73						6						8						0.69
伊利諾伊州						3						5						0.66						3						5						0.70						3						5						0.69
紐約						4						6						0.80						5						6						0.92						5						7						0.95
德克薩斯州						7						10						0.69						7						9						0.64						7						9						0.60
所有其他州						61						60						0.48						60						61						0.52						60						61						0.51
年份：
2008年及之前						2						16						1.79						2						18						2.07						2						20						2.18
2009-2024						98						84						0.46						98						82						0.47						98						80						0.45
估計的市值LTV比率：
<= 60%						70						69						0.45						68						69						0.49						68						71						0.49
60.01%至70%						12						14						0.83						14						15						0.80						14						14						0.73
70.01%至80%						10						9						0.74						10						9						0.77						10						9						0.71
80.01%至90%						5						6						0.85						5						5						0.81						5						5						0.73
90.01%至100%						3						2						0.62						3						2						0.59						3						1						0.52
大於100%						*						*						3.43						*						*						2.05						*						*						3.99
信用增強：(2)
主要MI及其他(3)						21						33						1.05						21						33						1.08						21						32						1.03
信用風險轉移(4)						37						31						0.52						36						30						0.54						35						29						0.51
非信用增強						54						50						0.42						55						52						0.46						55						53						0.46

*佔單戶傳統擔保業務賬簿的不到0.5%。

(1)根據每一類嚴重拖欠的單戶貸款數量除以嚴重拖欠的單戶傳統貸款總數計算。

(2)信用增強類別並不相互排斥。具有初級抵押貸款保險且也受信用風險轉移交易覆蓋的貸款將同時包含在「初級抵押貸款和其他」類別和「信用風險轉移」類別中。因此，「信用增強」和「非信用增強」類別的總和並不爲100%。截至2024年9月30日，我們具有某種形式信用增強的單戶傳統擔保業務賬簿的總比例爲46%。

(3)指協議中包含的貸款，該協議旨在通過要求初級抵押保險、抵押品、信用證、企業擔保或其他協議來降低信用風險，爲實體提供一定的保證，即在發生財務損失時將獲得一定程度的補償。不包括信用風險轉移交易涵蓋的貸款，除非此類貸款也受初級抵押貸款保險的承保。

(4)適用於信用風險轉移交易參考池中包含的貸款，包括這些交易中也受一級抵押貸款保險覆蓋的貸款。對於CAS和一些貸方風險分擔交易，這代表截至指定日期的單戶抵押貸款信用賬簿上基礎貸款的未償本金餘額，而不是未償參考池。我們的信用風險轉移交易中包含的貸款均自2009年以來獲得。

剋制計劃和貸款鍛鍊

作爲我們信用風險管理工作的一部分，我們提供多種類型的損失緩解選項，以幫助房主留在家中或以其他方式避免止贖。損失緩解選項可以包括容忍計劃或貸款解決方案。我們的貸款解決方案反映了其他類型的房屋保留解決方案，可幫助將貸款恢復到當前狀態，包括還款計劃、延期付款和貸款修改。我們的貸款解決方案還包括止贖替代方案，例如賣空和代替止贖的契約。

房利美2024年第三季度10-Q表格						33

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

截至2024年9月30日，單戶貸款的未付本金餘額爲63億美元，佔我們單戶傳統擔保業務賬簿的0.2%，而截至2023年12月31日，該餘額爲69億美元，佔我們單戶傳統擔保業務賬簿的0.2%。我們預計，由於最近颶風對借款人的影響，單戶貸款餘額可能會增加。

下圖按類型顯示了2023年前9個月與2024年前9個月相比，我們已完成的單戶貸款解決的未付本金餘額以及貸款解決的數量。該表不包括積極寬容安排中的貸款、試行修改以及已啓動但尚未完成的還款計劃。

已完成的貸款鍛鍊活動

（美元單位：十億美元）

(1)截至2024年9月30日和2023年9月30日，尚未完成的試修改期內分別有約17，500筆貸款和15，700筆貸款。

(2)2024年前9個月和2023年前9個月的其他分別爲57800萬美元和37300萬美元。其他包括還款計劃和止贖替代方案。還款計劃僅反映與拖欠60天或以上的貸款相關的計劃。

房利美2024年第三季度10-Q表格						34

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

單一家庭REO管理

如果貸款違約，我們可能會通過止贖或替代止贖契約來收購該房產。下表按地區顯示了我們的REO活動。區域REO收購趨勢通常遵循與區域拖欠趨勢相似但滯後的模式。

單戶REO房產
						在截至9月30日的9個月內，
						2024									2023
單戶REO房產（房產數量）：
單戶REO房產的期末庫存(1)						8,403									8,779
按地理區域劃分的收購：(2)
中西部						702									959
東北方向						389									673
東南						491									771
西南						461									581
西						271									256
REO收購總額(1)						2,314									3,240
REO的處置						(4,236)									(3,438)
單戶REO房產期末庫存(1)						6,481									8,581
單戶REO房產的實際價值（百萬美元）						$	1,157								$	1,378
單戶止贖率(3)						0.02			%						0.02			%
REO淨銷售價格與未付本金餘額(4)						142			%						127			%
REO淨銷售價格與未付本金餘額和維修費用之比(5)						91			%						97			%
賣空淨銷售價格與未付本金餘額(6)						90			%						92			%

(1)由持作出售和持作使用的物業組成，在我們的簡明綜合資產負債表中作爲「其他資產」的組成部分報告。

(2)有關每個地理區域包含的州，請參閱「單一家庭傳統業務量和擔保業務賬簿的關鍵風險特徵」表的腳註9。

(3)根據截至每個期末通過止贖或代替止贖契約獲得的房產的年化總數佔我們單戶傳統擔保業務賬簿中貸款總數的百分比進行估計。

(4)計算方法是在各個期間處置REO房產時收到的銷售收益金額（不包括向我們的賣家或服務商提出回購請求的房產），除以止贖時相關貸款的未付本金餘額總額。淨銷售價格代表合同銷售價格減去物業銷售成本和賣方在收盤時支付的其他費用，不包括與任何物業維修相關的成本。

(5)計算方法是在各個期間處置REO房產時收到的銷售收益金額（不包括向我們的賣家或服務商提出回購請求的房產），除以止贖時相關貸款的未付本金餘額總額和修復房產的成本。淨銷售價格代表合同銷售價格減去物業的銷售成本和賣方在收盤時支付的其他費用。

(6)計算方法爲在相關期間賣空交易中出售的物業收到的銷售所得款項金額除以相關貸款的未付本金餘額總額。淨銷售價格包括借款人搬遷激勵付款和次級優先權談判支付。

2024年前9個月，我們的REO淨銷售價格與未付本金餘額和維修成本的比例下降至91%，而2023年前9個月爲97%，主要是由於我們爲修復房產狀況而產生的成本增加。

單戶信用損失績效指標和貸款銷售績效

下面的單家庭信用損失績效指標和貸款銷售績效指標提供了有關我們在所示期間實現的單家庭貸款損失或收益的信息。就我們的單家庭信用損失績效指標而言，信用損失或收益代表扣除追回和止贖財產收入或費用後的核銷。特定時期內這些損失或收益的金額由止贖、止贖前銷售、止贖後REO活動、抵押貸款重新指定以及其他觸發覈銷和追回的事件驅動。我們提供的單家庭信用損失指標沒有定義術語，並且可能不會以與其他公司報告的類似標題的指標相同的方式計算。管理層利用這些指標來評估我們單家庭信用風險管理策略的有效性，並結合領先指標（例如

房利美2024年第三季度10-Q表格						35

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			MD&A|單一家族企業|單戶抵押貸款信用風險管理

嚴重的拖欠和容忍率，這是未來實現的單戶信貸損失的潛在指標。我們相信，這些措施提供了有關我們的單戶信貸表現及其影響因素的有用信息。

下表顯示了單家庭信用損失績效指標的組成部分。由於不良和再生貸款的銷售是我們信用損失緩解策略的一部分，因此我們還通過「銷售收益（損失）和其他估值調整」行項目在下表中提供有關我們貸款銷售業績的信息。

單戶信用損失績效指標和貸款銷售績效
						截至9月30日的三個月，												在截至9月30日的9個月內，
						2024						2023						2024						2023
						(百萬美元)
覈銷						$	(135)					$	(63)					$	(357)					$	(162)
復甦						25						50						184						157
喪失抵押品贖回權的財產收入（費用）						(102)						120						(294)						87
信用收益（損失）						(212)						107						(467)						82
抵押貸款從HFI重新指定爲HFS的核銷(1)						(101)						(638)						(139)						(638)
淨信用收益（損失）和重新指定的核銷						(313)						(531)						(606)						(556)
銷售損益和其他估值調整(2)						3						8						(13)						(41)
淨信用收益（損失）、重新指定的核銷以及銷售收益（損失）和其他估值調整						$	(310)					$	(523)					$	(619)					$	(597)
信貸損益率（單位：點子）(3)						(2.3)						1.2						(1.7)						0.3
淨信用收益（損失）、重新指定覈銷以及銷售收益（損失）和其他估值調整比率（以點子爲單位）(4)						(3.4)						(5.8)						(2.3)						(2.2)

(1)由重新指定時的成本或公允價值調整中的較低者組成。

(2)包括期內銷售不良和可再生抵押貸款實現的收益或損失，以及HFS貸款的臨時成本或市場較低者調整，並在我們的簡明綜合經營報表和全面收益中的「投資收益（損失），淨額」中確認。

(3)根據「信貸收益（損失）」年化金額除以期內平均單戶常規擔保賬簿計算。

(4)根據「淨信用收益（損失）、重新指定覈銷、銷售收益（損失）和其他估值調整」的年化金額除以期內平均單戶常規擔保業務賬簿計算。

2024年前9個月，我們的淨信用收益（損失）、重新指定的核銷和銷售收益（損失）和其他估值調整的主要驅動因素是不再合理保證收回能力的貸款的核銷，以及由於我們收購的REO物業增加維修而導致的止贖物業費用。

2023年前9個月，我們淨信用收益（損失）、重新指定覈銷和銷售收益（損失）和其他估值調整的主要驅動因素是我們不良和再生貸款銷售計劃的恢復，這導致期內抵押貸款從HFI重新指定爲HFS的核銷增加。2023年第三季度重新指定的貸款利率低於當前市場利率，導致重新指定後覈銷。

房利美2024年第三季度10-Q表格						36

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			MD&A|多家族企業

多家族企業

本部分補充和更新了2023年表格10-k中有關多家族業務部門的信息。請參閱我們2023年10-k表格中的「MD & A-Multifamily Business」，了解有關我們Multifamily Business的主要業務活動、貸方、投資者和競爭的更多信息。

多家庭抵押貸款市場

由於持續的需求以及儘管進入全國各個市場的新供應水平上升，多戶市場基本面（包括空置率和租金增長等因素）在2024年第三季度保持穩定。儘管全國空置率估計保持穩定，但租金卻有所上漲。

•空缺率.根據初步第三方數據，我們估計，截至2024年9月30日，全國機構投資型公寓多戶空置率穩定在6.0%，與2024年6月30日持平，但高於截至2023年9月30日的5.8%。過去15年全國多戶平均空置率估計約爲5.8%。

•租金.根據初步第三方數據，我們估計2024年第三季度有效租金增長約0.2%，而2024年第二季度增長1.0%，2023年第三季度增長0.5%。

空置率和租金對貸款績效很重要，因爲多家庭貸款通常由基礎房產產生的現金流償還。多年來的低空置率和租金上漲幫助提高了大多數大都市地區的房地產價值，但這一趨勢從2023年初開始逆轉。根據初步多戶房地產銷售數據，2024年前9個月的交易量仍遠低於平均水平。現有數據顯示，多戶房產資本化率（商業地產的指示投資回報率）估計在2024年第三季度小幅下降至5.6%，而2024年第二季度爲5.7%，並與2023年第三季度的5.3%相比有所上升。

多家庭建設仍處於高位。截至2024年9月30日，共有超過100萬個租賃單位正在建設中。根據最近的歷史趨勢，我們預計2024年將建成550，000至575，000套單位。

我們認爲，由於新建築完工量增加，今年晚些時候或2025年初空置率可能會上升至6.25%。我們相信，這種新供應也將使2024年第四季度的租金增長受到抑制，2024年租金增長將低於平均水平，介於1.0%至1.5%之間，特別是許多租房者也面臨着更高水平的消費者債務。

在過去幾個季度，較高的利率和投資者收益率要求減少了多家庭房地產銷售交易，並給多家庭房地產估值帶來了下行壓力。根據MSCI真實資產商業地產價格指數的數據，從2022年第二季度的峯值到2024年第三季度，多戶房產價值下降了19.5%。我們認爲，儘管最近減息，但由於新供應完成量增加、租金增長乏力以及空置率高於平均水平，多家庭銷售活動在短期內可能會受到抑制。然而，從長遠來看，由於積極的人口趨勢和持續的就業增長導致多家庭住房市場基本面的預期改善，我們預計銷售和估值將改善。

房利美2024年第三季度10-Q表格						37

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			MD&A|多家族企業|多家庭企業收件箱

多家庭企業收件箱

多家庭新業務量

通過二級抵押貸款市場，我們支持爲勞動力人口、老年人和學生以及經濟需求最大的家庭提供租賃住房。我們在2024年第三季度融資的多戶單位中，超過95%可能有資格獲得住房目標信貸，這些單位的收入爲所在地區收入中位數120%或以下的人負擔得起，爲勞動力住房和經濟適用房提供支持。請參閱我們2023年10-k表格中的「MD & A-Multifamily Business-Multifamily Primary Business活動-Multifamily Activities Support Affordable Rental Housing」，了解有關我們如何支持美國多家庭住房市場的更多信息，包括我們對低收入住房稅收抵免（「LIHTC」）項目的股權投資的描述。

多家庭新業務量

(數十億美元)

(1)反映期內發行的多家庭房利美MBS、購買的多家庭貸款以及對多家庭抵押貸款資產提供的信用提升的未付本金餘額。

(2)反映由第一優先權融資的新單位;不包括我們爲第一優先權融資的單位的第二優先權，以及製造的住房租金。第二優先權和製造住房租金包括在未付本金餘額中。

前9個月多家族業務量下降 的 2024年與前9個月相比 的 2023年，反映出競爭加劇。 2024年，FHFA將我們的多家庭貸款購買上限定爲700億美元。FHFA要求我們2024年多家庭貸款購買中至少有50%必須是使命驅動的，重點關注特定的負擔得起且服務不足的細分市場。 2024年，FHFA免除了爲滿足特定標準的勞動力住房提供融資的量上限貸款，以保持房產的長期負擔能力。

房利美2024年第三季度10-Q表格						38

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			MD&A|多家族企業|多家庭企業收件箱

多家庭擔保業務賬簿和平均收取的擔保費

下圖顯示了與我們的多家庭擔保業務賬簿相關的未付本金餘額和平均收取的擔保費。

多家庭擔保業務簿 和收取的費用(1)

（美元單位：十億美元）

(1)對於本「多家庭業務」部分報告的信息，我們的多家庭擔保業務賬簿使用房利美MBS基礎抵押貸款的未付本金餘額進行計量。相比之下，「業務擔保賬簿」部分「房利美擔保業務構成」表中列出的多家庭擔保業務賬簿是基於房利美未償MBS的未付本金餘額。這些金額的差異主要是由於我們收到的尚未支付給MBS持有人的基礎貸款付款。

(2)我們的多家庭擔保業務賬簿主要包括房利美未償MBS的多家庭抵押貸款、我們保留抵押貸款組合中持有的房利美的多家庭抵押貸款，以及我們對多家庭抵押貸款資產提供的其他信用增強措施。它不包括我們不提供擔保的保留抵押貸款組合中持有的非房利美多家庭抵押貸款相關證券。

截至2024年9月30日，我們的多家庭擔保業務賬簿增長至4，856億美元，較2023年9月30日增長4.5%，這是由於我們的收購加上高利率環境導致的預付款量較低。

我們收取的平均擔保費是指我們作爲信用風險補償所獲得的回報。我們在我們的多家庭擔保業務賬簿上承擔。截至2024年9月30日，我們多家庭擔保業務賬簿上的平均收取擔保費比2023年9月30日有所下降，這是因爲與我們多家庭擔保業務賬簿中的現有貸款相比，我們在2023年第四季度和2024年前9個月收購的平均收費較低。我們的擔保費是S受到我們業務賬簿中貸款週轉率以及我們對新業務量收取的擔保費的影響，這些費用是在我們獲得貸款時確定的。我們的多家庭擔保費定價是基於我們獲得的貸款的個人信用風險特徵和我們的多家庭擔保業務的整體構成。我們的多家庭擔保費定價也受到外部因素的影響，例如其他流動性來源的可用性和成本、我們與使命相關的目標、FHFA數量上限、利率和MBS利差。

房利美2024年第三季度10-Q表格						39

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			MD&A|多家族企業|多家族企業財務業績

多家族企業財務業績

本節討論了我們多家族企業淨收入的主要組成部分。

多家族企業財務業績(1)
						截至9月30日的三個月，																		在截至9月30日的9個月內，
						2024						2023						方差						2024						2023						方差
						(百萬美元)
淨利息收入						$	1,144					$	1,146					$	(2)					$	3,465					$	3,378					$	87
手續費及其他收入						18						20						(2)						52						53						(1)
淨收入						1,162						1,166						(4)						3,517						3,431						86
公允價值收益（損失），淨額						60						53						7						49						35						14
行政費用						(159)						(152)						(7)						(466)						(446)						(20)
信用損失福利（撥備）						(424)						(84)						(340)						(827)						(415)						(412)
信用增強費用(2)						(75)						(55)						(20)						(213)						(166)						(47)
預期信用增強復甦的變化(3)						134						42						92						323						130						193
其他費用，淨額(4)						(49)						(125)						76						(88)						(191)						103
聯邦所得稅前收入						649						845						(196)						2,295						2,378						(83)
關於聯邦所得稅的規定						(119)						(171)						52						(423)						(464)						41
淨收入						$	530					$	674					$	(144)					$	1,872					$	1,914					$	(42)

(1)有關我們的分部分配方法的信息，請參閱「註釋10，分部報告」。

(2)主要包括與我們的多家庭CIRT相關的成本TM （“MCRTTM”）和康涅狄格大道多家族證券® （“MCASTM”）計劃以及某些貸方風險分擔計劃的攤銷費用。

(3)包括我們獨立的信用增強措施中確認的福利變化，主要與我們的委託承保和服務（「DUS」）相關®”）貸方風險共擔。

(4)包括投資收益或損失、與法律索賠相關的費用、止贖財產收入（費用）、合夥投資的收益或損失、債務消除收益或損失以及其他收入或費用。

淨利息收入

與2023年第三季度和前9個月相比，2024年第三季度和前9個月的淨利息收入相對持平。由於我們的多家庭擔保業務規模擴大而增加的擔保費收入被平均收取的擔保費較低和預付款減少而降低的收益維持收入所抵消。

信用損失的福利（準備金）

請參閱「合併運營業績-信用損失福利（撥備）」以了解我們的多家庭信用損失撥備的討論。

預期信用增強復甦的變化

2024年第三季度和前9個月信用增強復甦預期的變化主要是由信用損失撥備推動的。由於我們的風險分擔安排，我們的多家庭信用損失撥備的增加增加了我們的多家庭信用增強應收賬款。

其他費用，淨額

與2023年第三季度和前9個月相比，2024年第三季度和前9個月的其他費用淨下降。2023年第三季度，我們確認了陪審團裁決和房利美優先股東判決前利息判給的訴訟費用，其中5400萬美元分配給多家族業務部門。

多家庭抵押貸款信用風險管理

本節補充和更新了我們2023年10-k表格「MD & A-Multifamily Business-Multifamily Mortgage Credit Risk Management」中對多家庭抵押貸款信用風險管理的討論。有關我們管理多家庭信用風險策略主要組成部分的更多信息、影響我們多家庭擔保業務賬簿信用風險狀況的因素、我們的多家庭收購政策和承保標準、我們的

房利美2024年第三季度10-Q表格						40

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			MD&A|多家族企業|多家庭抵押貸款信用風險管理

多家庭擔保賬簿多元化和監控以及我們的前端信用風險共享，請參閱我們2023年表格10-k中的「MD & A-Multifamily Business-Multifamily Mortgage Credit Risk Management」。

我們通常會從業務擔保書中的抵押貸款貸方或服務商處獲取多家庭信用信息，並從他們那裏獲得有關信息準確性的陳述和保證。雖然我們通過對貸款進行抽樣來執行各種質量保證檢查，以評估對我們承保和資格標準的合規性，但我們不會獨立驗證大多數報告的信息，並且我們依賴貸方關於我們擔保業務賬簿中貸款特徵準確性的陳述和保證。

多家庭保證書多元化和監控

作爲我們持續信用風險管理流程的一部分，我們和我們的貸方在整個貸款期限內，在資產和投資組合層面持續監控我們的多家庭貸款和基礎房產的表現和風險特徵。我們通常要求貸方提供多家庭貸款的季度和/或年度財務更新。我們密切監控風險較高的貸款，包括估計當前償債覆蓋率（「DCR」）低於1.0的貸款，因爲這是違約風險升高的指標。

作爲我們多家庭貸款抵押品的房產的物理狀況是一個重要的信用風險特徵。因此，我們還通過貸款發放時的實地檢查、在貸款期限內對服務商提交的財產檢查報告進行持續審查，以及對一些風險較高的交易提出額外的第三方檢查要求來監控財產狀況。一些借款人可能不會投資於所需的財產維修和維護或資本置換，特別是在經濟壓力時期，他們可能沒有足夠的資源。當對基礎抵押品的財產狀況出現擔憂時，我們有一個專門的團隊積極與貸方和借款人接觸，以尋求對已發現問題的補救措施。未能進行維修可能會導致貸款文件違約。

我們發現了多戶貸款交易的實例，其中一方或多方參與了抵押貸款欺詐或可能的抵押貸款欺詐，我們繼續調查我們懷疑可能發生欺詐的其他多戶貸款交易。正如本報告「風險因素」中所述，我們在管理多家庭貸款發放欺詐風險和監督我們的多家庭銷售商/服務商交易對手的流程中發現了某些差距。因此，我們實施了更改，以加強和明確我們對多家庭銷售商和服務商的要求。我們還繼續努力改進我們的流程，以進一步降低我們面臨的欺詐行爲的風險，包括 實施我們DUS指南的更新，並擴大專門用於監督多家庭銷售商和服務商的資源。此外，我們繼續對多家庭貸款人以及多家庭借款人和贊助商尋求合同補救措施，因爲我們發現貸款人在向我們出售貸款時必須提供銷售陳述的違規行爲。

我們管理利率風險並監控利率變化，這可能會影響我們多家庭貸款的多個方面。儘管2024年第三季度利率有所下降，但2024年前9個月的利率仍高於前十年期間的平均水平，在此期間我們收購了80%以上的多家庭擔保業務。高利率可能會降低多家庭借款人爲其貸款再融資的能力，而這些貸款在到期時通常有大量餘額。我們在2023年10-k表格和季度財務補充文件的「MD & A-Multifamily Business-Multifamily Mortgage Credit Risk Management-Multifamily Mature信息」中提供有關多家庭貸款到期時間表的信息，我們向SEC提供了8-k表格的當前報告，並在我們的網站上提供。

此外，在高利率環境下，擁有可調利率抵押貸款的多戶借款人的月還款額將更高，這可能會降低他們的DSCR。我們通常要求擁有可調利率抵押貸款的多家庭借款人在貸款期限內購買並維持利率上限，以防止利率大幅波動，並在我們的服務商保持託管，以保留更換這些上限的成本。隨着利率上升，購買或更換所需的利率上限，特別是期限較長和/或上限較低的利率上限，變得更加昂貴。這些成本自2022年年中以來一直在上升，再加上每月還款額的增加，增加了借款人的還款能力，並導致了我們多戶家庭嚴重違約率的上升，並受到了貸款人口的批評。在最近的高利率環境下，大多數擁有可調利率抵押貸款的多戶借款人一直在接受利率上限提供商的付款，這有助於支付較高的償債和託管付款成本。我們積極監控這些與利率相關的風險，作爲我們風險管理過程的一部分。有關我們批評的貸款群體的更多信息，請參閱本報告中的「多家庭問題貸款管理-多家庭問題貸款的信用表現統計」。

我們還監控特定房產類型中表現出的風險。我們繼續密切關注的房產類型是老年人住房，在房利美的業務記錄中，老年人住房主要由獨立生活和輔助生活設施組成，其中一些設施可能容量有限，專門用於記憶護理。儘管老年人住房貸款

房利美2024年第三季度10-Q表格						41

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			MD&A|多家族企業|多家庭抵押貸款信用風險管理

截至2024年9月30日，根據未付本金餘額，他們僅佔我們多家庭擔保業務賬簿的3%，他們約佔我們嚴重拖欠多家庭貸款人口的三分之一，如下文「多家庭問題貸款管理」所述。截至2024年9月30日，我們約29%的老年人住房貸款是可調利率抵押貸款。我們繼續密切監控多家庭擔保業務賬簿中的老年人住房貸款，並積極管理可能面臨進一步惡化或違約風險的貸款。

下表顯示了我們的多家庭業務量和多家庭擔保業務賬簿，基於我們用於評估多家庭貸款的風險狀況和信用質量的某些關鍵風險特徵。有關我們的多家庭收購政策和承保標準的信息，請參閱我們2023年表格10-k中的「MD & A-多家庭業務-多家庭抵押信貸風險管理-多家庭收購政策和承保標準」。

房利美2024年第三季度10-Q表格						42

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			MD&A|多家族企業|多家庭抵押貸款信用風險管理

我們在季度財務增刊中提供有關多家庭貸款信用特徵的更多信息，我們將這些信息與8-k表格的當前報告一起向SEC提供，並在我們的網站上提供。我們季度財務補充中的信息並未以引用的方式納入本報告中。

多家族業務量和業務擔保書的關鍵風險特徵
						收購時的多家族業務量(1)																								多戶 保證業務賬簿(2) 截至
						截至9月30日的三個月，												在截至9月30日的9個月內，
						2024						2023						2024						2023						2024年9月30日						2023年12月31日
LTV比率：
加權平均原始LTV比率						61			%			58			%			61			%			59			%			63			%			63			%
DCR：
加權平均DSCP(3)						1.6						1.6						1.6						1.7						2.0						2.0
當前DRR低於1.0(3)						N/A						N/A						N/A						N/A						6			%			4			%
貸款金額及計數：
平均貸款金額（百萬）						$	20					$	19					$	19					$	19					$	17					$	16
貸款計數						661						854						1,744						2,247						29,405						28,926
利率類型：
固定利率						100			%			98			%			100			%			99			%			92			%			91			%
可調利率						—						2						—						1						8						9
總						100			%			100			%			100			%			100			%			100			%			100			%
攤銷類型：
全價						65			%			71			%			58			%			64			%			43			%			42			%
僅限部分利息(4)						27						25						34						31						46						46
完全攤銷						8						4						8						5						11						12
總						100			%			100			%			100			%			100			%			100			%			100			%
資產類別類型：
傳統/合作社						98			%			86			%			94			%			91			%			90			%			89			%
老年人住房(5)						—						1						3						1						3						3
學生住房						—						*						*						*						3						3
製造業住房						2						13						3						8						4						5
總						100			%			100			%			100			%			100			%			100			%			100			%
實惠(6)						11			%			9			%			13			%			10			%			12			%			12			%
小額餘額貸款(7)						36			%			40			%			40			%			40			%			47			%			48			%
地理集中：(8)
中西部						13			%			13			%			12			%			14			%			12			%			12			%
東北方向						11						12						13						11						15						15
東南						31						30						31						32						27						27
西南						18						24						23						24						22						22
西						27						21						21						19						24						24
總						100			%			100			%			100			%			100			%			100			%			100			%

* 佔多家族業務量或業務擔保賬簿的不到0.5%。

(1)根據收購時各類別多戶貸款的未付本金餘額計算，不包括小額餘額貸款，小額餘額貸款根據貸款數量而不是未付本金餘額計算。

(2)根據各類別多家庭貸款的未付本金餘額總額除以截至每個期末我們的多家庭擔保業務賬簿中貸款的未付本金餘額總額計算，不包括小額餘額貸款，小額餘額貸款是根據貸款計數而不是未付本金餘額計算的。

(3)對於我們的業務量，DCR是使用貸款的實際償債付款計算的。對於我們的業務賬簿，我們對當前DSRC的估計基於涵蓋12個月期間（季度和年度）的最新可用收入信息

房利美2024年第三季度10-Q表格						43

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			MD&A|多家族企業|多家庭抵押貸款信用風險管理

這些財產的報表，包括相關的債務償還。當年度報表是可用的最新報表時，則使用該報表。當運營報表信息不可用時，將使用承保的DCR。合作社貸款不包括在此指標之外。

(4)由以只付息期限承保的抵押貸款組成，無論貸款目前是否處於只付息期限。

(5)2024年前9個月的老年人住房收購是對我們多家庭擔保業務賬簿中現有貸款的再融資。

(6)代表多戶經濟適用住房（「MH」）貸款，其定義爲爲根據提供長期負擔能力的協議提供的房產提供融資，例如有租金補貼或收入限制的房產。MH貸款包括在上述資產類別類別中。

(7)小額餘額貸款是指全國原始未付本金餘額高達900萬美元的多家庭貸款。小額餘額貸款包括在上述資產類別類別中。我們根據貸款計數而不是未付本金餘額在表中列出這個指標。根據貸款的未付本金餘額，截至2024年9月30日和2023年12月31日，小額餘額貸款分別佔我們多家庭擔保業務賬簿的10%和11%。

(8)中西部由IL、IN、IA、MI、TN、NE、ND、OH、SD和WI組成。東北部由Ct、DE、ME、MA、NH、新澤西、NY、PA、PR、RI、VT和VI組成。東南部由AL、DC、FL、GA、KY、MD、MS、NC、SC、TN、VA和WV組成。西南航空由亞利桑那州、阿肯色州、科羅拉多州、堪薩斯州、路易斯安那州、密蘇里州、納米、奧克拉荷馬州、德克薩斯州和猶他州組成。West包括Ak、CA、GU、HI、ID、Mt、NV、OR、WA和WY。

抵押貸款信用風險的多家庭轉移

前端信用風險分擔

我們主要通過委託承保和服務（DUS）轉移我們擔保的多家庭貸款的信用風險®）計劃，該計劃授權DUS貸方根據我們的標準和要求承保和服務多家庭貸款的能力。請參閱“MD & A-多家庭業務-多家庭抵押信貸風險管理-多家庭抵押信貸風險轉移” 在我們的2023年表格10-k中了解我們的DUS計劃的描述。

截至2024年9月30日和2023年12月31日，DUS貸方及其附屬機構提供的貸款幾乎代表了我們所有的多家庭擔保業務賬簿。我們的DUS模型通常會導致我們的貸方承擔我們多家庭貸款約三分之一的信用風險，無論是按比例還是分層。在某些情況下，貸方承擔的信用風險不到三分之一。我們根據貸款規模、貸款人財務表現和貸款人信譽等因素，爲個人交易制定特定於貸款人的損失分擔限額。當貸款的損失分擔減少時，支付給貸方的服務費就會減少，而我們的擔保費就會增加，以反映貸方保留的較低信用風險。

非DUS貸方僅佔我們多家庭擔保業務賬簿的一小部分，通常根據貸款或池餘額的協商百分比分擔或吸收損失。

後臺信用風險共享

我們的後臺MCAS和MCirt信用風險轉移計劃將與多家庭抵押貸款參考池相關的一部分信用風險轉移給保險公司、再保險公司或投資者。2024年前9個月，我們達成了三筆新的多家庭信用風險轉移交易，通過我們的MCirt和MCAS計劃轉移多家庭抵押貸款信用風險。在進行信用風險轉移交易時，我們會考慮其成本、由此產生的資本減免以及市場的總體信用風險偏好。我們的信用風險轉移交易的成本受到宏觀經濟狀況和房地產市場情緒以及支持這些交易的投資者和再保險公司的需求和能力的影響。

下表顯示了多家庭貸款的未付本金餘額總額以及基於未付本金餘額的多家庭擔保業務賬簿中由後臺信用風險轉移交易涵蓋的百分比。該表格並未反映前端貸方風險分擔安排，因爲我們的多家庭擔保業務賬簿中只有一小部分未涵蓋在這些安排中。

房利美2024年第三季度10-Q表格						44

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			MD&A|多家族企業|多家庭抵押貸款信用風險管理

後臺信用風險轉移交易中的多家庭貸款
						截至
						2024年9月30日												2023年12月31日
						未付本金餘額						多家庭擔保業務賬簿的百分比						未付本金餘額						多家庭擔保業務賬簿的百分比
						(百萬美元)
MCRT						$	102,961					21		%				$	89,517					19		%
MCAS						56,683						12						48,476						10
總						$	159,644					33		%				$	137,993					29		%

多家庭問題貸款管理

多家庭問題貸款的信貸績效統計

截至2024年9月30日，與2023年12月31日相比，我們的多家庭擔保業務賬簿中受到批評的貸款比例略有下降，這是因爲他們最新的經營報表反映了財務業績的改善，以及對受到批評的貸款群體的積極管理，這兩者都主要與老年人住房貸款有關。然而，我們受到批評的貸款數量仍然很高，主要是由可調利率抵押貸款融資的房地產推動的。被批評的貸款類別主要包括被歸類爲「不合格」的貸款，也包括被歸類爲「特別提及」或「可疑」的貸款。不合標準貸款是指存在明確缺陷的貸款，這可能會影響其及時全額償還。雖然我們多家庭擔保業務賬簿中的大多數不合格貸款目前都在及時付款，但我們仍在繼續監測我們不符合標準的貸款群體的表現。有關我們的信用質量指標的更多信息，包括我們的不合標準貸款的數量，請參閱「附註4，抵押貸款」。

截至2024年9月30日，我們的多家庭嚴重拖欠率上升至0.56%，而截至2023年12月31日爲0.46%，原因是投資組合約60000萬美元的可調利率常規貸款嚴重拖欠2024年第三季度。截至2024年9月30日，我們嚴重拖欠的多家庭貸款人口中約有三分之一是老年人住房貸款。我們的多家庭嚴重拖欠率包括根據未付本金餘額逾期60天或以上的多家庭貸款，以佔我們多家庭擔保業務賬簿的百分比表示。

管理層監控多家庭嚴重拖欠率，作爲潛在未來信用損失和損失緩解活動的指標。嚴重的拖欠率反映了我們在評估和管理與擔保業務賬簿中多家庭貸款相關的信用風險方面的表現。通常，較高的嚴重拖欠率會導致較高的貸款損失備抵。截至2024年9月30日，我們的多家庭擔保業務賬簿中拖欠180天或以上的貸款比例爲0.34%，而截至2023年12月31日爲0.29%。

除了本報告中提供的多家庭貸款的信用績效信息外，我們還在DUS披露的「數據收集」部分提供了有關支持MBS和完整貸款REMICs的多家庭貸款績效的更多信息® 工具，可在www.fanniemae.com/dusdisclose上獲取。我們網站上的信息不包含在本報告中。由於多種原因，數據收集中的信息可能與我們財務報表和其他公開披露中列出的類似措施不同，包括所涵蓋的貸款人群的差異、報告的時間差異和其他因素。

多家庭REO管理

截至2024年9月30日，我們持有128處多戶REO物業，其公允價值爲69000萬美元，而截至2023年12月31日，我們持有61處物業，其公允價值爲37800萬美元。止贖活動的增加主要是由特定老年人住房投資組合中包含的房產推動的，這些房產在2023年已註銷。截至2024年9月30日，該投資組合中的大多數房產已完成止贖或出售程序;然而，我們預計，對於位於某些司法止贖州且歷史上止贖時間表較長的投資組合中的房產，止贖程序將需要更長的時間。

多家庭信用損失績效指標

我們在特定時期內實現的多家庭信貸損失或收益的金額是由止贖、止贖前銷售、止贖後REO活動以及其他觸發覈銷和復甦的事件驅動的。我們的多家庭信用損失績效指標沒有定義術語，並且可能不會以與其他公司報告的類似標題指標相同的方式計算。出於我們多家庭信用損失績效指標、信用損失或收益的目的

房利美2024年第三季度10-Q表格						45

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			MD&A|多家族企業|多家庭抵押貸款信用風險管理

代表扣除收回和止贖財產收入或費用後的註銷。我們相信，我們的多家庭信用損失，以及扣除獨立損失分擔安排後的多家庭信用損失，提供了有關我們的多家庭信用表現的有用信息，因爲它們在我們的多家庭擔保業務賬簿的背景下顯示了我們的多家庭信用損失，包括我們預計從損失分擔安排中獲得的收益的變化。管理層將扣除獨立損失分擔安排的多家庭信用損失視爲與我們的多家庭業務模式和分擔多家庭信用風險戰略相關的關鍵指標。

下表顯示了我們的多家庭信用損失績效指標的組成部分，以及我們的多家庭初始覈銷嚴重性率和核銷貸款計數。

多家庭信用損失績效指標
						截至9月30日的三個月，																		在截至9月30日的9個月內，
						2024									2023									2024									2023
						(百萬美元)
覈銷(1)						$	(224)								$	(52)								$	(395)								$	(306)
復甦						48									8									81									18
喪失抵押品贖回權的財產收入（費用）						(47)									(45)									(92)									(85)
信用收益（損失）						(223)									(89)									(406)									(373)
獨立損失分擔安排的預期收益變化(2)						56									18									109									49
扣除獨立損失分擔安排後的信貸收益（損失）						$	(167)								$	(71)								$	(297)								$	(324)
信貸損益率（單位：點子）(3)						(18.5)									(7.7)									(11.3)									(11.0)
扣除獨立虧損分擔安排後的信貸收益（損失）率（以點子爲單位）(2)(3)						(13.8)									(6.2)									(8.3)									(9.6)
多家庭已清算貸款的初始覈銷嚴重程度率(4)(5)						16.3			%						7.4			%						21.1			%						9.2			%
多家庭覈銷貸款計入已清算貸款(6)						5									7									16									13

(1)代表在清算事件（包括止贖、止贖替代契約或賣空（統稱爲「清算事件」）之前確定貸款無法收回時的註銷，以及清算時的註銷。與非REO銷售相關的核銷扣除損失分擔。

(2)代表由於某些獨立的損失分擔安排（主要是多家庭DUS貸方風險分擔交易），我們預計僅從註銷中獲得的收益的變化。我們將獲得的預期福利的變化記錄在我們的簡明綜合經營報表和全面收益表的「預期信用增級收回的變化」中。

(3)根據「信用收益（損失）」和「扣除獨立損失分擔安排的信用收益（損失）」的年化金額除以期內平均多家庭擔保業務賬簿計算。

(4)利率的計算方法是初始覈銷金額除以平均違約未付本金餘額。

(5)基於與清算事件相關的核銷。該利率不包括初始收購至最終處置後與REO相關的任何成本、收益或損失。該利率還不包括在清算事件前確定貸款無法收回時的核銷。覈銷不包括貸方損失分擔協議。

(6)代表期間經歷與清算事件相關的註銷的貸款數量。

我們2024年前9個月的多家庭信貸損失主要是由可調利率傳統貸款的核銷造成的，這些貸款在2024年第三季度嚴重拖欠。我們2023年前9個月的多家庭信貸損失主要是由2023年第一季度老年住房投資組合的核銷造成的。

房利美2024年第三季度10-Q表格						46

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			MD&A|合併信用比率和選擇信用信息

合併信用比率和選擇信用信息

下表顯示了我們的單家庭傳統擔保業務賬簿和多家庭擔保業務賬簿的選擇信用比率，以及計算這些比率時使用的輸入數據。

合併信用比率和選擇信用信息
						截至
						2024年9月30日																											2023年12月31日
						獨棟									多個家庭									合併合計									獨棟									多個家庭									合併合計
						(百萬美元)
信用損失準備金佔：
營業保證書						0.14			%						0.53			%						0.19			%						0.18			%						0.44			%						0.21			%
按攤銷成本計算的非應計貸款						20.97									114.08									28.89									28.50									109.21									34.51
非應計貸款佔：
營業保證書						0.67			%						0.47			%						0.65			%						0.65			%						0.40			%						0.62			%
選擇用於計算信用比率的財務信息：
信用損失準備金(1)						$	(5,099)								$	(2,577)								$	(7,676)								$	(6,696)								$	(2,064)								$	(8,760)
營業保證書(2)						3,627,398									485,645									4,113,043									3,636,735									470,398									4,107,133
按攤銷成本計算的非應計貸款						24,313									2,259									26,572									23,497									1,890									25,387
信用損失準備金組成部分：
貸款損失準備						$	(5,086)								$	(2,570)								$	(7,656)								$	(6,671)								$	(2,059)								$	(8,730)
應計應收利息備抵						(13)									—									(13)									(25)									—									(25)
擔保損失準備金(3)						—									(7)									(7)									—									(5)									(5)
信用損失準備金總額(1)						$	(5,099)								$	(2,577)								$	(7,676)								$	(6,696)								$	(2,064)								$	(8,760)

(1)我們的多家庭信用損失準備金不包括截至2024年9月30日的84900萬美元和截至2023年12月31日的59900萬美元多家庭貸款獨立信用增強的預期收益，這些收益記錄在我們簡明綜合資產負債表的「其他資產」中。

(2)擔保業務賬簿截至期末。對於單戶，代表傳統的業務擔保書。

(3)擔保損失準備金記錄在我們的簡明綜合資產負債表中的「其他負債」中。

截至2024年9月30日，我們的單戶信貸損失準備金與2023年12月31日相比有所減少，主要是由於信貸損失福利減少了我們的單戶貸款損失備抵。截至2024年9月30日，我們的多家庭信用損失準備金與2023年12月31日相比有所增加，主要是由於信用損失撥備增加了我們的多家庭貸款損失備抵。有關我們的單家庭信用損失福利和多家庭信用損失準備金的更多信息，請參閱「合併運營業績-信用損失福利（撥備）」。

房利美2024年第三季度10-Q表格						47

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			MD&A|合併信用比率和選擇信用信息

合併覈銷率和選擇信用信息
						截至9月30日的三個月，
						2024																		2023
						獨棟						多個家庭						總						獨棟						多個家庭						總
						(百萬美元)
選擇信用比例：
沖銷（扣除年化收回額）佔平均擔保業務賬簿的百分比（以點子爲單位）						2.3						14.6						3.8						7.2						3.8						6.8
選擇計算信用比率時使用的財務信息：
覈銷(1)						$	236					$	224					$	460					$	701					$	52					$	753
復甦						(25)						(48)						(73)						(50)						(8)						(58)
註銷，扣除收回額						$	211					$	176					$	387					$	651					$	44					$	695
平均業務擔保書(2)						$	3,625,702					$	482,863					$	4,108,566					$	3,635,883					$	459,719					$	4,095,602
						在截至9月30日的9個月內，
						2024																		2023
						獨棟						多個家庭						總						獨棟						多個家庭						總
						(百萬美元)
選擇信用比率：
沖銷（扣除年化收回額）佔平均擔保業務賬簿的百分比（以點子爲單位）						1.1						8.8						2.0						2.4						8.5						3.0
選擇計算信用比率時使用的財務信息：
覈銷(1)						$	496					$	395					$	891					$	800					$	306					$	1,106
復甦						(184)						(81)						(265)						(157)						(18)						(175)
撇除回收後的淨額註銷						$	312					$	314					$	626					$	643					$	288					$	931
平均業務擔保書(2)						$	3,628,443					$	478,264					$	4,106,707					$	3,633,848					$	451,322					$	4,085,170

(1)代表當貸款被確定無法收回時的核銷。對於單戶家庭，還包括抵押貸款從HFI重新指定爲HFS後的任何註銷。

(2)平均業務擔保賬簿基於季度末餘額的平均值。

流動性與資本管理

流動性管理

本節補充和更新了2023年表格10-k中有關流動性管理的信息。請參閱2023年10-k表格中的「MD & A-流動性和資本管理-流動性管理」以了解更多信息，包括對我們資金的主要來源和用途、我們的流動性和融資風險管理實踐和應急計劃的討論、我們的流動性要求、影響我們債務融資活動的因素，可能影響我們獲得債務融資或其成本的因素以及可能對我們的流動性和融資產生不利影響的因素。截至2024年9月30日，我們符合2023年10-k表格中概述的流動性要求的所有四個組成部分。另請參閱2023年表格10-k中的「風險因素-流動性和融資風險」，以了解流動性和融資風險的討論。

債務融資

截至2024年9月30日，我們總債務的未付本金餘額爲1，252億美元。根據與財政部達成的高級優先股購買協議的條款，我們被禁止發行債務，

房利美2024年第三季度10-Q表格						48

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			MD&A|流動性和資本管理

如果這會導致我們的總債務超過我們的未償債務限額（目前設定爲2700億美元），則需事先徵得財政部的同意。爲遵守債務限額而計算我們的債務反映了未付本金餘額，不包括債務基礎調整和合並信託的債務。

未償債務

房利美的未償債務總額包括短期和長期債務，不包括合併信託的債務。房利美的短期債務包括原始合同期限爲一年或以下的借款，因此不包括長期債務的當前部分。房利美的長期債務包括原始合同期限超過一年的借款。

以下圖表和表格顯示了我們基於原始合同期限的未償短期和長期債務的信息。

房利美的債務(1)

(數十億美元)

						短期債務
						一年內到期的長期債務
						長期債務，不包括一年內到期的部分

(1)未償債務餘額包括未付本金餘額、溢價和折扣、公允價值調整、對沖相關基礎調整和其他成本基礎調整。報告金額包括截至2024年9月30日和2023年12月31日的淨折扣未攤銷成本基礎調整和公允價值調整，分別爲34億美元和40億美元。

選定的債務信息
									截至
									2024年9月30日						2023年12月31日
									(數十億美元)
選定的加權平均利率(1)
短期債務利率									5.10		%				5.13		%
長期債務利率，包括一年內到期的部分									3.11						2.63
可贖回債務利率									2.57						2.41
選定的成熟度數據
一年內到期債務的加權平均期限（天）									169						135
一年以上到期債務的加權平均期限（月）									45						46
其他數據
未償可贖回債務(2)									$	39.2					$	43.8
康涅狄格大道證券債務(3)									2.1						2.8

房利美2024年第三季度10-Q表格						49

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			MD&A|流動性和資本管理

(1)不包括公允價值調整和對沖相關基差調整的影響。

(2)包括截至2024年9月30日和2023年12月31日的短期可贖回債務分別爲44500萬美元和26億美元。

(3)代表2018年11月之前發行的CAS債務。有關康涅狄格大道證券的信息，請參閱我們2023年表格10-k中的「MD & A-單一家庭企業-單一家庭抵押信貸風險管理-單一家庭信用增強和抵押信貸風險轉移-信貸風險轉移交易」®.

我們打算主要通過業務運營現金、出售企業流動性投資組合中的資產以及發行額外債務證券來償還到期的短期和長期債務義務。

有關我們未償長期債務到期情況的信息，請參閱本報告和2023年10-k表格中的「註釋8，短期和長期債務」。

債務融資活動

下表顯示了房利美的債務活動。這項活動不包括合併信託的債務和盤中借款。報告的每個時期發行和償還的債務金額代表發行和贖回時債務的面值。

與2023年第三季度相比，我們在2024年第三季度增加了長期債務的發行，利用有利的市場條件額外發行長期債務，以增強我們的流動性狀況。

房利美的債務活動
			截至9月30日的三個月，												在截至9月30日的9個月內，
			2024						2023						2024						2023
			(百萬美元)
期間發佈：
短期：
量			$	54,196					$	53,770					$	195,354					$	164,921
加權平均利率			5.21		%				5.11		%				5.27		%				4.72		%
長期：
量			$	13,605					$	1,515					$	23,462					$	7,476
加權平均利率			5.22		%				5.22		%				5.19		%				5.31		%
已發佈總數：
量			$	67,801					$	55,285					$	218,816					$	172,397
加權平均利率			5.21		%				5.12		%				5.26		%				4.74		%
期間還清：(1)
短期：
量			$	54,804					$	55,156					$	201,263					$	160,867
加權平均利率			4.69		%				4.36		%				4.73		%				4.17		%
長期：(2)
量			$	10,600					$	12,207					$	20,558					$	20,094
加權平均利率			2.88		%				0.87		%				3.20		%				1.53		%
已償還總額：
量			$	65,404					$	67,363					$	221,821					$	180,961
加權平均利率			4.40		%				3.73		%				4.59		%				3.87		%

(1)由所有債務付款組成，包括定期安排的本金付款、到期付款、贖回產生的付款以及任何其他回購的付款。債務回購和零息債務提前退役按原始面值報告，不等於實際現金支付金額。

(2)包括2018年11月之前作爲CAS債務發行的信用風險分擔證券。有關我們信用風險轉移交易的信息，請參閱我們2023年表格10-k中的「MD & A-單一家庭企業-單一家庭抵押信貸風險管理-單一家庭信用增強和抵押信貸風險轉移-信貸風險轉移交易」。

房利美2024年第三季度10-Q表格						50

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			MD&A|流動性和資本管理

公司流動性投資組合

下圖顯示了有關我們的企業流動性投資組合組成的信息。我們的企業流動性投資組合的餘額和組成因我們的現金流、固定收益市場的流動性以及我們的流動性風險管理框架和實踐的變化而波動。

						美國國債
						根據轉售協議購買的證券
						現金及現金等價物(1)

(1)    現金等值物由隔夜逆回購協議和美國國債（如果有的話）組成，其到期日爲三個月或更短。

表外安排

我們達成某些業務安排，以促進我們向二級抵押貸款市場提供流動性的法定目的，並減少我們面臨的利率波動風險。其中一些安排沒有記錄在我們的簡明綜合資產負債表中，或者可能記錄的金額與交易的完整合同或名義金額不同，具體取決於萬億.e安排的性質或結構以及所需的會計處理。這些安排通常被稱爲「資產負債表外安排」，使我們面臨超過簡明綜合資產負債表中記錄的金額的潛在損失。

我們的表外安排主要源於以下原因：

•我們對我們沒有控制權的抵押貸款證券化和再證券化交易的擔保，反映在扣除我們保留的任何實際所有權權益後的未合併房利美MBS以及我們不控制的其他財務擔保中;

•流動性支持交易;和

•partnership interests.

The total amount of our off-balance sheet exposure related to unconsolidated Fannie Mae MBS net of any beneficial interest that we retain, and other financial guarantees was $215.2 billion as of September 30, 2024 and $227.5 billion as of December 31, 2023. The majority of the other financial guarantees consists of Freddie Mac securities backing Fannie Mae structured securities. See “Guaranty Book of Business” and “Note 7, Financial Guarantees” for more information regarding our maximum exposure to loss on unconsolidated Fannie Mae MBS and Freddie Mac securities.

Our total outstanding liquidity commitments to advance funds for securities backed by multifamily housing revenue bonds totaled $4.4 billion as of September 30, 2024 and $4.5 billion as of December 31, 2023. These commitments require us to advance funds to third parties that enable them to repurchase tendered bonds or securities that are unable to be remarketed.

We have investments in various limited partnerships and similar legal entities, which consist of LIHTC investments, community investments and investments in other entities. When we do not have a controlling financial interest in those entities, our condensed consolidated balance sheets reflect only our investment rather than the full amount of the partnership’s assets and liabilities. See “Note 3, Consolidations and Transfers of Financial Assets—Unconsolidated VIEs” for information regarding our investments in limited partnerships and similar legal entities.

Fannie Mae Third Quarter 2024 Form 10-Q						51

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			MD&A | Liquidity and Capital Management

Cash Flows

Nine Months Ended September 30, 2024. Cash, cash equivalents and restricted cash and cash equivalents increased from $68.7 billion as of December 31, 2023 to $76.8 billion as of September 30, 2024. The increase was primarily driven by cash inflows from (1) proceeds from repayments of loans, (2) the sale of Fannie Mae MBS to third parties, and (3) investments in securities purchased under agreements to resell.

Partially offsetting these cash inflows were cash outflows from (1) payments on outstanding debt of consolidated trusts, (2) purchases of loans held for investment, and (3) advances to lenders.

Nine Months Ended September 30, 2023. Cash, cash equivalents and restricted cash and cash equivalents decreased from $87.8 billion as of December 31, 2022 to $81.8 billion as of September 30, 2023. The decrease was primarily driven by cash outflows from (1) payments on outstanding debt of consolidated trusts, (2) purchases of loans held for investment, and (3) advances to lenders.

Partially offsetting these cash outflows were cash inflows from (1) proceeds from repayments of loans and (2) the sale of Fannie Mae MBS to third parties.

Credit Ratings

As of September 30, 2024, our credit ratings issued by the three major credit rating agencies have not changed since December 31, 2023. For information on these credit ratings, see “MD&A—Liquidity and Capital Management—Liquidity Management—Credit Ratings” in our 2023 Form 10-K.

Capital Management

Capital Requirements

FHFA published a final rule in November 2023 amending several provisions of the enterprise regulatory capital framework, with most of the amendments becoming effective in April 2024. For a description of our capital requirements under the enterprise regulatory capital framework, including the amended provisions, see “Business—Legislation and Regulation—Capital Requirements” in our 2023 Form 10-K. Although the enterprise regulatory capital framework went into effect in February 2021, we are not required to hold capital according to the framework’s requirements until the date of termination of our conservatorship, or such later date as may be ordered by FHFA.

The table below sets forth information about our capital requirements under the standardized approach of the enterprise regulatory capital framework. Available capital under the enterprise regulatory capital framework excludes the stated value of the senior preferred stock of $120.8 billion and other specified amounts. As a result of these exclusions, we had a deficit in available capital as of September 30, 2024, despite having a positive net worth under accounting principles generally accepted in the United States of America (“GAAP”).

We had a $228 billion shortfall of our available capital deficit of $41 billion to the adjusted total capital requirement (including buffers) of $187 billion under the standardized approach of the enterprise regulatory capital framework as of September 30, 2024. This capital shortfall (including buffers) declined by $15 billion from December 31, 2023 to September 30, 2024, primarily as a result of the increase in our retained earnings during the first nine months of 2024 and the impact of the amendments to the enterprise regulatory capital framework that became effective in April 2024. We had a $147 billion shortfall of our available capital deficit of $41 billion to the minimum adjusted total capital requirement (excluding buffers) of $106 billion as of September 30, 2024. This capital shortfall (excluding buffers) declined by $17 billion from December 31, 2023 to September 30, 2024.

Fannie Mae Third Quarter 2024 Form 10-Q						52

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			MD&A | Liquidity and Capital Management

Capital Metrics under the Enterprise Regulatory Capital Framework as of September 30, 2024(1)
(Dollars in billions)
Adjusted total assets						$	4,446					Stress capital buffer						$	33
Risk-weighted assets (standardized approach):												Stability capital buffer						48
Credit risk						$	1,220					Countercyclical capital buffer						—
Market risk						28						Prescribed capital conservation buffer amount						$	81
Operational risk						83
Total risk-weighted assets						$	1,331

						Minimum Capital Ratio Requirement						Minimum Capital Requirement						Applicable Buffers(2)						Total Capital Requirement (including Buffers)						Available Capital (Deficit)						Capital Shortfall
Risk-based capital:
			Total capital (statutory)			8.0		%				$	106					N/A						$	106					$	(23)					$	(129)
			Common equity tier 1 capital			4.5						60						$	81					141						(60)						(201)
			Tier 1 capital			6.0						80						81						161						(41)						(202)
			Adjusted total capital			8.0						106						81						187						(41)						(228)
Leverage capital:
			Core capital (statutory)			2.5						111						N/A						111						(30)						(141)
			Tier 1 capital			2.5						111						24						135						(41)						(176)

Capital Metrics under the Enterprise Regulatory Capital Framework as of December 31, 2023(1)
(Dollars in billions)
Adjusted total assets						$	4,552					Stress capital buffer						$	34
Risk-weighted assets (standardized approach):												Stability capital buffer						45
Credit risk						$	1,241					Countercyclical capital buffer						—
Market risk						31						Prescribed capital conservation buffer amount						$	79
Operational risk						85
Total risk-weighted assets						$	1,357

						Minimum Capital Ratio Requirement						Minimum Capital Requirement						Applicable Buffers(2)						Total Capital Requirement (including Buffers)						Available Capital (Deficit)						Capital Shortfall
Risk-based capital:
			Total capital (statutory)			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)			2.5						114						N/A						114						(43)						(157)
			Tier 1 capital			2.5						114						23						137						(55)						(192)

(1)Ratios are calculated as a percentage of risk-weighted assets for risk-based capital metrics and as a percentage of adjusted total assets for leverage capital metrics.

(2)Prescribed capital conservation buffer amount, or PCCBA, for risk-based capital and prescribed leverage buffer amount, or PLBA, for leverage capital.

Fannie Mae Third Quarter 2024 Form 10-Q						53

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			MD&A | Liquidity and Capital Management

At September 30, 2024, our maximum payout ratio under the enterprise regulatory capital framework was 0%. See “Note 15, Regulatory Capital Requirements” for information on our capital ratios as of September 30, 2024 and December 31, 2023 under the enterprise regulatory capital framework.

The table below presents certain components of our regulatory capital.

Regulatory Capital Components
												As of
												September 30, 2024						December 31, 2023
												(Dollars in millions)
Total equity												$	90,530					$	77,682
Less:
			Senior preferred stock									120,836						120,836
			Preferred stock									19,130						19,130
Common equity												(49,436)						(62,284)
			Less: deferred tax assets arising from temporary differences that exceed 10% of common equity tier 1 capital and other regulatory adjustments									10,968						11,681
Common equity tier 1 capital (deficit)												(60,404)						(73,965)
			Add: perpetual, noncumulative preferred stock									19,130						19,130
Tier 1 capital (deficit)												(41,274)						(54,835)
Tier 2 capital adjustments												—						—
Adjusted total capital (deficit)												$	(41,274)					$	(54,835)

The table below presents certain components of our core capital.

Statutory Capital Components
												As of
												September 30, 2024						December 31, 2023
												(Dollars in millions)
Total equity												$	90,530					$	77,682
Less:
			Senior preferred stock									120,836						120,836
			Accumulated other comprehensive income (loss), net of taxes									32						32
Core capital (deficit)												$	(30,338)					$	(43,186)
			Less: general allowance for foreclosure losses									(7,818)						(8,934)
Total capital (deficit)												$	(22,520)					$	(34,252)

Capital Activity

Under the terms governing the senior preferred stock, no dividends were payable to Treasury for the third quarter of 2024 and none are payable for the fourth quarter of 2024.

Under the terms governing the senior preferred stock, through and including the capital reserve end date, any increase in our net worth during a fiscal quarter results in an increase of the same amount in the aggregate liquidation preference of the senior preferred stock in the following quarter. The capital reserve end date is defined as the last day of the second consecutive fiscal quarter during which we have had and maintained capital equal to, or in excess of, all of the capital requirements and buffers under the enterprise regulatory capital framework.

As a result of these terms governing the senior preferred stock, the aggregate liquidation preference of the senior preferred stock increased to $208.0 billion as of September 30, 2024 from $203.5 billion as of June 30, 2024, due to the $4.5 billion increase in our net worth in the second quarter of 2024. The aggregate liquidation preference of the senior preferred stock will further increase to $212.0 billion as of December 31, 2024, due to the $4.0 billion increase in our net worth in the third quarter of 2024. See “Business—Conservatorship and Treasury Agreements—Treasury Agreements” in our 2023 Form 10-K for more information on the terms of our senior preferred stock, including how the aggregate liquidation preference is determined.

Fannie Mae Third Quarter 2024 Form 10-Q						54

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			MD&A | Liquidity and Capital Management

Increases in our net worth improve our capital position and our ability to absorb losses; however, increases in our net worth also increase the aggregate liquidation preference of the senior preferred stock by the same amount until the capital reserve end date as discussed above.

Treasury Funding Commitment

Treasury made a commitment under the senior preferred stock purchase agreement to provide funding to us under certain circumstances if we have a net worth deficit. As of September 30, 2024, the remaining amount of Treasury’s funding commitment to us was $113.9 billion. See “Note 2, Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters” in our 2023 Form 10-K for more information on Treasury’s funding commitment under the senior preferred stock purchase agreement.

Risk Management

Our business activities expose us to the following major categories of risk: credit risk (including mortgage credit risk and institutional counterparty credit risk), market risk (including interest-rate risk), liquidity and funding risk, operational risk (including cyber/information security risk and third-party risk) and model risk, as well as strategic risk, compliance risk and reputational risk. We are also exposed to climate risk, which we view as a cross-cutting risk that can impact a variety of our existing risk categories, particularly credit risk. See “MD&A—Risk Management” in our 2023 Form 10-K for a discussion of our management of these risks. This section supplements and updates that discussion but does not address all of the risk management categories described in our 2023 Form 10-K.

Institutional Counterparty Credit Risk Management

Mortgage Insurers

In August 2024, FHFA announced that Fannie Mae and Freddie Mac are issuing updates to the Private Mortgage Insurer Eligibility Requirements (“PMIERs”), which are the financial and operational standards that private mortgage insurance companies must meet to provide insurance on the mortgage loans that we and Freddie Mac acquire. The updated standards primarily are designed to address the risk management associated with the quality of a mortgage insurer’s investment portfolio and the potential for that portfolio to lose value. FHFA stated that the updated standards will improve Fannie Mae and Freddie Mac’s counterparty risk management and better prepare them to withstand a future stress situation while fulfilling their mission to serve as a reliable source of liquidity for equitable and sustainable housing finance throughout the economic cycle. The updated standards will be implemented through a 24-month phased-in approach, with a fully effective date of September 30, 2026.

Market Risk Management, including Interest-Rate Risk Management

We are subject to market risk, which includes interest-rate risk and spread risk. These risks arise primarily from our mortgage asset investments. Interest-rate risk is the risk that movements in interest rates will adversely affect the value of our assets or liabilities or our future earnings or capital. Spread risk is the risk from changes in an instrument’s value that relate to factors other than changes in interest rates. We do not currently actively manage or hedge, on an economic basis, our spread risk, or the interest-rate risk arising from cost basis adjustments and float income associated with mortgage assets held by our consolidated MBS trusts. See “MD&A—Risk Management—Market Risk Management, including Interest-Rate Risk Management” and “Risk Factors—Market and Industry Risk” in our 2023 Form 10-K for additional information, including our sources of interest-rate risk exposure, business risks posed by changes in interest rates, and our strategy for managing interest-rate risk. For additional information on the impact of interest-rate risk on our earnings, see “Earnings Exposure to Interest-Rate Risk” below.

Fannie Mae Third Quarter 2024 Form 10-Q						55

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MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management

Measurement of Interest-Rate Risk

The table below displays the pre-tax market value sensitivity of our net portfolio to changes in the level of interest rates and the slope of the applicable yield curve as measured on the last day of each period presented. We collectively define our net portfolio as: our retained mortgage portfolio assets; our corporate liquidity portfolio; outstanding debt of Fannie Mae used to fund the retained mortgage portfolio assets and corporate liquidity portfolio; mortgage commitments; and risk management derivatives. The table below also provides the daily average, minimum, maximum and standard deviation values for duration gap and for the most adverse market value impact on the net portfolio to changes in the level of interest rates and the slope of the applicable yield curve for the three months ended September 30, 2024 and 2023. Our practice is to allow interest rates to go below zero in the downward shock models unless otherwise prevented through contractual floors.

For information on how we measure our interest-rate risk, see “MD&A—Risk Management—Market Risk Management, including Interest-Rate Risk Management” in our 2023 Form 10-K.

Interest-Rate Sensitivity of Net Portfolio to Changes in Interest-Rate Level and Slope of Yield Curve
			As of(1)(2)
			September 30, 2024												December 31, 2023
			(Dollars in millions)
Rate level shock:
-100 basis points						$	7											$	53
-50 basis points						7												39
+50 basis points						4												(47)
+100 basis points						23												(93)
Rate slope shock:
-25 basis points (flattening)						(3)												(7)
+25 basis points (steepening)						4												5

						For the Three Months Ended September 30,(1)(3)
						2024																														2023
						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									$	(4)											$	(20)								0.04									$	(9)											$	(33)
Minimum						(0.01)									(11)												(59)									0.01									(18)												(58)
Maximum						0.09									(1)												4									0.06									(1)												(11)
Standard deviation						0.02									2												15									0.01									4												10

(1)Computed based on changes in SOFR interest-rates swap curve. Changes in the level of interest rates assume a parallel shift in all maturities of the SOFR interest-rate swap curve. Changes in the slope of the yield curve assume a constant 7-year rate, a shift of 16.7 basis points for the 1-year rate (and shorter tenors) and an opposite shift of 8.3 basis points for the 30-year rate. Rate shocks for remaining maturity points are interpolated.

(2)Measured on the last business day of each period presented.

(3)Computed based on daily values during the period presented.

The market value sensitivity of our net portfolio varies across a range of interest-rate shocks depending upon the duration and convexity profile of our net portfolio. The market value sensitivity of the net portfolio is measured by quantifying the change in the present value of the cash flows of our financial assets and liabilities that would result from an instantaneous shock to interest rates, assuming spreads are held constant.

Fannie Mae Third Quarter 2024 Form 10-Q						56

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MD&A | Risk Management | Market Risk Management, including Interest-Rate Risk Management

We use derivatives to help manage the residual interest-rate risk exposure between the assets and liabilities in our net portfolio. Derivatives have enabled us to keep our economic interest-rate risk exposure at consistently low levels in a wide range of interest-rate environments. The table below displays an example of how derivatives impacted the net market value exposure for a 50 basis point parallel interest-rate shock. For additional information on our derivative positions, see “Note 9, Derivative Instruments” in our 2023 Form 10-K and in this report.

Derivative Impact on Interest-Rate Risk (50 Basis Points)
						As of(1)
						September 30, 2024												December 31, 2023
						(Dollars in millions)
Before derivatives									$	(656)											$	(449)
After derivatives									4												(47)
Effect of derivatives									660												402

(1)Measured on the last business day of each period presented.

Earnings Exposure to Interest-Rate Risk

While we manage the interest-rate risk of our net portfolio with the objective of remaining neutral to movements in interest rates and volatility on an economic basis, our earnings can experience volatility due to interest-rate changes and differing accounting treatments that apply to certain financial instruments on our balance sheet. Specifically, we have exposure to earnings volatility that is driven by changes in interest rates in two primary areas: our net portfolio and our consolidated MBS trusts. The exposure in the net portfolio is primarily driven by changes in the fair value of risk management derivatives, mortgage commitments, and certain assets, primarily securities, that are carried at fair value. The exposure related to our consolidated MBS trusts relates to changes in our credit loss reserves and to the amortization of cost basis adjustments resulting from changes in interest rates.

We apply fair value hedge accounting to address some of the exposure to interest rates, particularly the earnings volatility related to changes in benchmark interest rates. Our hedge accounting program is specifically designed to address the volatility of our financial results associated with changes in fair value related to changes in these benchmark interest rates. As such, earnings variability driven by other factors, such as spreads or changes in cost basis amortization recognized in net interest income, remains. In addition, our ability to effectively reduce earnings volatility is dependent upon the volume and type of interest-rate swaps available for hedging, which is driven by our interest-rate risk management strategy discussed above and in our 2023 Form 10-K. As our range of available interest-rate swaps varies over time, our ability to reduce earnings volatility through hedge accounting may vary as well. When the shape of the yield curve shifts significantly from period to period, hedge accounting may be less effective. In our current program, we establish new hedging relationships each business day to provide flexibility in our overall risk management strategy.

See “Note 1, Summary of Significant Accounting Policies” in our 2023 Form 10-K and “Note 9, Derivative Instruments” in this report for additional information on our fair value hedge accounting policy and related disclosures.

Critical Accounting Estimates

The preparation of financial statements in accordance with GAAP requires management to make a number of judgments, estimates and assumptions that affect the reported amount of assets, liabilities, income and expenses in our condensed consolidated financial statements. Understanding our accounting policies and the extent to which we use management judgment and estimates in applying these policies is integral to understanding our financial statements. We describe our most significant accounting policies in “Note 1, Summary of Significant Accounting Policies” in this report and in our 2023 Form 10-K.

We evaluate our critical accounting estimates and judgments required by our policies on an ongoing basis and update them as necessary based on changing conditions. Management has discussed any significant changes in judgments and assumptions in applying our critical accounting estimates with the Audit Committee of our Board of Directors. See “Risk Factors—General Risk” in our 2023 Form 10-K for a discussion of the risks associated with the need for management to make judgments and estimates in applying our accounting policies and methods. We have identified one of our accounting estimates, allowance for loan losses, as critical because it involves significant judgments and assumptions about highly complex and inherently uncertain matters, and the use of reasonably different judgments and assumptions could have a material impact on our reported results of operations or financial condition.

Fannie Mae Third Quarter 2024 Form 10-Q						57

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			MD&A | Critical Accounting Estimates

Allowance for Loan Losses

The allowance for loan losses is an estimate of single-family and multifamily HFI loan receivables that we expect will not be collected related to loans held by Fannie Mae or by consolidated Fannie Mae MBS trusts. The expected credit losses are deducted from the amortized cost basis of HFI loans to present the net amount expected to be received.

The allowance for loan losses involves substantial judgment on a number of matters including the development and weighting of macroeconomic forecasts, the reversion period applied, the assessment of similar risk characteristics, which determines the historic loss experience used to derive probability of loan default, the valuation of collateral, which includes judgments about the property condition at the time of foreclosure, and the determination of a loan’s remaining expected life. Our most significant judgments involved in estimating our allowance for loan losses relate to the modeled macroeconomic data used to develop reasonable and supportable forecasts for key economic drivers, which are subject to significant inherent uncertainty. Most notably, for single-family, the model uses forecasted single-family home prices as well as a range of possible future interest rate environments. For multifamily, the model uses forecasted rental income and property valuations over the remaining life of each mortgage loan. In developing a reasonable and supportable forecast, the model simulates multiple paths of interest rates, rental income and property values based on current market conditions.

Quantitative Component

We use a discounted cash flow method to measure expected credit losses on our single-family mortgage loans and an undiscounted loss method to measure expected credit losses on our multifamily mortgage loans.

Our modeled loan performance is based on our historical experience of loans with similar risk characteristics adjusted to reflect current conditions and reasonable and supportable forecasts. Our historical loss experience and our loan loss estimates capture the possibility of a multitude of events, including remote events that could result in credit losses on loans that are considered low risk. Our credit loss models, including the macroeconomic forecast data used as key inputs, are subject to our model oversight and review processes as well as other established governance and controls.

Qualitative Component

Our process for measuring expected credit losses is complex and involves significant management judgment, including a reliance on historical loss information and current economic forecasts that may not be representative of credit losses we ultimately realize. Management adjustments may be necessary to take into consideration external factors and current macroeconomic events that have occurred but are not yet reflected in the data used to derive the model outputs. Qualitative factors and events not previously observed by the models through historical loss experience may also be considered, as well as the uncertainty of their impact on credit loss estimates. Qualitative factors considered in the third quarter of 2024 evaluation of multifamily credit losses included uncertainty relating to multifamily property values and the ongoing investigation of multifamily lending transactions involving suspected fraud. For single-family, qualitative factors considered included the potential impact of Hurricane Helene. See “Consolidated Results of Operations—Benefit (Provision) for Credit Losses” for additional information about these factors.

Macroeconomic Variables and Sensitivities

Our benefit or provision for credit losses can vary substantially from period to period based on forecasted macroeconomic drivers; primarily home prices and interest rates related to our single-family book of business, which for the purposes of macroeconomic model inputs, we have determined are the most significant judgments used in our estimation of credit losses. We develop regional forecasts for single-family home prices using a multi-path simulation that captures home price projections over a five-year period, which is the period for which we can develop reasonable and supportable forecasts. After the five-year period, the home price forecast reverts to a historical long-term growth rate. Additionally, our model projects the range of possible interest rate scenarios over the life of the loan. This process captures multiple possible outcomes of what could be more or less favorable economic environments for the borrower, and therefore will increase or decrease the likelihood of default or prepayment depending on the environment in each path of the simulation.

Fannie Mae Third Quarter 2024 Form 10-Q						58

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			MD&A | Critical Accounting Estimates

The table below provides information about our most significant key macroeconomic inputs used in determining our single-family allowance for loan losses: forecasted home price growth rates and interest rates. Although the model consumes a wide range of possible regional home price forecasts and interest rate scenarios that take into account inherent uncertainty, the forecasts below represent the mean path of those simulations used in determining the allowance for each quarter through the nine months ended September 30, 2024, and for each quarter during the year ended December 31, 2023, and how those forecasts have changed between periods of estimate. Below we present our home price growth and interest rate estimates used in our estimate of expected credit losses. Our forecasts include estimates for periods beyond 2026 that are not presented in the table below.

Select Single-Family Macroeconomic Model Inputs(1)
Forecasted home price growth (decline) rate by period of estimate:(2)
			For the Full Year ending December 31,
			2024						2025						2026
Third Quarter 2024			5.9		%				3.6		%				1.7		%
Second Quarter 2024			6.6						3.0						0.8
First Quarter 2024			4.8						1.5						*
			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)
Forecasted 30-year mortgage interest rates by period of estimate:(3)
			Through the end of December 31,						For the Full Year ending December 31,
			2024						2025						2026
Third Quarter 2024			6.2		%				5.9		%				5.9		%
Second Quarter 2024			7.0						6.6						6.4
First Quarter 2024			6.8						6.4						6.2
			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

*    Represents less than 0.05% of home price growth (decline).

(1)These forecasts are provided here solely for the purpose of providing insight into our credit loss model. Forecasts for future periods are subject to significant uncertainty, which increases for periods that are further in the future. We provide our most recent forecasts for certain macroeconomic and housing market conditions in “Key Market Economic Indicators.” In addition, each month our Economic & Strategic Research group provides its forecast of economic and housing market conditions, which are available in the “About Us/Research and Insights” section of our website, www.fanniemae.com. Information on our website is not incorporated into this report.

(2)These estimates are based on our national home price index, which is calculated differently from the S&P CoreLogic Case-Shiller U.S. National Home Price Index and therefore results in different percentages for comparable growth. We periodically update our home price growth estimates and forecasts as new data become available. As a result, the forecast data in this table may also differ from the forecasted home price growth rate presented in “Key Market Economic Indicators,” because that section reflects our most recent forecast as of the filing date of this report, while this table reflects the quantitative forecast data we used in our model to estimate credit losses for the periods shown. Management continues to monitor macroeconomic updates to our inputs in our credit loss model from the time they are

Fannie Mae Third Quarter 2024 Form 10-Q						59

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			MD&A | Critical Accounting Estimates

approved as part of our established governance process to ensure the reasonableness of the inputs used to calculate estimated credit losses. The forecast data excludes the impact of any qualitative adjustments.

(3)Forecasted 30-year interest rates represent the mean of possible future interest rate environments that are simulated by our interest rate model and used in the estimation of credit losses. Forecasts through the end of December 31, 2024 and 2023 represent the average forecasted rate from the quarter-end through the calendar year end of December 31st. The fourth quarter of 2023 interest rate represents the 30-year interest rate as of December 31, 2023. This table reflects the forecasted interest rate data we used in estimating credit losses for the periods shown and does not reflect changes in interest rates that occurred after the forecast date.

It is difficult to estimate how potential changes in any one factor or input might affect the overall credit loss estimates, because management considers a wide variety of factors and inputs in estimating the allowance for loan losses. Changes in the factors and inputs considered may not occur at the same rate and may not be consistent across all geographies or loan types, and changes in factors and inputs may be directionally inconsistent, such that improvement in one factor or input may offset deterioration in others. Changes in our assumptions and forecasts of economic conditions could significantly affect our estimate of expected credit losses and lead to significant changes in the estimate from one reporting period to the next.

As noted above, our allowance for loan losses is sensitive to changes in home prices and interest rate changes. To consider the impact of a hypothetical change in home prices, assuming a positive one-percentage point change in the home price growth rate for the first twelve months of the forecast, on a normalized basis, with all other factors held constant, the single-family allowance for loan losses as of September 30, 2024 would decrease by approximately 3%. Conversely, assuming a negative one-percentage point change in the home price growth rate for the first twelve months of the forecast, on a normalized basis, the single-family allowance for loan losses would increase by approximately 3%.

To consider the impact of a hypothetical change in 30-year interest rates, assuming a 50-basis point increase in estimated 30-year interest rates, with all other factors held constant, the single-family allowance for loan losses as of September 30, 2024 would increase by approximately 4%. Conversely, assuming a 50-basis point decrease in 30-year interest rates, the single-family allowance for loan losses would decrease by approximately 5%.

These sensitivity analyses are hypothetical and are provided solely for the purpose of providing insight into our credit loss model inputs. In addition, sensitivities for home price and interest rate changes are non-linear. As a result, changes in these estimates are not incrementally proportional. The purpose of this analysis is to provide an indication of the impact of home price appreciation and 30-year interest rates on the estimate of the allowance for credit losses. For example, it is not intended to imply management’s expectation of future changes in our forecasts or any other variables that may change as a result.

We provide more detailed information on our accounting for the allowance for loan losses in “Note 1, Summary of Significant Accounting Policies” in our 2023 Form 10-K. See “Note 5, Allowance for Loan Losses” for additional information about our current period benefit for loan losses.

See “Key Market Economic Indicators” in our 2023 Form 10-K for additional information about how home prices can affect our credit loss estimates. See “Key Market Economic Indicators” in this report for a discussion of home price growth rates and our home price forecast. Also see “Consolidated Results of Operations—Benefit (Provision) for Credit Losses” in this report for information on how our home price forecast impacted our single-family benefit for credit losses.

Impact of Future Adoption of New Accounting Guidance

We identify and discuss the expected impact on our condensed consolidated financial statements of recently issued accounting guidance in “Note 1, Summary of Significant Accounting Policies.”

Forward-Looking Statements

This report includes statements that constitute forward-looking statements within the meaning of Section 21E of the Securities Exchange Act of 1934 (the “Exchange Act”). In addition, we and our senior management may from time to time make forward-looking statements in our other filings with the SEC, our other publicly available written statements, and orally to analysts, investors, the news media and others. Forward-looking statements often include words such as “expect,” “anticipate,” “intend,” “plan,” “believe,” “seek,” “estimate,” “forecast,” “project,” “would,” “should,” “could,” “likely,” “may,” “will” or similar words. Examples of forward-looking statements in this report include, among others, statements relating to our beliefs and expectations regarding the following matters:

•economic, mortgage market and housing market conditions (including expectations regarding home price growth, the unemployment rate, loan origination volumes, economic growth and interest rates), the factors that will affect those conditions, and the impact of those conditions on our business and financial results;

•the impact of hedge accounting on the volatility of our financial results;

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			MD&A | Forward-Looking Statements

•the future aggregate liquidation preference of our senior preferred stock;

•our future dividend payments on the senior preferred stock;

•our business plans and strategies, and their impact;

•the credit performance of the loans in our guaranty book of business (including future loan delinquencies, foreclosures and forbearances) and the factors that will affect such performance;

•the effects of our credit risk transfer transactions, as well as the factors that will affect our engagement in future credit risk transfer transactions;

•how we intend to repay our debt obligations;

•the impact of the adoption of new accounting guidance;

•our payments to HUD and Treasury funds under the GSE Act;

•legal and regulatory proceedings; and

•the risks to our business.

Forward-looking statements reflect our management’s current expectations, forecasts or predictions of future conditions, events or results based on various assumptions and management’s estimates of trends and economic conditions in the markets in which we are active and that otherwise impact our business plans. Forward-looking statements are not guarantees of future performance. By their nature, forward-looking statements are subject to significant risks and uncertainties and changes in circumstances. Our actual results and financial condition may differ, possibly materially, from the anticipated results and financial condition indicated in these forward-looking statements.

There are a number of factors that could cause actual conditions, events or results to differ materially from those described in our forward-looking statements, including, among others, the following:

•factors that will affect future economic conditions, including the persistence of inflationary pressures and the risk of financial market disruptions;

•growth, deterioration and the overall health and stability of the U.S. economy, including GDP, unemployment rates, personal income, inflation and other indicators thereof;

•the timing and level of, as well as regional variation in, home price changes;

•the volume of mortgage originations;

•the size and our share of the U.S. mortgage market and the factors that affect them, including population growth and household formation;

•changes in fiscal or monetary policy of the U.S. or other countries, and the impact of such changes on domestic and international financial markets;

•domestic, regional and global political risks and uncertainties, including the impact of conflict in the Middle East, the Russian war in Ukraine, and tensions between China and Taiwan;

•the impact of stress in the banking sector on the financial condition and business activities of our counterparties, including stress on regional banks and on banks with significant exposure to commercial real estate;

•future interest rates and credit spreads;

•developments that may be difficult to predict, including: market conditions that result in changes in our deferred guaranty fee income or changes in net interest income from our portfolios; fluctuations in the estimated fair value of our derivatives and other financial instruments that we mark to market through our earnings; and developments that affect our loss reserves, such as changes in interest rates, home prices or accounting standards;

•disruptions or instability in the housing and credit markets;

•changes in the demand for Fannie Mae MBS, our debt securities or our credit risk transfer securities, in general or from one or more major groups of investors;

•constraints on our entry into new credit risk transfer transactions;

•a decrease in our credit ratings;

•limitations on our ability to access the debt capital markets;

Fannie Mae Third Quarter 2024 Form 10-Q						61

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			MD&A | Forward-Looking Statements

•the size, composition, quality and performance of our guaranty book of business and retained mortgage portfolio;

•how long loans in our guaranty book of business remain outstanding;

•our and our competitors’ future guaranty fee pricing and the impact of that pricing on our competitive environment and guaranty fee revenues;

•the competitive environment in which we operate, including the impact of legislative, regulatory or other developments on levels of competition in our industry and other factors affecting our market share;

•significant challenges we face in retaining and hiring qualified executives and other employees;

•our conservatorship, including any changes to or termination (by receivership or otherwise) of the conservatorship and its effect on our business;

•the investment by Treasury, including the impact of past or potential future changes to the terms of the senior preferred stock purchase agreement, and their effect on our business, including restrictions imposed on us by the terms of the senior preferred stock purchase agreement, the senior preferred stock, and the warrant, as well as the extent that these or other restrictions on our business and activities are applied to us through other mechanisms even if we cease to be subject to these agreements and instruments;

•uncertainty regarding our future, our exit from conservatorship, our ability to raise or earn the capital needed to meet our capital requirements, and our ability to achieve long-term return targets;

•the impact of the enterprise regulatory capital framework, as well as future legislative and regulatory requirements or changes, governmental initiatives, or executive orders affecting us, such as the enactment of housing finance reform legislation, including changes that limit our business activities or our footprint, impose new mandates on us, or affect our ability to change our pricing;

•the possibility that changes in leadership at FHFA or the Administration may result in changes that affect our company or our business;

•actions we may be required to take by FHFA, in its role as our conservator or as our regulator, such as changes in the type of business we do, actions relating to UMBS or our resecuritization of Freddie Mac-issued securities, or credit risk management actions;

•limitations on our business imposed by FHFA, in its role as our conservator or as our regulator;

•adverse effects from activities we undertake to support the mortgage market and help borrowers, renters, lenders and servicers, including actions we may take to reach additional underserved borrowers or address barriers to sustainable housing opportunities and advance equity in housing finance;

•our reliance on Common Securitization Solutions, LLC (“CSS”), a limited liability company we own jointly with Freddie Mac, and the common securitization platform CSS operates for a majority of our single-family securitization activities; provisions in the CSS limited liability company agreement that permit FHFA to add members to the CSS Board of Managers, which may limit the ability of Fannie Mae and Freddie Mac to control decisions of the Board; and changes FHFA may require in our relationship with or in our support of CSS;

•actions by FHFA, Treasury, the Federal Reserve, the Office of the Comptroller of the Currency (“OCC”), the Federal Deposit Insurance Corporation (“FDIC”), the Commodity Futures Trading Commission (“CFTC”), HUD, the Consumer Financial Protection Bureau (“CFPB”), the SEC or other regulators, Congress, the Executive Branch, or state or local governments that affect our business;

•changes in the structure and regulation of the financial services industry;

•a default by the United States government on its obligations;

•a shutdown of the United States government;

•the potential impact of a change in the corporate income tax rate, which we expect would affect our net income in the quarter of enactment;

•significant changes in forbearance, modification and foreclosure activity;

•the volume and pace of any future nonperforming and reperforming loan sales and their impact on our financial results and serious delinquency rates;

•changes in borrower behavior;

•actions we may take to mitigate losses, and the effectiveness of our loss mitigation strategies, management of our REO inventory and pursuit of contractual remedies;

Fannie Mae Third Quarter 2024 Form 10-Q						62

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			MD&A | Forward-Looking Statements

•environmental disasters, terrorist attacks, widespread health emergencies or pandemics, infrastructure failures, or other disruptive or catastrophic events;

•earthquakes or other natural disasters, including those for which we may be uninsured or under-insured or that may affect our counterparties or the hazard insurers insuring properties underlying our guaranty book of business;

•severe weather events, fires, floods, wind or other climate change events or impacts, including those for which we may be uninsured or under-insured or that may affect our counterparties or the hazard insurers insuring properties underlying our guaranty book of business, and other risks resulting from climate change and efforts to address climate change and related risks;

•defaults by one or more of our counterparties or by the hazard insurers insuring properties underlying our guaranty book of business;

•resolution or settlement agreements we may enter into with our counterparties;

•our need to rely on third parties to fully achieve some of our corporate objectives, including our reliance on mortgage servicers;

•the effectiveness of our risk management processes and related controls;

•the effectiveness of our business resiliency plans and systems;

•the stability and adequacy of the systems and infrastructure that impact our operations, including ours and those of CSS, our other counterparties and other third parties;

•the impact of interdependence between the single-family mortgage securitization programs of Fannie Mae and Freddie Mac in connection with UMBS;

•operational control weaknesses;

•our reliance on models and future updates we make to our models, including the data and assumptions used by these models;

•cyber attacks or other information security breaches or threats impacting us or the third parties with which we do business;

•changes in GAAP, guidance by the Financial Accounting Standards Board (“FASB”) and changes to our accounting policies;

•changes in the fair value of our assets and liabilities; and

•the other factors described in “Risk Factors” in this report and in our 2023 Form 10-K.

Readers are cautioned not to unduly rely on the forward-looking statements we make and to place these forward-looking statements into proper context by carefully considering the factors identified above and those discussed in “Risk Factors” in our 2023 Form 10-K and in this report. These forward-looking statements are representative only as of the date they are made, and we undertake no obligation to update any forward-looking statement as a result of new information, future events or otherwise, except as required under the federal securities laws.

Fannie Mae Third Quarter 2024 Form 10-Q						63

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			Financial Statements | Condensed Consolidated Balance Sheets

Item 1.  Financial Statements

FANNIE MAE

(In conservatorship)

Condensed Consolidated Balance Sheets — (Unaudited)

(Dollars in millions)

						As of
						September 30, 2024												December 31, 2023
ASSETS
Cash and cash equivalents												$	38,146											$	35,817
Restricted cash and cash equivalents (includes $31,314 and $25,836, respectively, related to consolidated trusts)												38,626												32,889
Securities purchased under agreements to resell												18,065												30,700
Investments in securities, at fair value												61,790												53,116
Mortgage loans:
Loans held for sale, at lower of cost or fair value												1,278												2,149
Loans held for investment, at amortized cost:
Of Fannie Mae												51,455												48,199
Of consolidated trusts												4,093,581												4,094,013
Total loans held for investment (includes $3,255 and $3,315, respectively, at fair value)												4,145,036												4,142,212
Allowance for loan losses												(7,656)												(8,730)
Total loans held for investment, net of allowance												4,137,380												4,133,482
Total mortgage loans												4,138,658												4,135,631
Advances to lenders												2,595												1,389
Deferred tax assets, net												10,968												11,681
Accrued interest receivable (includes $10,703 and $10,132, respectively, related to consolidated trusts)												11,277												10,724
Other assets												14,431												13,490
Total assets												$	4,334,556											$	4,325,437
LIABILITIES AND EQUITY
Liabilities:
Accrued interest payable (includes $10,724 and $10,212, respectively, related to consolidated trusts)												$	11,451											$	10,931
Debt:
Of Fannie Mae (includes $451 and $761, respectively, at fair value)												121,715												124,065
Of consolidated trusts (includes $13,237 and $14,343, respectively, at fair value)												4,096,063												4,098,653
Other liabilities (includes $1,673 and $1,713, respectively, related to consolidated trusts)												14,797												14,106
Total liabilities												4,244,026												4,247,755
Commitments and contingencies (Note 14)												—												—
Fannie Mae stockholders’ equity:
Senior preferred stock (liquidation preference of $207,982 and $195,224, respectively)												120,836												120,836
Preferred stock, 700,000,000 shares are authorized—555,374,922 shares issued and outstanding												19,130												19,130
Common stock, no par value, no maximum authorization—1,308,762,703 shares issued and 1,158,087,567 shares outstanding												687												687
Accumulated deficit												(42,755)												(55,603)
Accumulated other comprehensive income												32												32
Treasury stock, at cost, 150,675,136 shares												(7,400)												(7,400)
Total stockholders’ equity												90,530												77,682
Total liabilities and equity												$	4,334,556											$	4,325,437

See Notes to Condensed Consolidated Financial Statements

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						64

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			Financial Statements | Condensed Consolidated Statements of Operations and Comprehensive Income

FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Operations and Comprehensive Income — (Unaudited)

(Dollars and shares in millions, except per share amounts)

						For the Three Months Ended September 30,																		For the Nine Months Ended September 30,
						2024												2023												2024									2023
Interest income:
Investments in securities						$	993											$	1,075											$	2,829								$	3,157
Mortgage loans						36,390												33,711												107,223									98,503
Other						629												629												2,033									1,665
Total interest income						38,012												35,415												112,085									103,325
Interest expense:
Short-term debt						(137)												(201)												(462)									(503)
Long-term debt						(30,600)												(27,994)												(90,057)									(81,781)
Total interest expense						(30,737)												(28,195)												(90,519)									(82,284)
Net interest income						7,275												7,220												21,566									21,041
Benefit (provision) for credit losses						27												652												507									1,786
Net interest income after benefit (provision) for credit losses						7,302												7,872												22,073									22,827
Investment gains (losses), net						12												8												(28)									(34)
Fair value gains (losses), net						52												795												979									1,403
Fee and other income						66												76												206									209
Non-interest income						130												879												1,157									1,578
Administrative expenses:
Salaries and employee benefits						(500)												(477)												(1,507)									(1,424)
Professional services						(203)												(211)												(622)									(587)
Other administrative expenses						(222)												(209)												(664)									(618)
Total administrative expenses						(925)												(897)												(2,793)									(2,629)
TCCA fees						(862)												(860)												(2,581)									(2,571)
Credit enhancement expense						(411)												(390)												(1,235)									(1,115)
Change in expected credit enhancement recoveries						89												(128)												189									(168)
Other expenses, net						(270)												(535)												(720)									(922)
Total expenses						(2,379)												(2,810)												(7,140)									(7,405)
Income before federal income taxes						5,053												5,941												16,090									17,000
Provision for federal income taxes						(1,009)												(1,242)												(3,242)									(3,535)
Net income						4,044												4,699												12,848									13,465
Other comprehensive income (loss)						3												(18)												—									(17)
Total comprehensive income						$	4,047											$	4,681											$	12,848								$	13,448
Net income						$	4,044											$	4,699											$	12,848								$	13,465
Dividends distributed or amounts attributable to senior preferred stock						(4,047)												(4,681)												(12,848)									(13,448)
Net income (loss) attributable to common stockholders						$	(3)											$	18											$	—								$	17
Earnings per share:
Basic						$	0.00											$	0.00											$	0.00								$	0.00
Diluted						0.00												0.00												0.00									0.00
Weighted-average common shares outstanding:
Basic						5,867												5,867												5,867									5,867
Diluted						5,867												5,893												5,893									5,893

See Notes to Condensed Consolidated Financial Statements

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						65

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			Financial Statements | Condensed Consolidated Statements of Cash Flows

FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Cash Flows — (Unaudited)

(Dollars in millions)

			For the Nine Months Ended September 30,
			2024												2023
Net cash provided by (used in) operating activities						$	1,864											$	9,848
Cash flows provided by (used in) investing activities:
Mortgage loans acquired held for investment:
Purchases						(100,657)												(96,791)
Proceeds from sales						1,961												1,541
Proceeds from repayments						265,196												257,697
Advances to lenders						(66,289)												(82,907)
Proceeds from disposition of acquired property, preforeclosure sales and insurance proceeds						2,996												4,648
Net change in federal funds sold and securities purchased under agreements to resell						12,635												(8,285)
Other, net						(234)												(660)
Net cash provided by (used in) investing activities						115,608												75,243
Cash flows provided by (used in) financing activities:
Proceeds from issuance of debt of Fannie Mae						355,648												307,041
Payments to redeem debt of Fannie Mae						(358,705)												(315,741)
Proceeds from issuance of debt of consolidated trusts						164,455												181,366
Payments to redeem debt of consolidated trusts						(270,804)												(263,799)
Net cash provided by (used in) financing activities						(109,406)												(91,133)
Net increase (decrease) in cash, cash equivalents and restricted cash and cash equivalents						8,066												(6,042)
Cash, cash equivalents and restricted cash and cash equivalents at beginning of period						68,706												87,841
Cash, cash equivalents and restricted cash and cash equivalents at end of period						$	76,772											$	81,799
Cash paid during the period for:
Interest						$	95,681											$	83,207
Income taxes						2,366												2,050

See Notes to Condensed Consolidated Financial Statements

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						66

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			Financial Statements | Condensed Consolidated Statements of Changes in Equity

FANNIE MAE

(In conservatorship)

Condensed Consolidated Statements of Changes in

Equity — (Unaudited)

(Dollars and shares in millions)

						Fannie Mae Stockholders’ Equity
						Shares Outstanding																		Senior Preferred Stock						Preferred Stock						Common Stock						Accumulated Deficit						Accumulated Other Comprehensive Income						Treasury Stock												Total Equity
						Senior Preferred						Preferred						Common
Balance as of June 30, 2024						1						556						1,158						$	120,836					$	19,130					$	687					$	(46,799)					$	29					$	(7,400)											$	86,483
Comprehensive income:
Net income						—						—						—						—						—						—						4,044						—						—												4,044
Other comprehensive income, net of tax effect:
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $1)						—						—						—						—						—						—						—						4						—												4
Reclassification adjustment for (gains) losses included in net income (net of taxes of $0)						—						—						—						—						—						—						—						1						—												1
Other (net of taxes of $0)						—						—						—						—						—						—						—						(2)						—												(2)
Total comprehensive income																																																																		4,047
Balance as of September 30, 2024						1						556						1,158						$	120,836					$	19,130					$	687					$	(42,755)					$	32					$	(7,400)											$	90,530

						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, 2023						1						556						1,158						$	120,836					$	19,130					$	687					$	(55,603)					$	32					$	(7,400)											$	77,682
Comprehensive income:
Net income						—						—						—						—						—						—						12,848						—						—												12,848
Other comprehensive income, net of tax effect:
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $1)						—						—						—						—						—						—						—						3						—												3
Reclassification adjustment for (gains) losses included in net income (net of taxes of $0)						—						—						—						—						—						—						—						2						—												2
Other (net of taxes of $1)						—						—						—						—						—						—						—						(5)						—												(5)
Total comprehensive income																																																																		12,848
Balance as of September 30, 2024						1						556						1,158						$	120,836					$	19,130					$	687					$	(42,755)					$	32					$	(7,400)											$	90,530

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						67

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			Financial Statements | Condensed Consolidated Statements of Changes in Equity

						Fannie Mae Stockholders’ Equity
						Shares Outstanding																		Senior Preferred Stock						Preferred Stock						Common Stock						Accumulated Deficit						Accumulated Other Comprehensive Income						Treasury Stock												Total Equity
						Senior Preferred						Preferred						Common
Balance as of June 30, 2023						1						556						1,158						$	120,836					$	19,130					$	687					$	(64,245)					$	36					$	(7,400)											$	69,044
Comprehensive income:
Net income						—						—						—						—						—						—						4,699						—						—												4,699
Other comprehensive income, net of tax effect:
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $3)						—						—						—						—						—						—						—						(16)						—												(16)
Other (net of taxes of $1)						—						—						—						—						—						—						—						(2)						—												(2)
Total comprehensive income																																																																		4,681
Balance as of September 30, 2023						1						556						1,158						$	120,836					$	19,130					$	687					$	(59,546)					$	18					$	(7,400)											$	73,725

						Fannie Mae Stockholders’ Equity
						Shares Outstanding																		Senior Preferred Stock						Preferred Stock						Common Stock						Accumulated Deficit						Accumulated Other Comprehensive Income						Treasury Stock												Total Equity
						Senior Preferred						Preferred						Common
Balance as of December 31, 2022						1						556						1,158						$	120,836					$	19,130					$	687					$	(73,011)					$	35					$	(7,400)											$	60,277
Comprehensive income:
Net income						—						—						—						—						—						—						13,465						—						—												13,465
Other comprehensive income, net of tax effect:
Changes in net unrealized gains (losses) on available-for-sale securities (net of taxes of $3)						—						—						—						—						—						—						—						(12)						—												(12)
Other (net of taxes of $1)						—						—						—						—						—						—						—						(5)						—												(5)
Total comprehensive income																																																																		13,448
Balance as of September 30, 2023						1						556						1,158						$	120,836					$	19,130					$	687					$	(59,546)					$	18					$	(7,400)											$	73,725

See Notes to Condensed Consolidated Financial Statements

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						68

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			Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

FANNIE MAE

(In conservatorship)

Notes to Condensed Consolidated Financial Statements

(Unaudited)

1.  Summary of Significant Accounting Policies

Fannie Mae is a leading source of financing for residential mortgages in the United States. We are a government-sponsored, stockholder-owned corporation, chartered by Congress to provide liquidity and stability to the U.S. housing market and to promote access to mortgage credit. We primarily do this by buying residential mortgage loans that are originated by lenders. We place these loans into trusts and issue guaranteed mortgage-backed securities (“MBS”) that global investors buy from us. We do not originate mortgage loans or lend money directly to borrowers.

We are currently operating under conservatorship, with the Federal Housing Finance Agency (“FHFA”) acting as conservator. See “Note 2, Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters” below and in our annual report on Form 10-K for the year ended December 31, 2023 (“2023 Form 10-K”) for information on our conservatorship, the senior preferred stock purchase agreement, the impact of U.S. government support of our business, and related party relationships.

Basis of Presentation

The accompanying unaudited interim condensed consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial information. Accordingly, they do not include all of the information and note disclosures required by GAAP for complete consolidated financial statements and therefore should be read in conjunction with our audited consolidated financial statements and related notes included in our 2023 Form 10-K. In the opinion of management, our unaudited interim condensed consolidated financial statements contain all adjustments, which include only normal recurring adjustments, necessary for a fair presentation of our results. The nature of our business is such that the results of any interim period are not necessarily indicative of results for a full year. The accompanying condensed consolidated financial statements include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany balances and transactions have been eliminated. To conform to our current-period presentation, we have reclassified certain amounts reported in our prior period consolidated financial statements.

Use of Estimates

Preparing condensed consolidated financial statements in accordance with GAAP requires management to make estimates and assumptions that affect our reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the dates of our condensed consolidated financial statements, as well as our reported amounts of revenues and expenses during the reporting periods. Management has made significant estimates in a variety of areas including, but not limited to, the allowance for loan losses. Actual results could be different from these estimates.

Earnings per Share

Earnings per share (“EPS”) is presented for basic and diluted EPS. We include the shares of common stock that would be issuable upon full exercise of the common stock warrant in the weighted average shares outstanding for the computation of both basic and diluted earnings per share. Weighted average common shares include 4.7 billion shares for both the periods ended September 30, 2024 and 2023 that would have been issued upon the full exercise of the warrant issued to the U.S. Department of the Treasury (“Treasury”) from the date the warrant was issued through September 30, 2024 and 2023.

For the calculation of diluted EPS, the weighted average shares outstanding is increased to include the number of additional common shares that would have been outstanding if the dilutive potential common shares had been issued. For the three months ended September 30, 2024, our diluted EPS weighted-average shares outstanding does not include the 26 million shares issuable upon the conversion of convertible preferred stock because it would have an anti-dilutive effect due to the net losses attributable to common stockholders recognized in that period. For the nine months ended September 30, 2024 and the three and nine months ended September 30, 2023, shares issuable upon the conversion of convertible preferred stock are included in the calculation.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						69

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			Notes to Condensed Consolidated Financial Statements | Summary of Significant Accounting Policies

Foreclosed Property

We present foreclosed property in “Other assets” in our condensed consolidated balance sheets. We held $1.8 billion of acquired property as of September 30, 2024 and December 31, 2023.

New Accounting Guidance

Segment Reporting

On November 27, 2023, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2023-07, Segment Reporting (Topic 280), Improvements to Reportable Segment Disclosures. The ASU enhances disclosure of an entity’s reportable segments by requiring additional information about significant segment expenses, interim disclosures of certain segment information that previously were only required on an annual basis and other detailed segment-related disclosures. The ASU applies to all public entities that are required to report segment information and is effective starting in annual periods beginning after December 15, 2023 and interim periods beginning after December 15, 2024. The ASU is required to be adopted retrospectively to all prior periods presented in the financial statements. The adoption of this guidance is not expected to have a material impact on our financial statements.

Income Taxes

On December 14, 2023, the FASB issued ASU 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures, which enhances the required disclosures primarily related to the income tax rate reconciliation and income taxes paid. The ASU requires an entity’s income tax rate reconciliation to provide additional information for reconciling items meeting a quantitative threshold, and to disclose certain selected categories within the income tax rate reconciliation. The ASU also requires entities to disclose the amount of income taxes paid, disaggregated by federal, state and foreign taxes. The ASU is effective for annual periods beginning after December 15, 2024, though early adoption is permitted. The adoption of this guidance is not expected to have a material impact on our financial statements.

2.  Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters

Conservatorship

We are currently operating under conservatorship, with FHFA acting as conservator. The conservatorship and related matters significantly affect our management, business activities, financial condition and results of operations.

Senior Preferred Stock Purchase Agreement

FHFA, as conservator, entered into a senior preferred stock purchase agreement with Treasury on our behalf in September 2008. In connection with that agreement, we issued Treasury one million shares of Variable Liquidation Preference Senior Preferred Stock, Series 2008-2, which we refer to as the “senior preferred stock,” and a warrant to purchase shares equal to 79.9% of our common stock, on a fully diluted basis, for a nominal price. This agreement also provides funding to us under certain circumstances if we have a net worth deficit. Pursuant to the senior preferred stock purchase agreement, we have received a total of $119.8 billion from Treasury as of September 30, 2024, and the amount of remaining funding available to us under the agreement is $113.9 billion. We have not received any funding from Treasury under this commitment since the first quarter of 2018. We had a positive net worth of $90.5 billion as of September 30, 2024.

The dividend provisions of the senior preferred stock permit us to retain increases in our net worth until our net worth exceeds the amount of adjusted total capital necessary for us to meet the capital requirements and buffers under the enterprise regulatory capital framework established by FHFA. As a result of our conservatorship status and the terms of the senior preferred stock, no amounts would be available to distribute as dividends to common or preferred stockholders (other than to Treasury as the holder of the senior preferred stock).

The aggregate liquidation preference of the senior preferred stock increased to $208.0 billion as of September 30, 2024 from $203.5 billion as of June 30, 2024, due to the $4.5 billion increase in our net worth in the second quarter of 2024. The aggregate liquidation preference of the senior preferred stock will further increase to $212.0 billion as of December 31, 2024, due to the $4.0 billion increase in our net worth in the third quarter of 2024.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						70

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			Notes to Condensed Consolidated Financial Statements | Conservatorship, Senior Preferred Stock Purchase Agreement and Related Matters

Impact of U.S. Government Support

We continue to rely on support from Treasury to eliminate any net worth deficits we may experience in the future, which would otherwise trigger our being placed into receivership. We are not aware of any plans of FHFA (1) to fundamentally change our business model, or (2) to reduce the aggregate amount available to or held by the company under our equity structure, which includes the senior preferred stock agreement. Based on consideration of all the relevant conditions and events affecting our operations, including our reliance on the U.S. government, we continue to operate as a going concern and in accordance with FHFA’s provision of authority.

Related Parties

Because Treasury holds a warrant to purchase shares of Fannie Mae common stock equal to 79.9% of the total number of shares of Fannie Mae common stock, we and Treasury are deemed related parties. As of September 30, 2024, Treasury held an investment in our senior preferred stock with an aggregate liquidation preference of $208.0 billion.

FHFA’s control of both Fannie Mae and Freddie Mac has caused Fannie Mae, FHFA and Freddie Mac to be deemed related parties. Additionally, Fannie Mae and Freddie Mac jointly own Common Securitization Solutions, LLC (“CSS”), a limited liability company created to operate a common securitization platform; as a result, CSS is deemed a related party. CSS operates as a separate company from us and Freddie Mac, with all funding and limited administrative support services and other resources provided to it by us and Freddie Mac.

In the ordinary course of business, Fannie Mae may purchase and sell securities issued by Treasury and Freddie Mac in the capital markets. Some of the structured securities we issue are backed in whole or in part by Freddie Mac securities. Fannie Mae and Freddie Mac each have agreed to indemnify the other party for losses caused by: its failure to meet its payment or other specified obligations under the trust agreements pursuant to which the underlying resecuritized securities were issued; its failure to meet its obligations under the customer services agreement; its violations of laws; or with respect to material misstatements or omissions in offering documents, ongoing disclosures and materials relating to the underlying resecuritized securities. We also make regular income tax payments to and receive tax refunds from the Internal Revenue Service (“IRS”), a bureau of Treasury.

The following table provides the income statement impact of our related party transactions for the periods presented in addition to the associated liability at period end. The associated liability represents amounts accrued with respect to the related party transactions that have not yet been paid to the applicable related parties. In addition to the impact described in the table below, our investment in CSS, which is accounted for using the equity method, is classified as “Other assets” in our condensed consolidated balance sheets. We contributed $14 million and $13 million to CSS for the three months ended September 30, 2024 and 2023, respectively. We contributed $52 million and $55 million to CSS for the nine months ended September 30, 2024 and 2023, respectively.

Related Party						Activity						Income Statement Classification						For the Three Months Ended September 30,												For the Nine Months Ended September 30,												Other Liabilities as of September 30, 2024
																		2024						2023						2024						2023
																		(Dollars in millions)
Treasury						TCCA fees						TCCA fees(1)						$	862					$	860					$	2,581					$	2,571					$	862
Treasury						Treasury’s Capital Magnet Fund						Other expenses, net						15						15						40						42						40
FHFA						FHFA regulatory assessment fees						Other administrative expenses						41						39						121						118						—
Treasury & Freddie Mac						Making Home Affordable Program reimbursements						Administrative expenses						—						—						—						6						—
CSS & Freddie Mac						Net operating losses associated with our investment in CSS						Other expenses, net						14						13						52						55						—

(1)Consists of the portion of our single-family guaranty fees that is paid to Treasury pursuant to the TCCA. The resulting fee revenue and expense are recorded in “Interest income: Mortgage loans” and “TCCA fees,” respectively, in our condensed consolidated statements of operations and comprehensive income.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						71

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			Notes to Condensed Consolidated Financial Statements | Consolidations and Transfers of Financial Assets

3.  Consolidations and Transfers of Financial Assets

We have interests in various entities that are considered to be variable interest entities (“VIEs”). The primary types of VIEs are securitization and resecuritization trusts, limited partnerships and special purpose vehicles (“SPVs”). Variable interests from Freddie Mac and other issuers may include a guaranty that reduces our exposure to credit risk when we hold them as investments or resecuritize them in a resecuritization trust that issues MBS that are backed by our guaranty. We consolidate the substantial majority of our single-class securitization trusts because our role as guarantor and master servicer provides us with the power to direct activities (primarily the servicing of mortgage loans) that impact the credit risk to which we are exposed. In contrast, we do not consolidate single-class securitization trusts when other organizations have the power to direct these activities unless we have the unilateral ability to dissolve the trust. We also do not consolidate our resecuritization trusts unless we have the unilateral ability to dissolve the trust. We may include securities issued by Freddie Mac in some of our resecuritization trusts. The mortgage loans that serve as collateral for Freddie Mac-issued securities are not held in trusts that are consolidated by Fannie Mae.

Unconsolidated VIEs

We do not consolidate VIEs when we are not deemed to be the primary beneficiary. The following table displays the carrying amount and classification of our assets and liabilities that relate to our involvement with unconsolidated securitization and resecuritization trusts.

						As of
						September 30, 2024						December 31, 2023
						(Dollars in millions)
Assets and liabilities recorded in our condensed consolidated balance sheets related to unconsolidated mortgage-backed trusts:
Investments in securities, at fair value						$	1,281					$	4,863
Other assets						34						37
Other liabilities						(39)						(42)
Net carrying amount						$	1,276					$	4,858

Our maximum exposure to loss generally represents the greater of our carrying amount related to our involvement with unconsolidated securitization and resecuritization trusts or the unpaid principal balance of the assets covered by our guaranty. Our involvement in unconsolidated resecuritization trusts may give rise to additional exposure to loss depending on the type of resecuritization trust. Fannie Mae resecuritization trusts that are backed entirely by Fannie Mae MBS are not consolidated and do not give rise to any additional exposure to loss as we already consolidate the underlying collateral. In contrast, Fannie Mae resecuritization trusts that are backed in whole or in part by Freddie Mac securities may increase our exposure to loss to the extent that we are providing a guaranty for the timely payment and interest on the underlying Freddie Mac securities that we have not previously guaranteed. Our maximum exposure to loss for these unconsolidated trusts is measured by the amount of Freddie Mac securities that are held in these resecuritization trusts.

Our maximum exposure to loss related to unconsolidated securitization and resecuritization trusts, which includes but is not limited to our exposure to these Freddie Mac securities, was approximately $207 billion and $223 billion as of September 30, 2024 and December 31, 2023, respectively. The total assets of our unconsolidated securitization and resecuritization trusts were approximately $208 billion and $273 billion as of September 30, 2024 and December 31, 2023, respectively.

The maximum exposure to loss for our unconsolidated limited partnerships and similar legal entities, which consist of low income housing tax credit (“LIHTC”) investments, community investments and investments in other entities, was $633 million and the related net carrying value was $633 million as of September 30, 2024. As of December 31, 2023, the maximum exposure to loss was $530 million and the related net carrying value was $528 million. The total assets of these limited partnership investments were $6.2 billion and $5.8 billion as of September 30, 2024 and December 31, 2023, respectively.

The maximum exposure to loss related to our involvement with unconsolidated SPVs that transfer credit risk represents the unpaid principal balance and accrued interest payable of obligations issued by our Connecticut Avenue Securities® (“CAS”) and Multifamily Connecticut Avenue Securities® (“MCASTM”) SPVs. The maximum exposure to loss related to these unconsolidated SPVs was $23.9 billion and $21.4 billion as of September 30, 2024 and December 31, 2023, respectively. The total assets related to these unconsolidated SPVs were $23.9 billion and $21.4 billion as of September 30, 2024 and December 31, 2023, respectively.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						72

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			Notes to Condensed Consolidated Financial Statements | Consolidations and Transfers of Financial Assets

As our lending relationship does not provide us with a controlling financial interest in the borrower entity for loans in our multifamily loan portfolio, we do not consolidate these borrowers regardless of their status as either a VIE or a voting interest entity. We have excluded these entities from our VIE disclosures. As of September 30, 2024, the unpaid principal balance of our multifamily loan portfolio was $476.5 billion. However, the disclosures we have provided in “Note 4, Mortgage Loans,” “Note 5, Allowance for Loan Losses” and “Note 7, Financial Guarantees” with respect to this population are consistent with the FASB’s stated objectives for the disclosures related to unconsolidated VIEs.

Transfers of Financial Assets and Portfolio Securitizations

We issue Fannie Mae MBS through portfolio securitization transactions by transferring pools of mortgage loans or mortgage-related securities to one or more trusts or special purpose entities. For the three months ended September 30, 2024 and 2023, the unpaid principal balance of portfolio securitizations was $35.3 billion. For the nine months ended September 30, 2024 and 2023, the unpaid principal balance of portfolio securitizations was $102.0 billion and $100.5 billion, respectively. The substantial majority of these portfolio securitization transactions generally do not qualify for sale treatment. Portfolio securitization trusts that do qualify for sale treatment primarily consist of loans that are guaranteed or insured, in whole or in part, by the U.S. government.

We retain interests from the transfer and sale of mortgage-related securities to unconsolidated single-class and multi-class portfolio securitization trusts. As of September 30, 2024, the unpaid principal balance of retained interests was $672 million and its related fair value was $1.1 billion. As of December 31, 2023, the unpaid principal balance of retained interests was $821 million and its related fair value was $1.3 billion. For the three months ended September 30, 2024 and 2023, the principal, interest and other fees received on retained interests was $66 million and $72 million, respectively. For the nine months ended September 30, 2024 and 2023, the principal, interest and other fees received on retained interests was $193 million and $220 million, respectively.

4.  Mortgage Loans

We own single-family mortgage loans, which are secured by four or fewer residential dwelling units, and multifamily mortgage loans, which are secured by five or more residential dwelling units. We classify these loans as either held for investment (“HFI”) or held for sale (“HFS”). Unless otherwise noted, within “Note 4, Mortgage Loans,” we report the amortized cost of HFI loans for which we have not elected the fair value option at the unpaid principal balance, net of unamortized premiums and discounts, hedge-related basis adjustments, other cost basis adjustments, and accrued interest receivable. Within our condensed consolidated balance sheets, we present accrued interest receivable, net separately from the amortized cost of our loans held for investment. We report the carrying value of HFS loans at the lower of cost or fair value and record valuation changes in “Investment gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.

Within our single-family mortgage loan disclosures below, we display loans by class of financing receivable type. Financing receivable classes used for disclosure consist of: “20- and 30-year or more, amortizing fixed-rate,” “15-year or less, amortizing fixed-rate,” “Adjustable-rate,” and “Other.” The “Other” class primarily consists of reverse mortgage loans, interest-only loans, negative-amortizing loans and second liens.

The following table displays the carrying value of our mortgage loans and allowance for loan losses.

						As of
						September 30, 2024						December 31, 2023
						(Dollars in millions)
Single-family						$	3,630,285					$	3,641,385
Multifamily						476,472						461,247
Total unpaid principal balance of mortgage loans						4,106,757						4,102,632
Cost basis and fair value adjustments, net						39,557						41,729
Allowance for loan losses for HFI loans						(7,656)						(8,730)
Total mortgage loans(1)						$	4,138,658					$	4,135,631

(1)Excludes $10.9 billion and $10.4 billion of accrued interest receivable as of September 30, 2024 and December 31, 2023, respectively.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						73

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

The following table displays information about our purchase of HFI loans, redesignation of loans and the sales of mortgage loans during the period.

						For the Three Months Ended September 30,												For the Nine Months Ended September 30,
						2024						2023						2024						2023
			(Dollars in millions)
Purchase of HFI loans:
Single-family unpaid principal balance						$	93,114					$	89,228					$	241,180					$	245,870
Multifamily unpaid principal balance						13,153						16,415						32,492						41,761
Single-family loans redesignated from HFI to HFS:
Amortized cost						$	820					$	3,122					$	1,272					$	3,122
Lower of cost or fair value adjustment at time of redesignation(1)						(101)						(638)						(139)						(638)
Allowance reversed at time of redesignation						5						47						8						47
Single-family loans redesignated from HFS to HFI:
Amortized cost						$	77					$	372					$	77					$	372
Single-family loans sold:
Unpaid principal balance						$	14					$	—					$	2,345					$	1,842
Realized gains (losses), net						—						—						13						17

(1)Consists of the write-off against the allowance at the time of redesignation.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						74

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Aging Analysis

The following tables display an aging analysis of the total amortized cost of our HFI mortgage loans by portfolio segment and class of financing receivable, excluding loans for which we have elected the fair value option.

						As of September 30, 2024
						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						$	32,625					$	8,534					$	17,678					$	58,837					$	3,186,644					$	3,245,481					$	401					$	3,589
15-year or less, amortizing fixed-rate						1,636						316						566						2,518						380,704						383,222						24						196
Adjustable-rate						165						32						89						286						25,446						25,732						3						20
Other(2)						530						144						417						1,091						20,556						21,647						24						187
Total single-family						34,956						9,026						18,750						62,732						3,613,350						3,676,082						452						3,992
Multifamily(3)						604						N/A						2,016						2,620						473,949						476,569						85						984
Total						$	35,560					$	9,026					$	20,766					$	65,352					$	4,087,299					$	4,152,651					$	537					$	4,976

						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						$	33,119					$	8,093					$	18,659					$	59,871					$	3,148,171					$	3,208,042					$	1,371					$	3,457
15-year or less, amortizing fixed-rate						1,846						319						650						2,815						425,598						428,413						74						176
Adjustable-rate						184						42						100						326						26,032						26,358						11						21
Other(2)						586						171						562						1,319						23,772						25,091						148						228
Total single-family						35,735						8,625						19,971						64,331						3,623,573						3,687,904						1,604						3,882
Multifamily(3)						449						N/A						1,699						2,148						459,206						461,354						171						594
Total						$	36,184					$	8,625					$	21,670					$	66,479					$	4,082,779					$	4,149,258					$	1,775					$	4,476

(1)Single-family seriously delinquent loans are loans that are 90 days or more past due or in the foreclosure process. Multifamily seriously delinquent loans are loans that are 60 days or more past due.

(2)Reverse mortgage loans included in “Other” are not aged due to their nature and are included in the current column.

(3)Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.

The amortized cost of single-family mortgage loans for which formal foreclosure proceedings were in process was $4.6 billion as of September 30, 2024 and December 31, 2023. As a result of our various loss mitigation and foreclosure prevention efforts, we expect that a portion of the loans in the process of formal foreclosure proceedings will not ultimately foreclose.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						75

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

Credit Quality Indicators and Write-offs by Year of Origination

The estimated mark-to-market loan-to-value (“LTV”) ratio is a primary factor we consider when estimating our allowance for loan losses for single-family loans. As LTV ratios increase, the borrower’s equity in the home decreases, which may negatively affect the borrower’s ability to refinance or to sell the property for an amount at or above the outstanding balance of the loan.

The following tables display information about the credit quality of our single-family HFI loans, based on total amortized cost. The tables below also include current year write-offs of our single-family HFI mortgage loans by class of financing receivable and year of origination, excluding loans for which we have elected the fair value option.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						76

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

						Credit Quality Indicators as of September 30, 2024 and Write-offs for the Nine Months Ended September 30, 2024, by Year of Origination(1)
						2024						2023						2022						2021						2020						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%						$	120,077					$	170,564					$	332,411					$	866,580					$	728,375					$	728,941					$	2,946,948
Greater than 80% and less than or equal to 90%						36,801						71,312						74,354						17,637						2,121						1,394						203,619
Greater than 90% and less than or equal to 100%						49,061						27,096						14,991						1,575						188						196						93,107
Greater than 100%						20						345						1,124						137						40						141						1,807
Total 20- and 30-year or more, amortizing fixed-rate						205,959						269,317						422,880						885,929						730,724						730,672						3,245,481
Current-year 20- and 30-year or more,      amortizing fixed-rate write-offs						$	—					$	29					$	94					$	83					$	45					$	169					$	420
15-year or less, amortizing fixed-rate:
Less than or equal to 80%						4,872						6,874						32,279						150,217						105,901						81,919						382,062
Greater than 80% and less than or equal to 90%						320						369						186						11						—						1						887
Greater than 90% and less than or equal to 100%						222						31						19						—						—						—						272
Greater than 100%						—						—						—						—						—						1						1
Total 15-year or less, amortizing fixed-rate						5,414						7,274						32,484						150,228						105,901						81,921						383,222
Current-year 15-year or less, amortizing      fixed-rate write-offs						—						1						2						2						1						2						8
Adjustable-rate:
Less than or equal to 80%						1,392						1,884						4,521						5,544						1,520						8,693						23,554
Greater than 80% and less than or equal to 90%						355						520						753						37						5						2						1,672
Greater than 90% and less than or equal to 100%						189						145						144						4						—						1						483
Greater than 100%						—						3						20						—						—						—						23
Total adjustable-rate						1,936						2,552						5,438						5,585						1,525						8,696						25,732
Current-year adjustable-rate write-offs						—						—						—						—						—						1						1
Other:
Less than or equal to 80%						—						—						—						—						—						17,669						17,669
Greater than 80% and less than or equal to 90%						—						—						—						—						—						61						61
Greater than 90% and less than or equal to 100%						—						—						—						—						—						32						32
Greater than 100%						—						—						—						—						—						26						26
Total other						—						—						—						—						—						17,788						17,788
Current-year other write-offs						—						—						—						—						—						15						15
Total for all classes by LTV ratio:(2)
Less than or equal to 80%						$	126,341					$	179,322					$	369,211					$	1,022,341					$	835,796					$	837,222					$	3,370,233
Greater than 80% and less than or equal to 90%						37,476						72,201						75,293						17,685						2,126						1,458						206,239
Greater than 90% and less than or equal to 100%						49,472						27,272						15,154						1,579						188						229						93,894
Greater than 100%						20						348						1,144						137						40						168						1,857
Total						$	213,309					$	279,143					$	460,802					$	1,041,742					$	838,150					$	839,077					$	3,672,223
Total current-year write-offs						$	—					$	30					$	96					$	85					$	46					$	187					$	444

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						77

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

						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%						$	148,641					$	314,384					$	889,434					$	767,596					$	136,654					$	648,964					$	2,905,673
Greater than 80% and less than or equal to 90%						57,686						95,509						38,790						3,424						804						1,082						197,295
Greater than 90% and less than or equal to 100%						61,658						35,602						4,002						363						71						189						101,885
Greater than 100%						1,000						1,764						189						47						17						172						3,189
Total 20- and 30-year or more, amortizing fixed-rate						268,985						447,259						932,415						771,430						137,546						650,407						3,208,042
Current-year 20- and 30-year or more,      amortizing fixed-rate write-offs						$	2					$	35					$	53					$	45					$	108					$	560					$	803
15-year or less, amortizing fixed-rate:
Less than or equal to 80%						7,110						35,224						165,294						117,795						17,162						84,222						426,807
Greater than 80% and less than or equal to 90%						581						647						52						2						—						1						1,283
Greater than 90% and less than or equal to 100%						259						58						1						—						—						1						319
Greater than 100%						1						2						—						—						—						1						4
Total 15-year or less, amortizing fixed-rate						7,951						35,931						165,347						117,797						17,162						84,225						428,413
Current-year 15-year or less, amortizing      fixed-rate write-offs						—						—						1						1						1						5						8
Adjustable-rate:
Less than or equal to 80%						1,566						4,452						5,945						1,654						710						9,716						24,043
Greater than 80% and less than or equal to 90%						499						1,030						90						6						2						3						1,630
Greater than 90% and less than or equal to 100%						299						330						11						—						—						1						641
Greater than 100%						14						29						1						—						—						—						44
Total adjustable-rate						2,378						5,841						6,047						1,660						712						9,720						26,358
Current-year adjustable-rate write-offs						—						1						—						—						—						2						3
Other:
Less than or equal to 80%						—						—						—						—						27						19,418						19,445
Greater than 80% and less than or equal to 90%						—						—						—						—						—						81						81
Greater than 90% and less than or equal to 100%						—						—						—						—						—						39						39
Greater than 100%						—						—						—						—						—						35						35
Total other						—						—						—						—						27						19,573						19,600
Current-year other write-offs						—						—						—						—						—						52						52
Total for all classes by LTV ratio:(2)
Less than or equal to 80%						$	157,317					$	354,060					$	1,060,673					$	887,045					$	154,553					$	762,320					$	3,375,968
Greater than 80% and less than or equal to 90%						58,766						97,186						38,932						3,432						806						1,167						200,289
Greater than 90% and less than or equal to 100%						62,216						35,990						4,014						363						71						230						102,884
Greater than 100%						1,015						1,795						190						47						17						208						3,272
Total						$	279,314					$	489,031					$	1,103,809					$	890,887					$	155,447					$	763,925					$	3,682,413
Total current-year write-offs						$	2					$	36					$	54					$	46					$	109					$	619					$	866

(1)Excludes amortized cost of $3.9 billion and $5.5 billion as of September 30, 2024 and December 31, 2023, respectively, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies, which represents primarily reverse mortgages for which we do not calculate an estimated mark-to-market LTV ratio. For the nine months ended September 30, 2024 and year ended December 31, 2023, it also excludes write-offs of $43 million and $7 million, respectively, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies. Year of loan origination may not be the same as the period in which we subsequently acquired the loan.

(2)The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan divided by the estimated current value of the property as of the end of each reported period, which we calculate using an internal valuation model that estimates periodic changes in home value.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						78

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

The following tables display the total amortized cost of our multifamily HFI loans by year of origination and credit-risk rating, excluding loans for which we have elected the fair value option. Property rental income and property valuations are key inputs to our internally assigned credit risk ratings. The tables below also include current year write-offs of our multifamily HFI mortgage loans by year of origination, excluding loans for which we have elected the fair value option.

						Credit Quality Indicators as of September 30, 2024 and Write-offs for the Nine Months Ended September 30, 2024, by Year of Origination(1)
						2024						2023						2022						2021						2020						Prior						Total
						(Dollars in millions)
Internally assigned credit risk rating:
Pass(2)						$	28,467					$	52,958					$	49,722					$	59,753					$	72,329					$	181,698					$	444,927
Special mention(3)						49						43						7						369						58						128						654
Substandard(4)						90						1,080						9,435						3,650						2,271						14,451						30,977
Doubtful(5)						—						4						—						—						—						7						11
Total						$	28,606					$	54,085					$	59,164					$	63,772					$	74,658					$	196,284					$	476,569
Current-year write-offs						$	—					$	34					$	191					$	16					$	21					$	133					$	395

						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)						$	49,944					$	51,380					$	60,563					$	72,791					$	56,901					$	136,860					$	428,439
Special mention(3)						4						11						181						32						46						130						404
Substandard(4)						521						9,517						3,654						2,703						3,893						12,188						32,476
Doubtful(5)						25						—						—						—						10						—						35
Total						$	50,494					$	60,908					$	64,398					$	75,526					$	60,850					$	149,178					$	461,354
Current-year write-offs						$	—					$	3					$	4					$	6					$	23					$	365					$	401

(1)Year of loan origination may not be the same as the period in which we subsequently acquired the loan.

(2)A loan categorized as “Pass” is current or adequately protected by the current financial strength and debt service capability of the borrower.

(3)“Special mention” refers to loans that are otherwise performing but have potential weaknesses that, if left uncorrected, may result in deterioration in the borrower’s ability to repay in full.

(4)Loans classified as “Substandard” have a well-defined weakness that jeopardizes the timely full repayment. We had seniors housing loans with an amortized cost of $4.5 billion and $6.9 billion as of September 30, 2024 and December 31, 2023, respectively, classified as substandard.

(5)“Doubtful” refers to a loan with a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions and values.

Loss Mitigation Options for Borrowers Experiencing Financial Difficulty

As part of our loss mitigation activities, we offer several types of loan restructurings to assist borrowers who experience financial difficulties. We do not typically offer principal forgiveness to our single-family or multifamily borrowers.

For single-family borrowers, we may offer loan restructurings that are only in the form of a payment delay (e.g., a forbearance plan, a repayment plan, or a payment deferral). We may also offer loan modifications that contractually change the terms of the loan, generally after the successful completion of a three to four month trial period. Single-family loan modifications may result in the capitalization of past due amounts (a form of payment delay), an interest rate reduction, a term extension, a principal forbearance (which is another form of payment delay), or a combination thereof. During the trial period, the borrower makes reduced payments that are an estimate of the anticipated modified payment amount. Additionally, during the trial period, the mortgage loan is not contractually modified such that the loan continues to be reported as past due and the trial period is considered a form of payment delay with respect to the original contractual terms of the loan. See “Note 4, Mortgage Loans” in our 2023 Form 10-K for additional information about our single-family loss mitigation options.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						79

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

For multifamily borrowers, loan restructurings include short-term forbearance plans and loan modification programs, which primarily result in term extensions of up to one year with no change to the loan’s interest rate. In certain cases, we may make more significant modifications of terms for borrowers experiencing financial difficulty, such as reducing the interest rate, converting to interest-only payments, extending the maturity for longer than one year, providing principal forbearance, or some combination of these terms. In some instances when a loan is restructured, we may require additional collateral, which may take the form of a guaranty from another entity, to further mitigate the risk of nonperformance.

Below we provide disclosures relating to loan restructurings where borrowers were experiencing financial difficulty, including restructurings that resulted in an insignificant payment delay. The disclosures exclude loans classified as HFS and those for which we have elected the fair value option. See “Note 1, Summary of Significant Accounting Policies” in our 2023 Form 10-K for additional information on our accounting policies for single-family and multifamily loans that have been restructured.

Restructurings for Borrowers Experiencing Financial Difficulty

The following tables display the amortized cost of HFI mortgage loans that were restructured, during the periods indicated, presented by portfolio segment and class of financing receivable.

						For the Three Months Ended September 30, 2024
						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						$	5,782					$	2,379					$	4,315					$	2,405					$	53					$	14,934					*
15-year or less, amortizing fixed-rate						239						77						140						1						—						457						*
Adjustable-rate						29						9						17						—						2						57						*
Other						32						24						50						22						8						136						1		%
Total single-family						6,082						2,489						4,522						2,428						63						15,584						*
Multifamily						328						—						—						—						60						388						*
Total(3)						$	6,410					$	2,489					$	4,522					$	2,428					$	123					$	15,972					*

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						80

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

						For the Nine Months Ended September 30, 2024
						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						$	8,373					$	8,312					$	7,542					$	6,908					$	114					$	31,249					1		%
15-year or less, amortizing fixed-rate						352						265						255						3						1						876						*
Adjustable-rate						45						36						26						—						5						112						*
Other						48						102						104						77						31						362						2
Total single-family						8,818						8,715						7,927						6,988						151						32,599						1
Multifamily						330						—						—						—						64						394						*
Total(3)						$	9,148					$	8,715					$	7,927					$	6,988					$	215					$	32,993					1

						For the Three Months Ended September 30, 2023
						Payment Delay (Only)
						Forbearance Plan						Payment Deferral						Trial Modification and Repayment Plans						Payment Delay and Term Extension(1)						Payment Delay, Term Extension and Interest Rate Reduction(1)						Total						Percentage of Total by Financing Class(2)
						(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate						$	7,287					$	2,424					$	3,407					$	1,819					$	41					$	14,978					*
15-year or less, amortizing fixed-rate						311						97						130						—						—						538						*
Adjustable-rate						42						8						11						—						1						62						*
Other						54						30						57						31						22						194						1		%
Total single-family						7,694						2,559						3,605						1,850						64						15,772						*
Multifamily						361						—						—						—						560						921						*
Total(3)						$	8,055					$	2,559					$	3,605					$	1,850					$	624					$	16,693					*

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						81

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

						For the Nine Months Ended September 30, 2023
						Payment Delay (Only)
						Forbearance Plan						Payment Deferral						Trial Modification and Repayment Plans						Payment Delay and Term Extension(1)						Payment Delay, Term Extension and Interest Rate Reduction(1)						Total						Percentage of Total by Financing Class(2)
						(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate						$	10,851					$	8,306					$	6,216					$	5,209					$	360					$	30,942					1		%
15-year or less, amortizing fixed-rate						465						343						241						1						1						1,051						*
Adjustable-rate						59						31						22						—						7						119						*
Other						128						108						137						94						65						532						2
Total single-family						11,503						8,788						6,616						5,304						433						32,644						1
Multifamily						1,045						—						—						—						585						1,630						*
Total(3)						$	12,548					$	8,788					$	6,616					$	5,304					$	1,018					$	34,274					1

*    Represents less than 0.5% of total by financing class.

(1)    Represents loans that received a contractual modification.

(2)    Based on the amortized cost basis as of period end, divided by the period-end amortized cost basis of the corresponding class of financing receivable.

(3)    Excludes $269 million and $1.0 billion for the three and nine months ended September 30, 2024, respectively, and $276 million and $1.2 billion for the three and nine months ended September 30, 2023, respectively, for loans that were the subject of loss mitigation activity during the period that paid off, were repurchased or were sold prior to period end. Also excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale. Loans may move from one category to another, as a result of the restructuring(s) they received during the period.

Our estimate of future credit losses uses a lifetime methodology, derived from modeled loan performance based on extensive historical experience of loans with similar risk characteristics, adjusted to reflect current conditions and reasonable and supportable forecasts. The historical loss experience used in our single-family and multifamily credit loss models includes the impact of the loss mitigation options provided to borrowers experiencing financial difficulty, and also includes the impact of projected loss severities as a result of a loan default.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						82

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

The following table summarizes the financial impacts of loan modifications and payment deferrals made to single-family HFI loans presented by class of financing receivable. We discuss the qualitative impacts of forbearance plans, repayment plans, and trial modifications earlier in this footnote. As a result, those loss mitigation options are excluded from the table below.

						For the Three Months Ended September 30,
						2024																		2023
						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						0.59		%				160						$	12,928					1.05		%				167						$	16,464
15-year or less, amortizing fixed-rate						1.03						77						9,652						2.41						52						14,218
Adjustable-rate						2.88						—						11,157						1.97						—						12,980
Other						0.96						182						21,043						1.04						199						23,072

						For the Nine Months Ended September 30,
						2024																		2023
						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						0.72		%				161						$	13,408					1.08		%				171						$	16,798
15-year or less, amortizing fixed-rate						1.82						84						11,538						2.22						70						14,588
Adjustable-rate						2.58						—						11,508						1.29						—						14,823
Other						0.86						162						18,705						1.31						188						21,396

(1)    Represents the average amount of delinquency-related amounts that were capitalized as part of the loan balance. Amounts are in whole dollars.

(2)    Excludes the financial effects of modifications for loans that were paid off or otherwise liquidated as of period-end.

The following tables display the amortized cost of HFI loans that defaulted during the period and had received a completed modification or payment deferral in the twelve months prior to the payment default. For purposes of this disclosure, we define loans that had a payment default as single-family loans with completed modifications that are two or more months delinquent during the period; or multifamily loans with completed modifications that are one or more months delinquent during the period. For loans that receive a forbearance plan, repayment plan or trial modification, these loss mitigation options generally remain in default until the loan is no longer delinquent as a result of the payment of all past-due amounts or as a result of a loan modification or payment deferral. Therefore, forbearance plans, repayment plans and trial modifications are not included in default tables below.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						83

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

						For the Three Months Ended September 30, 2024
						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						$	1,438					$	774					$	11					$	2,223
15-year or less, amortizing fixed-rate						40						—						—						40
Adjustable-rate						4						—						—						4
Other						17						9						6						32
Total single-family						1,499						783						17						2,299
Multifamily						—						—						—						—
Total loans that subsequently defaulted(1)(2)						$	1,499					$	783					$	17					$	2,299

						For the Nine Months Ended September 30, 2024
						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						$	2,592					$	1,383					$	25					$	4,000
15-year or less, amortizing fixed-rate						73						—						—						73
Adjustable-rate						7						—						2						9
Other						33						15						12						60
Total single-family						2,705						1,398						39						4,142
Multifamily						—						—						4						4
Total loans that subsequently defaulted(1)(2)						$	2,705					$	1,398					$	43					$	4,146

						For the Three Months Ended September 30, 2023
						Payment Delay as a Result of a Payment Deferral (Only)						Payment Delay and Term Extension						Payment Delay, Term Extension and Interest Rate Reduction						Total
						(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate						$	861					$	468					$	80					$	1,409
15-year or less, amortizing fixed-rate						28						—						—						28
Adjustable-rate						1						—						1						2
Other						12						9						6						27
Total single-family						902						477						87						1,466
Multifamily						—						—						—						—
Total loans that subsequently defaulted(1)(2)						$	902					$	477					$	87					$	1,466

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						84

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

						For the Nine Months Ended September 30, 2023
						Payment Delay as a Result of a Payment Deferral (Only)						Payment Delay and Term Extension						Payment Delay, Term Extension and Interest Rate Reduction						Total
						(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate						$	1,635					$	746					$	298					$	2,679
15-year or less, amortizing fixed-rate						51						1						—						52
Adjustable-rate						4						—						2						6
Other						20						14						17						51
Total single-family						1,710						761						317						2,788
Multifamily						—						—						—						—
Total loans that subsequently defaulted(1)(2)						$	1,710					$	761					$	317					$	2,788

(1)    Represents amortized cost as of period end. Excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale.

(2)    The substantial majority of loans that received a completed modification or a payment deferral during for the three months ended September 30, 2024 did not default during the third quarter of 2024. The substantial majority of loans that received a completed modification or a payment deferral during the three months ended September 30, 2023 did not default during the third quarter of 2023.

The following tables display an aging analysis of HFI mortgage loans that were restructured during the twelve months prior to September 30, 2024 and September 30, 2023, respectively, presented by portfolio segment and class of financing receivable.

						As of September 30, 2024(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						$	4,240					$	2,874					$	11,401					$	18,515					$	12,891					$	31,406
15-year or less, amortizing fixed-rate						118						93						349						560						379						939
Adjustable-rate						13						7						50						70						46						116
Other						60						32						127						219						166						385
Total single-family loans modified						4,431						3,006						11,927						19,364						13,482						32,846
Multifamily						—						N/A						323						323						823						1,146
Total loans restructured(3)						$	4,431					$	3,006					$	12,250					$	19,687					$	14,305					$	33,992

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						85

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

						As of September 30, 2023(1)
						30-59 Days Delinquent						60-89 Days Delinquent(2)						Seriously Delinquent						Total Delinquent						Current						Total
						(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate						$	3,722					$	2,332					$	11,455					$	17,509					$	15,368					$	32,877
15-year or less, amortizing fixed-rate						115						78						405						598						562						1,160
Adjustable-rate						14						8						55						77						56						133
Other						75						37						192						304						297						601
Total single-family loans modified						3,926						2,455						12,107						18,488						16,283						34,771
Multifamily						19						N/A						1,045						1,064						587						1,651
Total loans restructured(3)						$	3,945					$	2,455					$	13,152					$	19,552					$	16,870					$	36,422

(1)    The substantial majority of loans that received a completed modification or a payment deferral during the three months ended September 30, 2024 were not delinquent as of September 30, 2024. The substantial majority of loans that received a completed modification or a payment deferral during three months ended September 30, 2023 were not delinquent as of September 30, 2023.

(2)     Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.    

(3)    Represents the amortized cost basis as of period end.

Nonaccrual Loans

We recognize interest income on an accrual basis except when we believe the collection of principal and interest is not reasonably assured. This generally occurs when a single-family loan is three or more months past due and a multifamily loan is two or more months past due according to its contractual terms. A loan is reported as past due if a full payment of principal and interest is not received within one month of its due date. When a loan is placed on nonaccrual status based on delinquency status, interest previously accrued but not collected on the loan is reversed through interest income.

Cost basis adjustments on HFI loans are amortized into interest income over the contractual life of the loan using the effective interest method. Cost basis adjustments on the loan are not amortized into income while a loan is on nonaccrual status. We have elected not to measure an allowance for credit losses on accrued interest receivable balances as we have a nonaccrual policy to ensure the timely reversal of unpaid accrued interest.

For single-family loans, we recognize any contractual interest payments received on the loan while on nonaccrual status as interest income on a cash basis. For multifamily loans, we account for interest income on a cost recovery basis and we apply any payment received while on nonaccrual status to reduce the amortized cost of the loan. Thus, we do not recognize any interest income on a multifamily loan placed on nonaccrual status until the amortized cost of the loan has been reduced to zero.

A nonaccrual loan is returned to accrual status when the full collection of principal and interest is reasonably assured. We generally determine that the full collection of principal and interest is reasonably assured when the loan returns to current payment status. If a loan is restructured for a borrower experiencing financial difficulty, we require a performance period of up to 6 months before we return the loan to accrual status. Upon a loan’s return to accrual status, we resume the recognition of interest income on an accrual basis and the amortization of cost basis adjustments, if any, into interest income. If interest is capitalized pursuant to a restructuring, any capitalized interest that had not been previously recognized as interest income or that had been reversed through interest income when the loan was placed on nonaccrual status is recorded as a discount to the loan and amortized into interest income over the remaining contractual life of the loan.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						86

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			Notes to Condensed Consolidated Financial Statements | Mortgage Loans

The table below displays the accrued interest receivable written off through the reversal of interest income for nonaccrual loans.

						For the Three Months Ended September 30,												For the Nine Months Ended September 30,
						2024						2023						2024						2023
			(Dollars in millions)
Accrued interest receivable written off through the reversal of interest income:
Single-family						$	95					$	80					$	274					$	233
Multifamily						20						3						24						36

The tables below include the amortized cost of and interest income recognized on our HFI single-family and multifamily loans on nonaccrual status by class, excluding loans for which we have elected the fair value option.

						As of																		For the Three Months Ended September 30, 2024						For the Nine Months Ended September 30, 2024
						September 30, 2024						June 30, 2024						December 31, 2023
						Amortized Cost(1)																		Total Interest Income Recognized(2)
						(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate						$	22,662					$	22,183					$	21,971					$	35					$	262
15-year or less, amortizing fixed-rate						704						704						727						1						6
Adjustable-rate						110						117						109						—						1
Other						480						496						508						1						7
Total single-family						23,956						23,500						23,315						37						276
Multifamily						2,259						1,836						1,890						2						35
Total nonaccrual loans						$	26,215					$	25,336					$	25,205					$	39					$	311

						As of																		For the Three Months Ended September 30, 2023						For the Nine Months Ended September 30, 2023
						September 30, 2023						June 30, 2023						December 31, 2022
						Amortized Cost(1)																		Total Interest Income Recognized(2)
						(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate						$	19,108					$	17,051					$	9,447					$	19					$	197
15-year or less, amortizing fixed-rate						638						565						200						—						4
Adjustable-rate						99						85						53						—						1
Other						526						573						617						1						6
Total single-family						20,371						18,274						10,317						20						208
Multifamily						1,526						1,448						2,200						3						16
Total nonaccrual loans						$	21,897					$	19,722					$	12,517					$	23					$	224

(1)Amortized cost is presented net of any write-offs, which are recognized when a loan balance is deemed uncollectible.

(2)Interest income recognized includes amortization of any deferred cost basis adjustments while the loan is performing and that is not reversed when the loan is placed on nonaccrual status. For single-family, interest income recognized includes payments received on nonaccrual loans held as of period end.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						87

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			Notes to Condensed Consolidated Financial Statements | Allowance for Loan Losses

5.  Allowance for Loan Losses

We maintain an allowance for loan losses for HFI loans held by Fannie Mae and by consolidated Fannie Mae MBS trusts, excluding loans for which we have elected the fair value option. When calculating our allowance for loan losses, we consider the unpaid principal balance, net of unamortized premiums and discounts, and other cost basis adjustments of HFI loans at the balance sheet date. We record write-offs as a reduction to our allowance for loan losses at the point of foreclosure, completion of a short sale, upon the redesignation of nonperforming and reperforming loans from HFI to HFS or when a loan is determined to be uncollectible.

The following table displays changes in our allowance for single-family loans, multifamily loans and total allowance for loan losses. The benefit or provision for loan losses excludes provision for accrued interest receivable losses, guaranty loss reserves and credit losses on available-for-sale (“AFS”) debt securities. Cumulatively, these amounts are recognized as “Benefit (provision) for credit losses” in our condensed consolidated statements of operations and comprehensive income.

						For the Three Months Ended September 30,												For the Nine Months Ended September 30,
						2024						2023						2024						2023
						(Dollars in millions)
Single-family allowance for loan losses:
Beginning balance						$	(5,703)					$	(7,990)					$	(6,671)					$	(9,443)
Benefit (provision) for loan losses						409						718						1,278						2,121
Write-offs						231						699						487						794
Recoveries						(23)						(48)						(180)						(151)
Other						—						(19)						—						39
Ending balance						$	(5,086)					$	(6,640)					$	(5,086)					$	(6,640)
Multifamily allowance for loan losses:
Beginning balance						$	(2,323)					$	(1,992)					$	(2,059)					$	(1,904)
Benefit (provision) for loan losses						(423)						(83)						(825)						(415)
Write-offs						224						52						395						306
Recoveries						(48)						(8)						(81)						(18)
Ending balance						$	(2,570)					$	(2,031)					$	(2,570)					$	(2,031)
Total allowance for loan losses:
Beginning balance						$	(8,026)					$	(9,982)					$	(8,730)					$	(11,347)
Benefit (provision) for loan losses						(14)						635						453						1,706
Write-offs						455						751						882						1,100
Recoveries						(71)						(56)						(261)						(169)
Other						—						(19)						—						39
Ending balance						$	(7,656)					$	(8,671)					$	(7,656)					$	(8,671)

Our benefit (provision) for loan losses can vary substantially from period to period based on a number of factors, such as changes in actual and forecasted home prices or property valuations, fluctuations in actual and forecasted interest rates, borrower payment behavior, events such as natural disasters or pandemics, the type, volume and effectiveness of our loss mitigation activities, including forbearances and loan modifications, the volume of foreclosures completed, and the volume and pricing of loans redesignated from HFI to HFS. Our benefit or provision can also be impacted by updates to the models, assumptions, and data used in determining our allowance for loan losses.

Our single-family benefit for loan losses for the three months ended September 30, 2024 was primarily driven by a benefit from forecasted home price growth and a benefit from actual and projected interest rates, partially offset by a provision from changes in loan activity, as described below.

•Benefit from forecasted home price growth. During the three months ended September 30, 2024, our forecast of future home prices improved. Higher home prices decrease the likelihood that loans will default and reduce the amount of losses on loans that do default, which impacts our estimate of losses and ultimately reduces our loss reserves and provision for loan losses.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						88

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			Notes to Condensed Consolidated Financial Statements | Allowance for Loan Losses

•Benefit from actual and projected interest rates. Actual and projected interest rates decreased in the third quarter of 2024, which reduced the probability of default, resulting in a benefit for loan losses.

•Provision from changes in loan activity. This includes provision on newly acquired loans and was primarily driven by the credit risk profile of our single-family acquisitions for the three months ended September 30, 2024, which primarily consisted of purchase loans. Purchase loans generally have higher origination LTV ratios than refinance loans; therefore, purchase loans have a higher estimated risk of default and loss severity in the allowance than refinance loans and a correspondingly higher loan loss provision at the time of acquisition.

Our single-family benefit for loan losses for the nine months ended September 30, 2024 was primarily driven by a benefit from actual and forecasted home price growth, partially offset by a provision from changes in loan activity.

•Benefit from actual and forecasted home price growth. During the nine months ended September 30, 2024 actual home prices appreciated more than originally projected and our forecast of future home prices also improved.

•Provision from changes in loan activity. This includes provision on newly acquired loans and was primarily driven by the credit risk profile of our single-family acquisitions for the nine months ended September 30, 2024, which primarily consisted of purchase loans.

Our single-family benefit for loan losses for the three and nine months ended September 30, 2023 was primarily driven by a benefit from actual and forecasted home price growth, partially offset by a provision relating to the redesignation of loans from HFI to HFS and a provision from changes in loan activity, as described below:

•Benefit from actual and forecasted home price growth. During the three and nine months ended September 30, 2023, we observed stronger than expected actual and forecasted home price appreciation.

•Provision from redesignation of loans from HFI to HFS. We redesignated certain nonperforming and reperforming single-family loans from HFI to HFS, as we no longer intended to hold them for the foreseeable future or to maturity. Upon redesignation of these loans, we recorded the loans at the lower of cost or fair value with a write-off against the allowance for loan losses. During the three months ended September 30, 2023, we redesignated loans with an amortized cost of $3.1 billion with an associated write-off against the allowance for loan losses of $638 million. Interest rates on the redesignated loans were below current market interest rates, and as a result, we recorded additional provision for loan losses to the extent that the carrying value of the loans exceeded their fair value at the time of redesignation.

•Provision from changes in loan activity. This includes provision on newly acquired loans and was primarily driven by an increase of the portion of our single-family acquisitions consisting of purchase loans in the three and nine months ended September 30, 2023, as described in our quarterly report on Form 10-Q for the quarter ended September 30, 2023.

Our multifamily provision for loan losses for the three months ended September 30, 2024 was largely driven by certain adjustable-rate conventional loans that were written down to the net recoverable amount during the period. We also recognized provision for loan losses because, compared to our previous forecast, our current period forecast expects further slight decreases in projected multifamily property values and a longer period of time for projected multifamily property values to improve.

Our multifamily allowance and estimate for loan losses as of September 30, 2024 also considers uncertainty. This includes uncertainty relating to multifamily property values, as well as uncertainty due to the ongoing investigation of multifamily lending transactions with suspected fraud, which may increase the risk of default.

Our multifamily provision for loan losses for the nine months ended September 30, 2024 was primarily driven by loan delinquencies in our multifamily guaranty book of business, including provision attributable to adjustable-rate conventional loans that became seriously delinquent and were written down to the net recoverable amount, declines in estimated actual and projected multifamily property values, and provision for uncertainty described above.

The largest driver of our multifamily provision for loan losses for the three months ended September 30, 2023 was a provision for actual and projected interest rates. Rising interest rates increase the likelihood that loans with balloon balances due at maturity will be unable to refinance, due to higher refinancing rates. In addition, rising interest rates increase costs for loans with adjustable-rates, which increases the expected impairment and the provision for loan losses on these loans.

The impact of this factor was offset by a benefit from actual and projected economic data for the three months ended September 30, 2023. The benefit from actual and projected economic data was primarily driven by the impact of a change in our long-term economic forecast assumptions, which was partially offset by continued declines in multifamily property values.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						89

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			Notes to Condensed Consolidated Financial Statements | Allowance for Loan Losses

Our multifamily provision for loan losses for the nine months ended September 30, 2023 was primarily driven by actual and projected interest rates as described above.

6.  Investments in Securities

Trading Securities

Trading securities are recorded at fair value with subsequent changes in fair value recorded as “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income. The following table displays our investments in trading securities.

						As of
						September 30, 2024						December 31, 2023
						(Dollars in millions)
Mortgage-related securities (includes $320 million and $364 million, respectively, related to consolidated trusts)						$	1,198					$	4,770
Non-mortgage-related securities (includes $9.0 billion and $5.7 billion, respectively, pledged as collateral)(1)						60,100						47,782
Total trading securities						$	61,298					$	52,552

(1)Primarily includes U.S. Treasury securities.

The following table displays information about our net trading gains (losses).

						For the Three Months Ended September 30,												For the Nine Months Ended September 30,
						2024						2023						2024						2023
						(Dollars in millions)
Net trading gains (losses)						$	1,267					$	(318)					$	1,127					$	(295)
Net trading gains (losses) recognized in the period related to securities still held at period end						1,074						(297)						938						(259)

Available-for-Sale Securities

We record AFS securities at fair value with unrealized gains and losses, recorded net of tax, as a component of “Other comprehensive income (loss)” and we recognize realized gains and losses from the sale of AFS securities in “Investment gains (losses), net” in our condensed consolidated statements of operations and comprehensive income. We define the amortized cost basis of our AFS securities as unpaid principal balance, net of unamortized premiums and discounts, and other cost basis adjustments. We record an allowance for credit losses for AFS securities that reflects the impairment for credit losses, which is limited to the amount that fair value is less than the amortized cost. Impairment due to non-credit losses is recorded as unrealized losses within “Other comprehensive income (loss).”

The following tables display the amortized cost, allowance for credit losses, gross unrealized gains and losses in accumulated other comprehensive income (loss) (“AOCI”), and fair value by major security type for AFS securities.

						As of September 30, 2024
						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						$	375					$	—					$	2					$	(25)					$	352
Other mortgage-related securities						131						(2)						11						—						140
Total						$	506					$	(2)					$	13					$	(25)					$	492

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						90

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			Notes to Condensed Consolidated Financial Statements | Investments in Securities

						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						$	405					$	—					$	1					$	(29)					$	377
Other mortgage-related securities						179						(2)						10						—						187
Total						$	584					$	(2)					$	11					$	(29)					$	564

Agency securities consist of securities issued by us, Freddie Mac, or Ginnie Mae. The principal and interest on these securities are guaranteed by the issuing agency. We believe that the guaranty provided by the issuing agency, the support provided to the agencies by the U.S. government, the importance of the agencies to the liquidity and stability in the secondary mortgage market, and the long history of zero credit losses on agency mortgage-related securities are all indicators that there are currently no credit losses on these securities, even if the security is in an unrealized loss position. In addition, we generally hold these securities that are in an unrealized loss position to recovery. As a result, unless we intend to sell the security, we do not recognize an allowance for credit losses on agency mortgage-related securities.

The following table displays additional information regarding gross unrealized losses and fair value for AFS securities in an unrealized loss position, excluding allowance for credit losses.

			As of
			September 30, 2024																																				December 31, 2023
			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						$	(1)								$	41								$	(24)								$	233								$	(3)								$	66								$	(26)								$	238

There were no sales of AFS securities in the first nine months of 2024 or the first nine months of 2023. As a result, no gross realized gains (losses) or proceeds from sales were recognized in either period.

We held no securities classified as held-to-maturity as of September 30, 2024 or December 31, 2023.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						91

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			Notes to Condensed Consolidated Financial Statements | Financial Guarantees

7.  Financial Guarantees

We recognize a guaranty obligation for our obligation to stand ready to perform on our guarantees to unconsolidated trusts and other guaranty arrangements. These off-balance sheet guarantees expose us to credit losses primarily relating to the unpaid principal balance of our unconsolidated Fannie Mae MBS and other financial guarantees. The maximum remaining contractual term of our guarantees is 29 years; however, the actual term of each guaranty may be significantly less than the contractual term based on the prepayment characteristics of the related mortgage loans. We measure our guaranty reserve for estimated credit losses for off-balance sheet exposures over the contractual period for which they are exposed to the credit risk, unless that obligation is unconditionally cancellable by the issuer.

As the guarantor of structured securities backed in whole or in part by Freddie Mac-issued securities, we extend our guaranty to the underlying Freddie Mac securities in our resecuritization trusts. However, Freddie Mac continues to guarantee the payment of principal and interest on the underlying Freddie Mac securities that we have resecuritized. When we began issuing UMBS, we entered into an indemnification agreement under which Freddie Mac agreed to indemnify us for losses caused by its failure to meet its payment or other specified obligations under the trust agreements pursuant to which the underlying resecuritized securities were issued. As a result, and due to the funding commitment available to Freddie Mac through its senior preferred stock purchase agreement with Treasury, we have concluded that the associated credit risk is negligible. Accordingly, we exclude from the following table Freddie Mac securities backing unconsolidated Fannie Mae-issued structured securities of $203.7 billion and $215.6 billion as of September 30, 2024 and December 31, 2023, respectively.

The following table displays our off-balance sheet maximum exposure, guaranty obligation recognized in our condensed consolidated balance sheets and the potential maximum recovery from third parties through available credit enhancements and recourse related to our financial guarantees.

						As of
						September 30, 2024																		December 31, 2023
						Maximum Exposure						Guaranty Obligation						Maximum Recovery(1)						Maximum Exposure						Guaranty Obligation						Maximum Recovery(1)
						(Dollars in millions)
Unconsolidated Fannie Mae MBS						$	2,555					$	14					$	2,500					$	2,778					$	14					$	2,713
Other guaranty arrangements(2)						8,928						58						1,928						9,154						65						1,967
Total						$	11,483					$	72					$	4,428					$	11,932					$	79					$	4,680

(1)Recoverability of such credit enhancements and recourse is subject to, among other factors, the ability of our mortgage insurers and the U.S. government, as a financial guarantor, to meet their obligations to us. For information on our mortgage insurers, see “Note 11, Concentrations of Credit Risk.”

(2)Primarily consists of credit enhancements and long-term standby commitments.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						92

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			Notes to Condensed Consolidated Financial Statements | Short-Term and Long-Term Debt

8.  Short-Term and Long-Term Debt

Short-Term Debt

The following table displays our outstanding short-term debt (debt with an original contractual maturity of one year or less) and weighted-average interest rates of this debt.

						As of
						September 30, 2024												December 31, 2023
						Outstanding						Weighted- Average Interest Rate(1)						Outstanding						Weighted- Average Interest Rate(1)
						(Dollars in millions)
Short-term debt of Fannie Mae						$	11,419					5.10		%				$	17,314					5.13		%

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

Long-Term Debt

Long-term debt represents debt with an original contractual maturity of greater than one year. The following table displays our outstanding long-term debt.

			As of
			September 30, 2024																		December 31, 2023
			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						$	46,825					2.89		%				2024 - 2030						$	54,727					2.79		%
Medium-term notes(3)			2024 - 2034						39,231						1.90						2024 - 2031						42,217						1.58
Other(4)			2024 - 2038						6,820						4.08						2024 - 2038						6,787						3.98
Total senior fixed									92,876						2.57												103,731						2.40
Senior floating:
Medium-term notes(3)			2026						14,997						5.25						N/A						—						—
Connecticut Avenue Securities(5)			2024 - 2031						2,139						11.56						2024 - 2031						2,752						11.12
Other(6)			2037						284						8.81						2037						268						8.79
Total senior floating									17,420						6.08												3,020						10.92
Total long-term debt of Fannie Mae(7)									110,296						3.11												106,751						2.63
Debt of consolidated trusts			2024 - 2063						4,096,063						2.90						2024 - 2062						4,098,653						2.56
Total long-term debt									$	4,206,359					2.91		%										$	4,205,404					2.57		%

(1)Outstanding debt balance consists of the unpaid principal balance, premiums and discounts, fair value adjustments, hedge-related basis adjustments, and other cost basis adjustments.

(2)Excludes the effects of fair value adjustments and hedge-related basis adjustments.

(3)Includes long-term debt with an original contractual maturity of greater than 1 year and up to 10 years, excluding zero-coupon debt.

(4)Includes other long-term debt with an original contractual maturity of greater than 10 years and foreign exchange bonds.

(5)Consists of CAS debt issued prior to November 2018, a portion of which is reported at fair value.

(6)Consists of structured debt instruments that are reported at fair value.

(7)Includes unamortized discounts and premiums, fair value adjustments, hedge-related cost basis adjustments, and other cost basis adjustments in a net discount position of $3.4 billion and $4.0 billion as of September 30, 2024 and December 31, 2023, respectively.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						93

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			Notes to Condensed Consolidated Financial Statements | Derivative Instruments

9.  Derivative Instruments

Derivative instruments are an integral part of our strategy in managing interest-rate risk. Derivative instruments may be privately-negotiated, bilateral contracts or they may be listed and traded on an exchange. We refer to our derivative transactions made pursuant to bilateral contracts as our over-the-counter (“OTC”) derivative transactions and our derivative transactions accepted for clearing by a derivatives clearing organization as our cleared derivative transactions. We typically do not settle the notional amount of our risk management derivatives; rather, notional amounts provide the basis for calculating actual payments or settlement amounts. The derivative contracts we use for interest-rate risk management purposes consist primarily of interest-rate swaps and interest-rate options. See “Note 9, Derivative Instruments” in our 2023 Form 10-K for additional information on interest-rate risk management.

We account for certain forms of credit risk transfer transactions as derivatives. In our credit risk transfer transactions, a portion of the credit risk associated with losses on a reference pool of mortgage loans is transferred to a third party. We enter into derivative transactions that are associated with some of our credit risk transfer transactions, whereby we manage investment risk to guarantee that certain unconsolidated VIEs have sufficient cash flows to pay their contractual obligations.

We enter into forward purchase and sale commitments that lock in the future delivery of mortgage loans and mortgage-related securities at a fixed price or yield. Certain commitments to purchase mortgage loans and purchase or sell mortgage-related securities meet the criteria of a derivative. We typically settle the notional amount of our mortgage commitments that are accounted for as derivatives.

We recognize all derivatives as either assets or liabilities in our condensed consolidated balance sheets at their fair value on a trade date basis. Fair value amounts, which are (1) netted to the extent a legal right of offset exists and is enforceable by law at the counterparty level and (2) inclusive of the right or obligation associated with the cash collateral posted or received, are recorded in “Other assets” or “Other liabilities” in our condensed consolidated balance sheets. See “Note 13, Fair Value” for additional information on derivatives recorded at fair value. We present cash flows from derivatives as operating activities in our condensed consolidated statements of cash flows.

Fair Value Hedge Accounting

Pursuant to our fair value hedge accounting program, we may designate certain interest-rate swaps as hedging instruments in hedges of the change in fair value attributable to the designated benchmark interest rate for certain closed pools of fixed-rate, single-family mortgage loans or our funding debt. For hedged items in qualifying fair value hedging relationships, changes in fair value attributable to the designated risk are recognized as a basis adjustment to the hedged item. We also report changes in the fair value of the derivative hedging instrument in the same condensed consolidated statements of operations and comprehensive income line item used to recognize the earnings effect of the hedged item’s basis adjustment. The objective of our fair value hedges is to reduce GAAP earnings volatility related to changes in benchmark interest rates.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						94

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			Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Notional and Fair Value Position of our Derivatives

The following table displays the notional amount and estimated fair value of our asset and liability derivative instruments, including derivative instruments designated as hedges.

						As of September 30, 2024																		As of December 31, 2023
						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						$	18,107					$	—								$	—					$	9,954					$	—											$	—
Receive-fixed						24,224						—									—						28,587						—												—
Total risk management derivatives designated as hedging instruments						42,331						—									—						38,541						—												—
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed						141,966						—									—						136,648						—												—
Receive-fixed						119,680						77									(2,041)						115,288						76												(3,085)
Basis						250						54									—						250						44												—
Foreign currency						332						—									(55)						316						—												(66)
Swaptions:(1)
Pay-fixed						7,006						209									(11)						5,816						195												(12)
Receive-fixed						5,916						27									(69)						2,666						13												(60)
Futures(1)						87						—									—						32						—												—
Total risk management derivatives not designated as hedging instruments						275,237						367									(2,176)						261,016						328												(3,223)
Netting adjustment(2)						—						(233)									2,154						—						(283)												3,200
Total risk management derivatives portfolio						317,568						134									(22)						299,557						45												(23)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans						3,587						5									(6)						2,734						14												—
Forward contracts to purchase mortgage-related securities						32,495						39									(57)						14,264						98												(2)
Forward contracts to sell mortgage-related securities						73,292						65									(36)						43,942						—												(102)
Total mortgage commitment derivatives						109,374						109									(99)						60,940						112												(104)
Credit enhancement derivatives						29,660						37									(11)						27,624						45												(13)
Derivatives at fair value						$	456,602					$	280								$	(132)					$	388,121					$	202											$	(140)

(1)Centrally cleared derivatives have no ascribable fair value because the positions are settled daily.

(2)The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received. Cash collateral posted was $1.9 billion and $2.9 billion as of September 30, 2024 and December 31, 2023, respectively. Cash collateral received was $2 million and $5 million as of September 30, 2024 and December 31, 2023, respectively.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						95

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			Notes to Condensed Consolidated Financial Statements | Derivative Instruments

We record all gains and losses, including accrued interest, on derivatives while they are not in a qualifying designated hedging relationship in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income. The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives.

						For the Three Months Ended September 30,												For the Nine Months Ended September 30,
						2024						2023						2024						2023
						(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed						$	(2,225)					$	1,349					$	(626)					$	1,617
Receive-fixed						2,225						(1,040)						1,738						(478)
Basis						17						(22)						14						6
Foreign currency						19						(12)						8						(2)
Swaptions:
Pay-fixed						(29)						95						15						74
Receive-fixed						3						(13)						6						(16)
Futures						(2)						1						—						2
Net contractual interest income (expense) on interest-rate swaps						(263)						(193)						(713)						(499)
Total risk management derivatives fair value gains (losses), net						(255)						165						442						704
Mortgage commitment derivatives fair value gains (losses), net						(567)						591						(266)						675
Credit enhancement derivatives fair value gains (losses), net						(38)						47						(52)						61
Total derivatives fair value gains (losses), net						$	(860)					$	803					$	124					$	1,440

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						96

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			Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Effect of Fair Value Hedge Accounting

The following table displays the effect of fair value hedge accounting on our condensed consolidated statements of operations and comprehensive income, including gains and losses recognized on fair value hedging relationships.

						For the Three Months Ended September 30,																								For the Nine Months Ended September 30,
						2024												2023												2024												2023
						Interest Income: Mortgage Loans						Interest Expense: Long-Term Debt						Interest Income: Mortgage Loans						Interest Expense: Long-Term Debt						Interest Income: Mortgage Loans						Interest Expense: Long-Term Debt						Interest Income: Mortgage Loans						Interest Expense: Long-Term Debt
						(Dollars in millions)
Total amounts presented in our condensed consolidated statements of operations and comprehensive income						$	36,390					$	(30,600)					$	33,711					$	(27,994)					$	107,223					$	(90,057)					$	98,503					$	(81,781)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items						$	730					$	—					$	(544)					$	—					$	368					$	—					$	(511)					$	—
Discontinued hedge related basis adjustment amortization						3						—						14						—						29						—						34						—
Derivatives designated as hedging instruments						(725)						—						560						—						(410)						—						478						—
Interest accruals on hedging instruments						84						—						36						—						226						—						89						—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items						—						(506)						—						176						—						51						—						606
Discontinued hedge-related basis adjustment amortization						—						(213)						—						(223)						—						(641)						—						(618)
Derivatives designated as hedging instruments						—						519						—						(66)						—						86						—						(137)
Interest accruals on derivative hedging instruments						—						(93)						—						(191)						—						(373)						—						(713)
Total effect of fair value hedges						$	92					$	(293)					$	66					$	(304)					$	213					$	(877)					$	90					$	(862)

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						97

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			Notes to Condensed Consolidated Financial Statements | Derivative Instruments

Hedged Items in Fair Value Hedging Relationships

The following table displays the carrying amounts of the hedged items that have been in qualifying fair value hedges recorded in our condensed consolidated balance sheets, including the hedged item’s cumulative basis adjustments and the closed portfolio balances under the portfolio layer method. The hedged item carrying amounts and total basis adjustments include both open and discontinued hedges. The amortized cost and designated UPB consists only of open hedges as of September 30, 2024 and December 31, 2023.

						As of September 30, 2024
						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						$	856,849					$	223					$	223					$	440,276					$	18,435
Debt of Fannie Mae						(50,473)						3,161						3,161						N/A						N/A

						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						$	449,137					$	(174)					$	(174)					$	218,419					$	9,955
Debt of Fannie Mae						(59,462)						3,751						3,751						N/A						N/A

(1)    No basis adjustment associated with open hedges, as all hedges are designated at the close of business with a one-day term.

(2)    Based on the unamortized balance of the hedge-related cost basis.

Derivative Counterparty Credit Exposure

Our derivative counterparty credit exposure relates principally to interest-rate derivative contracts. We are exposed to the risk that a counterparty in a derivative transaction will default on payments due to us, which may require us to seek a replacement derivative from a different counterparty. This replacement may be at a higher cost, or we may be unable to find a suitable replacement. We manage our derivative counterparty credit exposure relating to our risk management derivative transactions mainly through enforceable master netting arrangements, which allow us to net derivative assets and liabilities with the same counterparty or clearing organization and clearing member. For our OTC derivative transactions, we require counterparties to post collateral, which may include cash, U.S. Treasury securities, agency debt and agency mortgage-related securities. See “Note 12, Netting Arrangements” for information on our rights to offset assets and liabilities as of September 30, 2024 and December 31, 2023.

For certain OTC derivatives, the amount of collateral we pledge to counterparties related to our derivative instruments is determined after considering our credit ratings. Currently, our long-term senior debt is rated AA+ or above by S&P Global Ratings and Moody's Investors Service. If our long-term senior debt credit ratings were downgraded to established thresholds in our OTC derivative contracts, which range from A3/A- to Baa2/BBB or below, we would be required to provide additional collateral to certain counterparties. The aggregate fair value of our OTC derivative instruments with credit-risk-related contingent features that were in a net liability position was $1.2 billion and $1.8 billion, for which we posted collateral of $942 million and $1.6 billion as of September 30, 2024 and December 31, 2023, respectively. If our credit ratings were downgraded to Baa2/BBB or below, the maximum additional collateral we would have been required to post to our counterparties as of September 30, 2024 and December 31, 2023 would have been $647 million and $798 million, respectively.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						98

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			Notes to Condensed Consolidated Financial Statements | Segment Reporting

10.  Segment Reporting

We have two reportable business segments, which are based on the type of business activities each perform: Single-Family and Multifamily. Results of our two business segments are intended to reflect each segment as if it were a stand-alone business. The sum of the results for our two business segments equals our condensed consolidated results of operations. For additional information related to our business segments, including basis of organization and other segment activities, see “Note 11, Segment Reporting” in our 2023 Form 10-K.

Segment Allocations and Results

The majority of our revenues and expenses are directly associated with each respective business segment and are included in determining its operating results. Those revenues and expenses that are not directly attributable to a particular business segment are allocated based on the size of each segment’s guaranty book of business. As a result, the sum of each income statement line item for the two reportable segments is equal to that same income statement line item for the consolidated entity.

The substantial majority of the gains and losses associated with our risk management derivatives, including the impact of hedge accounting, are allocated to our Single-Family business segment. In the current period, there were no significant changes to our segment allocation methodology.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						99

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			Notes to Condensed Consolidated Financial Statements | Segment Reporting

The following table displays our segment results.

						For the Three Months Ended September 30,
						2024																		2023
						Single-Family						Multifamily						Total						Single-Family						Multifamily						Total
						(Dollars in millions)
Net interest income(1)						$	6,131					$	1,144					$	7,275					$	6,074					$	1,146					$	7,220
Fee and other income(2)						48						18						66						56						20						76
Net revenues						6,179						1,162						7,341						6,130						1,166						7,296
Investment gains (losses), net(3)						9						3						12						9						(1)						8
Fair value gains (losses), net(4)						(8)						60						52						742						53						795
Administrative expenses						(766)						(159)						(925)						(745)						(152)						(897)
Benefit (provision) for credit losses(5)						451						(424)						27						736						(84)						652
TCCA fees(6)						(862)						—						(862)						(860)						—						(860)
Credit enhancement expense(7)						(336)						(75)						(411)						(335)						(55)						(390)
Change in expected credit enhancement recoveries(8)						(45)						134						89						(170)						42						(128)
Other expenses, net(9)						(218)						(52)						(270)						(411)						(124)						(535)
Income before federal income taxes						4,404						649						5,053						5,096						845						5,941
Provision for federal income taxes						(890)						(119)						(1,009)						(1,071)						(171)						(1,242)
Net income						$	3,514					$	530					$	4,044					$	4,025					$	674					$	4,699
						For the Nine Months Ended September 30,
						2024																		2023
						Single-Family						Multifamily						Total						Single-Family						Multifamily						Total
						(Dollars in millions)
Net interest income(1)						$	18,101					$	3,465					$	21,566					$	17,663					$	3,378					$	21,041
Fee and other income(2)						154						52						206						156						53						209
Net revenues						18,255						3,517						21,772						17,819						3,431						21,250
Investment gains (losses), net(3)						(48)						20						(28)						(35)						1						(34)
Fair value gains (losses), net(4)						930						49						979						1,368						35						1,403
Administrative expenses						(2,327)						(466)						(2,793)						(2,183)						(446)						(2,629)
Benefit (provision) for credit losses(5)						1,334						(827)						507						2,201						(415)						1,786
TCCA fees(6)						(2,581)						—						(2,581)						(2,571)						—						(2,571)
Credit enhancement expense(7)						(1,022)						(213)						(1,235)						(949)						(166)						(1,115)
Change in expected credit enhancement recoveries(8)						(134)						323						189						(298)						130						(168)
Other expenses, net(9)						(612)						(108)						(720)						(730)						(192)						(922)
Income before federal income taxes						13,795						2,295						16,090						14,622						2,378						17,000
Provision for federal income taxes						(2,819)						(423)						(3,242)						(3,071)						(464)						(3,535)
Net income						$	10,976					$	1,872					$	12,848					$	11,551					$	1,914					$	13,465

(1)Net interest income primarily consists of guaranty fees received as compensation for assuming the credit risk on loans underlying Fannie Mae MBS held by third parties for the respective business segment, and the difference between the interest income earned on the respective business segment’s assets in our retained mortgage portfolio and our corporate liquidity portfolio and the interest expense associated with the debt funding those assets. Revenues from single-family guaranty fees include revenues generated by the 10 basis point increase in guaranty fees pursuant to the TCCA, the incremental revenue from which is paid to Treasury and not retained by us. Also includes yield maintenance revenue we recognized on the prepayment of multifamily loans.

(2)Single-family fee and other income primarily consists of compensation for engaging in structured transactions and providing other lender services. Multifamily fee and other income consists of fees associated with certain Multifamily business activities, such as credit enhancements for tax-exempt multifamily housing revenue bonds.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						100

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			Notes to Condensed Consolidated Financial Statements | Segment Reporting

(3)Single-family investment gains and losses primarily consist of gains and losses on the sale of mortgage assets. Multifamily investment gains and losses primarily consist of gains and losses on resecuritization activity.

(4)Single-family fair value gains and losses primarily consist of fair value gains and losses on risk management and mortgage commitment derivatives, trading securities, fair value option debt, and other financial instruments associated with our single-family guaranty book of business. Multifamily fair value gains and losses primarily consist of fair value gains and losses on MBS commitment derivatives, trading securities and other financial instruments associated with our multifamily guaranty book of business.

(5)Benefit (provision) for credit losses is based on loans underlying the segment’s guaranty book of business.

(6)Consists of the portion of our single-family guaranty fees that is paid to Treasury pursuant to the TCCA.

(7)Single-family credit enhancement expense consists of costs associated with our freestanding credit enhancements, which include primarily costs associated with our Credit Insurance Risk TransferTM (“CIRTTM”), Connecticut Avenue Securities® (“CAS”) and enterprise-paid mortgage insurance programs. Multifamily credit enhancement expense primarily consists of costs associated with our Multifamily CIRTTM (“MCIRTTM”) and Multifamily CAS (“MCASTM”) programs as well as amortization expense for certain lender risk-sharing programs. Excludes CAS transactions accounted for as debt instruments and credit risk transfer programs accounted for as derivative instruments.

(8)Consists of change in benefits recognized from our freestanding credit enhancements, primarily from our CAS and CIRT programs as well as certain lender risk-sharing arrangements, including our multifamily Delegated Underwriting and Servicing (“DUS®”) program.

(9)Includes debt extinguishment gains and losses, expenses associated with legal claims, foreclosed property income (expense), gains and losses from partnership investments, housing trust fund expenses, loan subservicing costs, and servicer fees paid in connection with certain loss mitigation activities.

11.  Concentrations of Credit Risk

Risk Characteristics of our Guaranty Book of Business

One of the measures by which management gauges our credit risk is the delinquency status of the mortgage loans in our guaranty book of business.

For single-family and multifamily loans, management uses this information, in conjunction with housing market data, other economic data, our capital requirements and our mission objectives, to help inform changes to our pricing and our eligibility and underwriting criteria. Management also uses this data together with other credit risk measures to identify key trends that guide the development of our loss mitigation strategies.

We report the delinquency status of our single-family and multifamily guaranty book of business below.

Single-Family Credit Risk Characteristics

For single-family loans, management monitors the serious delinquency rate, which is the percentage of single-family loans, based on number of loans, that are 90 days or more past due or in the foreclosure process, and loans that have higher risk characteristics, such as high mark-to-market LTV ratios.

The following tables display the delinquency status and serious delinquency rates for specified loan categories of our single-family conventional guaranty book of business.

			As of
			September 30, 2024																		December 31, 2023
			30 Days Delinquent						60 Days Delinquent						Seriously Delinquent(1)						30 Days Delinquent						60 Days Delinquent						Seriously Delinquent(1)
Percentage of single-family conventional guaranty book of business based on UPB			0.96		%				0.25		%				0.54		%				0.98		%				0.24		%				0.56		%
Percentage of single-family conventional loans based on loan count			1.02						0.26						0.52						1.06						0.26						0.55

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						101

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			Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

			As of
			September 30, 2024												December 31, 2023
			Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB						Serious Delinquency Rate(1)						Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB						Serious Delinquency Rate(1)
Estimated mark-to-market LTV ratio:
80.01% to 90%			5		%				0.85		%				5		%				0.81		%
90.01% to 100%			3						0.62						3						0.59
Greater than 100%			*						3.43						*						2.05
Geographical distribution:
California			19						0.39						19						0.42
Florida			6						0.68						6						0.73
Illinois			3						0.66						3						0.70
New York			4						0.80						5						0.92
Texas			7						0.69						7						0.64
All other states			61						0.48						60						0.52
Vintages:
2008 and prior			2						1.79						2						2.07
2009-2024			98						0.46						98						0.47

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

(1)Based on loan count, consists of single-family conventional loans that were 90 days or more past due or in the foreclosure process as of September 30, 2024 or December 31, 2023.

Multifamily Credit Risk Characteristics

For multifamily loans, management monitors the serious delinquency rate, which is the percentage of multifamily loans, based on unpaid principal balance, that are 60 days or more past due, and loans with other higher risk characteristics to determine the overall credit quality of our multifamily book of business. Higher risk characteristics include, but are not limited to, current debt service coverage ratio (“DSCR”) below 1.0 and original LTV ratio greater than 80%. We stratify multifamily loans into different internal risk categories based on the credit risk inherent in each individual loan.

The following tables display the delinquency status and serious delinquency rates for specified loan categories of our multifamily guaranty book of business.

			As of
			September 30, 2024(1)												December 31, 2023(1)
			30 Days Delinquent						Seriously Delinquent(2)						30 Days Delinquent						Seriously Delinquent(2)
Percentage of multifamily guaranty book of business			0.12		%				0.56		%				0.10		%				0.46		%

			As of
			September 30, 2024												December 31, 2023
			Percentage of Multifamily Guaranty Book of Business(1)						Serious Delinquency Rate(2)(3)						Percentage of Multifamily Guaranty Book of Business(1)						Serious Delinquency Rate(2)(3)
Original LTV ratio:
Greater than 80%			1		%				0.12		%				1		%				0.13		%
Less than or equal to 80%			99						0.56						99						0.46
Current DSCR below 1.0(4)			6						5.59						4						7.04

(1)Calculated based on the aggregate unpaid principal balance of multifamily loans for each category divided by the aggregate unpaid principal balance of loans in our multifamily guaranty book of business.

(2)Consists of multifamily loans that were 60 days or more past due as of the dates indicated.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						102

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			Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

(3)Calculated based on the unpaid principal balance of multifamily loans that were seriously delinquent divided by the aggregate unpaid principal balance of multifamily loans for each category included in our multifamily guaranty book of business.

(4)Our estimates of current DSCRs are based on the latest available income information covering a 12 month period, from quarterly and annual statements for these properties including the related debt service.

Other Concentrations

Mortgage Insurers. Mortgage insurance “risk in force” refers to our maximum potential loss recovery under the applicable mortgage insurance policies in force and is generally based on the loan-level insurance coverage percentage and, if applicable, any aggregate pool loss limit, as specified in the policy.

The following table displays our total mortgage insurance risk in force by primary and pool insurance, as well as the total risk-in-force mortgage insurance coverage as a percentage of the single-family conventional guaranty book of business.

						As of
						September 30, 2024												December 31, 2023
						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						$	202,115											$	200,023
Pool mortgage insurance						56												98
Total mortgage insurance risk in force						$	202,171					6%						$	200,121					6%

Mortgage insurance only covers losses that are realized after the borrower defaults and title to the property is subsequently transferred, such as after a foreclosure, short-sale, or a deed-in-lieu of foreclosure. Also, mortgage insurance does not protect us from all losses on covered loans. For example, mortgage insurance is not intended to cover property damage from hazards, including natural disasters; and the mortgage insurance policy permits the exclusion of any material loss directly related to property damage.

In general, we require single-family and multifamily borrowers to obtain and maintain property insurance to cover the risk of damage to their homes or properties resulting from hazards such as fire, wind and, for properties located in Federal Emergency Management Agency-designated Special Flood Hazard Areas, flooding. Since we generally require borrowers to select and obtain hazard insurance policies, our requirements for hazard insurance coverage are verified by the lender or servicer, as applicable. For single-family loans, we require a minimum financial strength rating for non-governmental hazard insurers that must be provided by S&P Global, Demotech, AM Best or KBRA. For multifamily loans, we require a minimum financial strength rating for non-governmental hazard insurers that must be provided by Demotech or AM Best. We do not independently verify the financial condition of these hazard insurers and rely on these rating agencies for their assessment of the financial condition of these insurers.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						103

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			Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

The table below displays our mortgage insurer counterparties that provided 10% or more of the risk in force mortgage insurance coverage on mortgage loans in our single-family conventional guaranty book of business.

						Percentage of Risk in Force Coverage by Mortgage Insurer
						As of
						September 30, 2024						December 31, 2023
Counterparty:(1)
Mortgage Guaranty Insurance Corp.						19		%				19		%
Radian Guaranty, Inc.						18						18
Arch Capital Group Ltd.						17						18
Enact Mortgage Insurance Corp.						17						16
Essent Guaranty, Inc.						16						16
National Mortgage Insurance Corp.						13						13
Others						*						*
Total						100		%				100		%

*    Represents less than 0.5% of the risk in force mortgage insurance coverage.

(1)Insurance coverage amounts provided for each counterparty may include coverage provided by affiliates and subsidiaries of the counterparty.

We have counterparty credit risk relating to the potential insolvency of, or non-performance by, monoline mortgage insurers that insure single-family loans we purchase or guarantee. There is risk that these counterparties may fail to fulfill their obligations to pay our claims under insurance policies. On at least a quarterly basis, we assess our mortgage insurer counterparties’ respective abilities to fulfill their obligations to us. Our assessment includes financial reviews and analyses of the insurers’ portfolios and capital adequacy. If we determine that it is probable that we will not collect all of our claims from one or more of our mortgage insurer counterparties, it could increase our loss reserves, which could adversely affect our results of operations, liquidity, financial condition and net worth.

When we estimate the credit losses that are inherent in our mortgage loans and under the terms of our guaranty obligations, we also consider the recoveries that we expect to receive from primary mortgage insurance, as mortgage insurance recoveries reduce the severity of the loss associated with defaulted loans if the borrower defaults and title to the property is subsequently transferred. Mortgage insurance does not cover credit losses that result from a reduction in mortgage interest paid by the borrower in connection with a loan modification, forbearance of principal, or forbearance of scheduled loan payments. We evaluate the financial condition of our mortgage insurer counterparties and adjust the contractually due recovery amounts to ensure that expected credit losses as of the balance sheet date are included in our loss reserve estimate. As a result, if our assessment of one or more of our mortgage insurer counterparties’ ability to fulfill their respective obligations to us worsens, it could increase our loss reserves. As of September 30, 2024 and December 31, 2023, our estimated benefit from mortgage insurance, which is based on estimated credit losses as of period end, reduced our loss reserves by $878 million and $1.2 billion, respectively.

As of September 30, 2024 and December 31, 2023, we had outstanding receivables of $467 million and $471 million, respectively, recorded in “Other assets” in our condensed consolidated balance sheets related to amounts claimed on insured, defaulted loans excluding government-insured loans. As of September 30, 2024 and December 31, 2023, we assessed these outstanding receivables for collectability, and established a valuation allowance of $402 million and $417 million, respectively.

Mortgage Servicers and Sellers. Mortgage servicers collect mortgage and escrow payments from borrowers, pay taxes and insurance costs from escrow accounts, monitor and report delinquencies, and perform other required activities, including loss mitigation, on our behalf. Our mortgage servicers and sellers may also be obligated to repurchase loans or foreclosed properties, reimburse us for losses or provide other remedies under certain circumstances, such as if it is determined that the mortgage loan did not meet our underwriting or eligibility requirements, if certain loan representations and warranties are violated or if mortgage insurers rescind coverage. Our representation and warranty framework does not require repurchase for loans that have breaches of certain selling representations and warranties if they have met specified criteria for relief.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						104

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			Notes to Condensed Consolidated Financial Statements | Concentrations of Credit Risk

Our business with mortgage servicers is concentrated. The table below displays the percentage of our single-family conventional guaranty book of business serviced by our top five depository single-family mortgage servicers and top five non-depository single-family mortgage servicers (i.e., servicers that are not insured depository institutions) based on unpaid principal balance. There were no servicers that serviced 10% or more of our single-family guaranty book of business as of September 30, 2024 or December 31, 2023.

						Percentage of Single-Family Conventional Guaranty Book of Business
						As of
						September 30, 2024						December 31, 2023
Top five depository servicers						21		%				22		%
Top five non-depository servicers						29						27
Total						50		%				49		%

As of September 30, 2024, 43% of our single-family conventional guaranty book of business was serviced by depository servicers, and 57% of our single-family conventional guaranty book of business was serviced by non-depository servicers. As of December 31, 2023, 44% of our single-family conventional guaranty book of business was serviced by depository servicers, and 56% of our single-family conventional guaranty book of business was serviced by non-depository servicers.

The table below displays the percentage of our multifamily guaranty book of business serviced by our top five depository multifamily mortgage servicers and top five non-depository multifamily mortgage servicers. As of September 30, 2024, two servicers serviced 10% or more of our multifamily guaranty book of business, Walker & Dunlop, Inc. and Wells Fargo Bank, N.A. (together with its affiliates). As of September 30, 2024 and December 31, 2023, Walker & Dunlop, Inc. and Wells Fargo Bank, N.A. (together with its affiliates) serviced 13% and 10%, respectively, of our multifamily guaranty book of business based on unpaid principal balance. Walker & Dunlop, Inc. is a non-depository servicer and Wells Fargo Bank, N.A. is a depository servicer.

						Percentage of Multifamily Guaranty Book of Business
						As of
						September 30, 2024						December 31, 2023
Top five depository servicers						26		%				27		%
Top five non-depository servicers						44						44
Total						70		%				71		%

As of September 30, 2024 and December 31, 2023, 31% of our multifamily guaranty book of business was serviced by depository servicers and 69% of our multifamily guaranty book of business was serviced by non-depository servicers.

Compared with depository financial institutions, our non-depository servicers pose additional risks because they may not have the same financial strength or operational capacity, or be subject to the same level of regulatory oversight as depository financial institutions.

Derivatives Counterparties. For information on credit risk associated with our derivative transactions and repurchase agreements see “Note 9, Derivative Instruments” and “Note 12, Netting Arrangements.”

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						105

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			Notes to Condensed Consolidated Financial Statements | Netting Arrangements

12.  Netting Arrangements

We use master netting arrangements, which allow us to offset certain financial instruments and collateral with the same counterparty, to minimize counterparty credit exposure. The tables below display information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase, which are subject to an enforceable master netting arrangement or similar agreement that are either offset or not offset in our condensed consolidated balance sheets.

						As of September 30, 2024
												Gross Amount Offset(1)						Net Amount Presented in our Condensed Consolidated Balance Sheets												Amounts Not Offset in our Condensed Consolidated Balance Sheets
						Gross Amount																								Financial Instruments(2)												Collateral(3)												Net Amount
						(Dollars in millions)
Assets:
OTC risk management derivatives						$	367					$	(353)								$	14											$	—											$	—								$	14
Cleared risk management derivatives						—						120									120												—												—									120
Mortgage commitment derivatives						109						—									109												(55)												(1)									53
Total derivative assets						476						(233)									243			(4)									(55)												(1)									187
Securities purchased under agreements to resell(5)						56,915						—									56,915												—												(56,915)									—
Total assets						$	57,391					$	(233)								$	57,158											$	(55)											$	(56,916)								$	187
Liabilities:
OTC risk management derivatives						$	(2,176)					$	2,156								$	(20)											$	—											$	—								$	(20)
Cleared risk management derivatives						—						(2)									(2)												—												2									—
Mortgage commitment derivatives						(99)						—									(99)												55												31									(13)
Total liabilities						$	(2,275)					$	2,154								$	(121)		(4)									$	55											$	33								$	(33)

									As of December 31, 2023
																					Gross Amount Offset(1)									Net Amount Presented in our Condensed Consolidated Balance Sheets												Amounts Not Offset in our Condensed Consolidated Balance Sheets
									Gross Amount																														Financial Instruments(2)												Collateral(3)															Net Amount
									(Dollars in millions)
Assets:
OTC risk management derivatives									$	328											$	(294)											$	34											$	—											$	—											$	34
Cleared risk management derivatives									—												11												11												—												—												11
Mortgage commitment derivatives									112												—												112												(23)												(9)												80
Total derivative assets									440												(283)												157			(4)									(23)												(9)												125
Securities purchased under agreements to resell(5)									65,425												—												65,425												—												(65,425)												—
Total assets									$	65,865											$	(283)											$	65,582											$	(23)											$	(65,434)											$	125
Liabilities:
OTC risk management derivatives									$	(3,223)											$	3,203											$	(20)											$	—											$	—											$	(20)
Cleared risk management derivatives									—												(3)												(3)												—												3												—
Mortgage commitment derivatives									(104)												—												(104)												23												77												(4)
Total liabilities									$	(3,327)											$	3,200											$	(127)		(4)									$	23											$	80											$	(24)

(1)Represents the effect of the right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received and accrued interest.

(2)Mortgage commitment derivative amounts reflect where we have recognized both an asset and a liability with the same counterparty under an enforceable master netting arrangement but we have not elected to offset the related amounts in our condensed consolidated balance sheets.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						106

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			Notes to Condensed Consolidated Financial Statements | Netting Arrangements

(3)Represents collateral received that has not been recognized and not offset in our condensed consolidated balance sheets, as well as collateral posted which has been recognized but not offset in our condensed consolidated balance sheets. Does not include collateral held or posted in excess of our exposure. The fair value of non-cash collateral we pledged which the counterparty was permitted to sell or repledge was $2.5 billion and $2.2 billion as of September 30, 2024 and December 31, 2023, respectively. The fair value of non-cash collateral received was $57.0 billion and $65.5 billion, of which $44.9 billion and $55.4 billion could be sold or repledged as of September 30, 2024 and December 31, 2023, respectively. None of the underlying collateral was sold or repledged as of September 30, 2024 or December 31, 2023.

(4)Excludes derivative assets of $37 million and $45 million as of September 30, 2024 and December 31, 2023, respectively, and derivative liabilities of $11 million and $13 million as of September 30, 2024 and December 31, 2023, respectively, recognized in our condensed consolidated balance sheets, that were not subject to enforceable master netting arrangements.

(5)Includes $24.7 billion and $21.8 billion in securities purchased under agreements to resell classified as “Cash and cash equivalents” in our condensed consolidated balance sheets as of September 30, 2024 and December 31, 2023, respectively. Includes $14.1 billion and $12.9 billion in securities purchased under agreements to resell classified as “Restricted cash and cash equivalents” in our condensed consolidated balance sheets as of September 30, 2024 and December 31, 2023, respectively.

Derivative instruments are recorded at fair value and securities purchased under agreements to resell are recorded at amortized cost in our condensed consolidated balance sheets. For a discussion of how we determine our rights to offset the assets and liabilities presented above with the same counterparty, including collateral posted or received, see “Note 15, Netting Arrangements” in our 2023 Form 10-K.

13.  Fair Value

We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or nonrecurring basis.

Fair Value Measurement

Fair value measurement guidance defines fair value, establishes a framework for measuring fair value, and sets forth disclosures around fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. The guidance establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The fair value hierarchy gives the highest priority, Level 1, to measurements based on unadjusted quoted prices in active markets for identical assets or liabilities. The next highest priority, Level 2, is given to measurements of assets and liabilities based on limited observable inputs or observable inputs for similar assets and liabilities. The lowest priority, Level 3, is given to measurements based on unobservable inputs.

We use valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. See “Note 16, Fair Value” in our 2023 Form 10-K for information on the valuation control processes and the valuation techniques we use for fair value measurement and disclosure as well as our basis for classifying these measurements as Level 1, Level 2 or Level 3 of the valuation hierarchy in more specific situations. If the inputs used to measure assets or liabilities at fair value change, it may also result in a change in classification between Levels 1, 2, and 3. We made no material changes to the valuation control processes or the valuation techniques for the nine months ended September 30, 2024.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						107

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			Notes to Condensed Consolidated Financial Statements | Fair Value

Recurring Changes in Fair Value

The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair value option.

						Fair Value Measurements as of September 30, 2024
						Quoted Prices in Active Markets for Identical Assets (Level 1)												Significant Other Observable Inputs (Level 2)												Significant Unobservable Inputs (Level 3)												Netting Adjustment(1)												Estimated Fair Value
						(Dollars in millions)
Recurring fair value measurements:
Assets:
Trading securities:
Mortgage-related									$	—											$	1,163											$	35											$	—											$	1,198
Non-mortgage-related(2)									60,080												20												—												—												60,100
Total trading securities									60,080												1,183												35												—												61,298
Available-for-sale securities:
Agency(3)									—												39												313												—												352
Other mortgage-related									—												5												135												—												140
Total available-for-sale securities									—												44												448												—												492
Mortgage loans									—												2,825												430												—												3,255
Derivative assets									—												422												91												(233)												280
Total assets at fair value									$	60,080											$	4,474											$	1,004											$	(233)											$	65,325
Liabilities:
Long-term debt:
Of Fannie Mae									$	—											$	167											$	284											$	—											$	451
Of consolidated trusts									—												13,127												110												—												13,237
Total long-term debt									—												13,294												394												—												13,688
Derivative liabilities									—												2,275												11												(2,154)												132
Total liabilities at fair value									$	—											$	15,569											$	405											$	(2,154)											$	13,820

						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
									(Dollars in millions)
Recurring fair value measurements:
Assets:
Trading securities:
Mortgage-related									$	—											$	4,744											$	26											$	—											$	4,770
Non-mortgage-related(2)									47,764												18												—												—												47,782
Total trading securities									47,764												4,762												26												—												52,552
Available-for-sale securities:
Agency(3)									—												46												331												—												377
Other mortgage-related									—												4												183												—												187
Total available-for-sale securities									—												50												514												—												564
Mortgage loans									—												2,838												477												—												3,315
Derivative assets									—												395												90												(283)												202
Total assets at fair value									$	47,764											$	8,045											$	1,107											$	(283)											$	56,633
Liabilities:
Long-term debt:
Of Fannie Mae									$	—											$	493											$	268											$	—											$	761
Of consolidated trusts									—												14,226												117												—												14,343
Total long-term debt									—												14,719												385												—												15,104
Derivative liabilities									—												3,327												13												(3,200)												140
Total liabilities at fair value									$	—											$	18,046											$	398											$	(3,200)											$	15,244

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						108

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			Notes to Condensed Consolidated Financial Statements | Fair Value

(1)Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received.

(2)Primarily includes U.S. Treasury securities.

(3)Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae.

The following tables display a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3). The tables also display gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized in our condensed consolidated statements of operations and comprehensive income for Level 3 assets and liabilities.

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						For the Three Months Ended September 30, 2024
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(4)(5)						Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2024(1)
						Balance, June 30, 2024						Included in Net Income						Included in Total OCI (Loss)(1)						Purchases(2)						Sales(2)						Issues(3)						Settlements(3)						Transfers out of Level 3						Transfers into Level 3						Balance, September 30, 2024
						(Dollars in millions)
Trading securities:
Mortgage-related						$	32					$	2		(5)(6)			$	—					$	—					$	—					$	—					$	—					$	(2)					$	3					$	35					$	2					$	—
Available-for-sale securities:
Agency						$	315					$	1					$	6					$	—					$	—					$	—					$	(9)					$	—					$	—					$	313					$	—					$	4
Other mortgage-related						146						(1)						—						—						—						—						(10)						—						—						135						—						1
Total available-for-sale securities						$	461					$	—		(6)(7)			$	6					$	—					$	—					$	—					$	(19)					$	—					$	—					$	448					$	—					$	5
Mortgage loans						$	425					$	18		(5)(6)			$	—					$	—					$	—					$	—					$	(14)					$	(8)					$	9					$	430					$	9					$	—
Net derivatives						94						(19)			(5)			—						—						—						—						5						—						—						80						(14)						—
Long-term debt:
Of Fannie Mae						$	(270)					$	(14)		(5)			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	(284)					$	(14)					$	—
Of consolidated trusts						(110)						(4)			(5)(6)			—						—						—						—						5						—						(1)						(110)						(3)						—
Total long-term debt						$	(380)					$	(18)					$	—					$	—					$	—					$	—					$	5					$	—					$	(1)					$	(394)					$	(17)					$	—

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						109

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			Notes to Condensed Consolidated Financial Statements | Fair Value

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						For the Nine Months Ended September 30, 2024
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(4)(5)						Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2024(1)
						Balance, December 31, 2023						Included in Net Income						Included in Total OCI (Loss)(1)						Purchases(2)						Sales(2)						Issues(3)						Settlements(3)						Transfers out of Level 3						Transfers into Level 3						Balance, September 30, 2024
						(Dollars in millions)
Trading securities:
Mortgage-related						$	26					$	1		(5)(6)			$	—					$	—					$	—					$	—					$	—					$	(5)					$	13					$	35					$	1					$	—
Available-for-sale securities:
Agency						$	331					$	1					$	6					$	—					$	—					$	—					$	(25)					$	—					$	—					$	313					$	—					$	5
Other mortgage-related						183						1						1						—						—						—						(49)						(1)						—						135						—						1
Total available-for-sale securities						$	514					$	2		(6)(7)			$	7					$	—					$	—					$	—					$	(74)					$	(1)					$	—					$	448					$	—					$	6
Mortgage loans						$	477					$	15		(5)(6)			$	—					$	—					$	(6)					$	—					$	(47)					$	(47)					$	38					$	430					$	8					$	—
Net derivatives						77						(31)			(5)			—						—						—						—						34						—						—						80						3						—
Long-term debt:
Of Fannie Mae						$	(268)					$	(16)		(5)			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	(284)					$	(16)					$	—
Of consolidated trusts						(117)						(5)			(5)(6)			—						—						—						—						12						1						(1)						(110)						(5)						—
Total long-term debt						$	(385)					$	(21)					$	—					$	—					$	—					$	—					$	12					$	1					$	(1)					$	(394)					$	(21)					$	—

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						For the Three Months Ended September 30, 2023
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(4)(5)						Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2023(1)
						Balance, June 30, 2023						Included in Net Income						Included in Total OCI (Loss)(1)						Purchases(2)						Sales(2)						Issues(3)						Settlements(3)						Transfers out of Level 3						Transfers into Level 3						Balance, September 30, 2023
						(Dollars in millions)
Trading securities:
Mortgage-related						$	28					$	(4)		(5)(6)			$	—					$	—					$	—					$	—					$	—					$	(4)					$	4					$	24					$	(4)					$	—
Available-for-sale securities:
Agency						$	356					$	—					$	(19)					$	—					$	—					$	—					$	(8)					$	(117)					$	—					$	212					$	—					$	(12)
Other mortgage-related						235						1						—						—						—						—						(34)						—						1						203						—						—
Total available-for-sale securities						$	591					$	1		(6)(7)			$	(19)					$	—					$	—					$	—					$	(42)					$	(117)					$	1					$	415					$	—					$	(12)
Mortgage loans						$	510					$	(2)		(5)(6)			$	—					$	—					$	—					$	—					$	(19)					$	(15)					$	17					$	491					$	(4)					$	—
Net derivatives						12						28			(5)			—						—						—						—						(1)						—						—						39						26						—
Long-term debt:
Of Fannie Mae						$	(256)					$	16		(5)			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	(240)					$	16					$	—
Of consolidated trusts						(125)						1			(5)(6)			—						—						—						—						4						52						(1)						(69)						—						—
Total long-term debt						$	(381)					$	17					$	—					$	—					$	—					$	—					$	4					$	52					$	(1)					$	(309)					$	16					$	—

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						110

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			Notes to Condensed Consolidated Financial Statements | Fair Value

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						For the Nine Months Ended September 30, 2023
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(4)(5)						Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2023(1)
						Balance, December 31, 2022						Included in Net Income						Included in Total OCI (Loss)(1)						Purchases(2)						Sales(2)						Issues(3)						Settlements(3)						Transfers out of Level 3						Transfers into Level 3						Balance, September 30, 2023
						(Dollars in millions)
Trading securities:
Mortgage-related						$	47					$	(12)		(5)(6)			$	—					$	—					$	—					$	—					$	—					$	(15)					$	4					$	24					$	(9)					$	—
Available-for-sale securities:
Agency						$	371					$	1					$	(18)					$	—					$	—					$	—					$	(25)					$	(117)					$	—					$	212					$	—					$	(10)
Other mortgage-related						263						6						5						—						—						—						(72)						(1)						2						203						—						4
Total available-for-sale securities						$	634					$	7		(6)(7)			$	(13)					$	—					$	—					$	—					$	(97)					$	(118)					$	2					$	415					$	—					$	(6)
Mortgage loans						$	543					$	1		(5)(6)			$	—					$	—					$	—					$	—					$	(64)					$	(30)					$	41					$	491					$	(4)					$	—
Net derivatives						(37)						60			(5)			—						—						—						—						16						—						—						39						76						—
Long-term debt:
Of Fannie Mae						$	(242)					$	2		(5)			$	—					$	—					$	—					$	—					$	—					$	—					$	—					$	(240)					$	2					$	—
Of consolidated trusts						(136)						1			(5)(6)			—						—						—						—						15						52						(1)						(69)						1						—
Total long-term debt						$	(378)					$	3					$	—					$	—					$	—					$	—					$	15					$	52					$	(1)					$	(309)					$	3					$	—

(1)Gains (losses) are included in “Other comprehensive income (loss)” in our condensed consolidated statements of operations and comprehensive income.

(2)Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.

(3)Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.

(4)Amount represents temporary changes in fair value. Amortization, accretion and the impairment of credit losses are not considered unrealized and are not included in this amount.

(5)Gains (losses) are included in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.

(6)Gains (losses) included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income includes amortization of cost basis adjustments.

(7)Gains (losses) are included in “Investment gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						111

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			Notes to Condensed Consolidated Financial Statements | Fair Value

The following tables display valuation techniques and the range and the weighted average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis, excluding instruments for which we have elected the fair value option. Changes in these unobservable inputs can result in significantly higher or lower fair value measurements of these assets and liabilities as of the reporting date.

						Fair Value Measurements as of September 30, 2024
						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)						$	35					Various
Available-for-sale securities:
Agency(3)						313						Consensus
Other mortgage-related						46						Discounted Cash Flow						Spreads (bps)						478.0			-			508.0						492.0
						1						Single Vendor
						88						Various
Total other mortgage-related						135
Total available-for-sale securities						$	448
Net derivatives						$	54					Dealer Mark
						26						Discounted Cash Flow
Total net derivatives						$	80

						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)						$	26					Various
Available-for-sale securities:
Agency(3)						331						Consensus
Other mortgage-related						74						Discounted Cash Flow						Spreads (bps)						530.0			-			560.0						544.8
						9						Single Vendor
						100						Various
Total other mortgage-related						183
Total available-for-sale securities						$	514
Net derivatives						$	45					Dealer Mark
						32						Discounted Cash Flow
Total net derivatives						$	77

(1)Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the security level using discounted cash flows.

(2)Unobservable inputs were weighted by the relative fair value of the instruments.

(3)Includes Fannie Mae and Freddie Mac securities.

In our condensed consolidated balance sheets, certain assets and liabilities are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, when we evaluate loans for impairment). We held no Level 1 assets or liabilities that were measured at fair value on a nonrecurring basis as of September 30, 2024 or December 31, 2023. We held $134 million and $42 million in Level 2 assets as of September 30, 2024 and December 31, 2023, respectively, composed of mortgage loans held for sale that were impaired. We held no Level 2 or Level 3 liabilities that were measured at fair value on a nonrecurring basis as of September 30, 2024 or December 31, 2023.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						112

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			Notes to Condensed Consolidated Financial Statements | Fair Value

The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis.

												Fair Value Measurements as of
						Valuation Techniques						September 30, 2024						December 31, 2023
												(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans:(1)
Mortgage loans held for sale, at lower of cost or fair value						Consensus						$	655					$	1,994
Single-family mortgage loans held for investment, at amortized cost						Internal Model						328						407
Multifamily mortgage loans held for investment, at amortized cost						Appraisal						214						33
						Broker Price Opinion						889						769
						Internal Model						142						218
Total multifamily mortgage loans held for investment, at amortized cost												1,245						1,020
Acquired property, net:
Single-family						Accepted Offer						28						23
						Appraisal						56						43
						Internal Model						254						230
						Walk Forward						65						75
						Various						9						19
Total single-family												412						390
Multifamily						Various						49						182
Total nonrecurring assets at fair value												$	2,689					$	3,993

(1)When we measure impairment, including recoveries, based on the fair value of the loan or the underlying collateral and impairment is recorded on any component of the mortgage loan, including accrued interest receivable and amounts due from the borrower for advances of taxes and insurance, we present the entire fair value measurement amount with the corresponding mortgage loan.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						113

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			Notes to Condensed Consolidated Financial Statements | Fair Value

Fair Value of Financial Instruments

The following table displays the carrying value and estimated fair value of our financial instruments. The fair value of financial instruments we disclose includes commitments to purchase multifamily and single-family mortgage loans that we do not record in our condensed consolidated balance sheets. The fair values of these commitments are included as “Mortgage loans held for investment, net of allowance for loan losses.” The disclosure excludes all non-financial instruments; therefore, the fair value of our financial assets and liabilities does not represent the underlying fair value of our total consolidated assets and liabilities.

						As of September 30, 2024
						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						$	76,772								$	37,922								$	38,850											$	—											$	—					$	76,772
Securities purchased under agreements to resell						18,065									—									18,065												—												—						18,065
Trading securities						61,298									60,080									1,183												35												—						61,298
Available-for-sale securities						492									—									44												448												—						492
Mortgage loans held for sale						1,278									—									565												791												—						1,356
Mortgage loans held for investment, net of allowance for loan losses						4,137,380									—									3,645,412												131,457												—						3,776,869
Advances to lenders						2,595									—									2,595												—												—						2,595
Derivative assets at fair value						280									—									422												91												(233)						280
Guaranty assets and buy-ups						66									—									—												170												—						170
Total financial assets						$	4,298,226								$	98,002								$	3,707,136											$	132,992											$	(233)					$	3,937,897
Financial liabilities:
Short-term debt:
Of Fannie Mae						$	11,419								$	—								$	11,424											$	—											$	—					$	11,424
Long-term debt:
Of Fannie Mae						110,296									—									111,915												630												—						112,545
Of consolidated trusts						4,096,063									—									3,712,964												278												—						3,713,242
Derivative liabilities at fair value						132									—									2,275												11												(2,154)						132
Guaranty obligations						72									—									—												61												—						61
Total financial liabilities						$	4,217,982								$	—								$	3,838,578											$	980											$	(2,154)					$	3,837,404

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						114

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			Notes to Condensed Consolidated Financial Statements | Fair Value

						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						$	68,706								$	33,981								$	34,725											$	—											$	—					$	68,706
Securities purchased under agreements to resell						30,700									—									30,700												—												—						30,700
Trading securities						52,552									47,764									4,762												26												—						52,552
Available-for-sale securities						564									—									50												514												—						564
Mortgage loans held for sale						2,149									—									93												2,196												—						2,289
Mortgage loans held for investment, net of allowance for loan losses						4,133,482									—									3,571,555												130,022												—						3,701,577
Advances to lenders						1,389									—									1,389												—												—						1,389
Derivative assets at fair value						202									—									395												90												(283)						202
Guaranty assets and buy-ups						73									—									—												155												—						155
Total financial assets						$	4,289,817								$	81,745								$	3,643,669											$	133,003											$	(283)					$	3,858,134
Financial liabilities:
Short-term debt:
Of Fannie Mae						$	17,314								$	—								$	17,317											$	—											$	—					$	17,317
Long-term debt:
Of Fannie Mae						106,751									—									106,701												605												—						107,306
Of consolidated trusts						4,098,653									—									3,633,157												293												—						3,633,450
Derivative liabilities at fair value						140									—									3,327												13												(3,200)						140
Guaranty obligations						79									—									—												65												—						65
Total financial liabilities						$	4,222,937								$	—								$	3,760,502											$	976											$	(3,200)					$	3,758,278

For a detailed description and classification of our financial instruments, see “Note 16, Fair Value” in our 2023 Form 10-K.

Fair Value Option

We generally elect the fair value option on a financial instrument when the accounting guidance would otherwise require us to separately account for a derivative that is embedded in an instrument at fair value. Under the fair value option, we carry this type of instrument, in its entirety, at fair value instead of separately accounting for the derivative.

Interest income for the mortgage loans is recorded in “Interest income: Mortgage loans” and interest expense for the debt instruments is recorded in “Interest expense: Long-term debt” in our condensed consolidated statements of operations and comprehensive income.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						115

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			Notes to Condensed Consolidated Financial Statements | Fair Value

The following table displays the fair value and unpaid principal balance of the financial instruments for which we have elected the fair value option.

			As of
			September 30, 2024																																				December 31, 2023
			Loans(1)												Long-Term Debt of Fannie Mae												Long-Term Debt of Consolidated Trusts												Loans(1)												Long-Term Debt of Fannie Mae												Long-Term Debt of Consolidated Trusts
			(Dollars in millions)
Fair value						$	3,255											$	451											$	13,237											$	3,315											$	761											$	14,343
Unpaid principal balance						3,341												412												13,126												3,442												731												14,383

(1)Includes nonaccrual loans with a fair value of $30 million and $32 million as of September 30, 2024 and December 31, 2023, respectively. Includes loans that are 90 days or more past due with a fair value of $25 million and $31 million as of September 30, 2024 and December 31, 2023, respectively.

Changes in Fair Value under the Fair Value Option Election

We recorded gains of $134 million and $87 million for the three and nine months ended September 30, 2024, respectively, and losses of $117 million and $95 million for the three and nine months ended September 30, 2023, respectively, from changes in the fair value of loans recorded at fair value in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.

We recorded losses of $471 million and $343 million for the three and nine months ended September 30, 2024, respectively, and gains of $406 million and $356 million for the three and nine months ended September 30, 2023, respectively, from changes in the fair value of long-term debt recorded at fair value in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.

14.  Commitments and Contingencies

We are party to various types of legal actions and proceedings, including actions brought on behalf of various classes of claimants. We also are subject to regulatory examinations, inquiries and investigations, and other information gathering requests. In some of the matters, indeterminate amounts are sought. Modern pleading practice in the U.S. permits considerable variation in the assertion of monetary damages or other relief. Jurisdictions may permit claimants not to specify the monetary damages sought or may permit claimants to state only that the amount sought is sufficient to invoke the jurisdiction of the trial court. This variability in pleadings, together with our and our counsel’s actual experience in litigating or settling claims, leads us to conclude that the monetary relief that may be sought by plaintiffs bears little relevance to the merits or disposition value of claims.

Legal actions and proceedings of all types are subject to many uncertain factors that generally cannot be predicted with assurance. Accordingly, the outcome of any given matter and the amount or range of potential loss at particular points in time is frequently difficult to ascertain. Uncertainties can include how fact finders will evaluate documentary evidence and the credibility and effectiveness of witness testimony, and how the court will apply the law. Disposition valuations are also subject to the uncertainty of how opposing parties and their counsel may view the evidence and applicable law.

On a quarterly basis, we review relevant information about pending legal actions and proceedings for the purpose of evaluating and revising our contingencies, accruals and disclosures. We establish an accrual only for matters when the likelihood of a loss is probable and we can reasonably estimate the amount of such loss. We are often unable to estimate the possible losses or ranges of losses, particularly for proceedings that are in their early stages of development, where plaintiffs seek indeterminate or unspecified damages, where there may be novel or unsettled legal questions relevant to the proceedings, or where settlement negotiations have not occurred or progressed. Given the uncertainties involved in any action or proceeding, regardless of whether we have established an accrual, the ultimate resolution of certain of these matters may be material to our operating results for a particular period, depending on, among other factors, the size of the loss or liability imposed and the level of our net income or loss for that period.

In addition to the matters specifically described below, we are involved in a number of legal and regulatory proceedings that arise in the ordinary course of business that we do not expect will have a material impact on our business or financial condition.

Senior Preferred Stock Purchase Agreements Litigation

A consolidated class action (“In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations”) and a non-class action lawsuit, Fairholme Funds v. FHFA, filed by Fannie Mae and Freddie Mac stockholders against us, FHFA as our conservator, and Freddie Mac were filed in the U.S. District Court for the District

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						116

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			Notes to Condensed Consolidated Financial Statements | Commitments and Contingencies

of Columbia. The lawsuits challenge the August 2012 amendment to each company’s senior preferred stock purchase agreement with Treasury.

Plaintiffs in these lawsuits allege that the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to the August 2012 amendments nullified certain of the stockholders’ rights and caused them harm. Plaintiffs in the class action represent a class of Fannie Mae preferred stockholders and classes of Freddie Mac common and preferred stockholders. The cases were tried before a jury at a trial that commenced on July 24, 2023. On August 14, 2023, the jury returned a verdict for the plaintiffs and awarded damages of $299.4 million to Fannie Mae preferred stockholders. On October 24, 2023, the court held that these stockholders were entitled to receive prejudgment interest on the damage award. On March 20, 2024, the court entered final judgment and set the amount of prejudgment interest owed by Fannie Mae at $199.7 million. On April 17, 2024, the defendants filed a motion for judgment as a matter of law, which has been fully briefed. The parties will have 30 days to appeal following the court’s decision on the motion. Until the motion and any subsequent appeals are resolved and any final judgment amount has been paid, post-judgment interest on the damages and prejudgment interest awards will accrue at a rate of 5.01%, starting on March 20, 2024, to be computed daily and compounded annually. We recognized $495 million in 2023 related to the jury verdict and estimated prejudgment interest through December 31, 2023 in “Other expenses, net.” We recognized an additional $6 million and $17 million of expense for the three and nine months ended September 30, 2024, respectively, related to the prejudgment and/or post-judgment interest.

15. Regulatory Capital Requirements

The enterprise regulatory capital framework went into effect in February 2021; however, we are not required to hold capital according to the framework’s requirements until the date of termination of our conservatorship, or such later date as may be ordered by FHFA. The table below sets forth information about our capital requirements under the standardized approach of the enterprise regulatory capital framework.

Capital Metrics under the Enterprise Regulatory Capital Framework as of September 30, 2024(1)
(Dollars in billions)
Adjusted total assets						$	4,446
Risk-weighted assets						1,331
						Amounts																		Ratios
						Available Capital (Deficit)						Minimum Capital Requirement						Total Capital Requirement (including Buffers)(2)						Available Capital (Deficit) Ratio						Minimum Capital Ratio Requirement						Total Capital Requirement Ratio (including Buffers)(2)
Risk-based capital:
			Total capital (statutory)			$	(23)					$	106					$	106					(1.7)		%				8.0		%				8.0		%
			Common equity tier 1 capital			(60)						60						141						(4.5)						4.5						10.6
			Tier 1 capital			(41)						80						161						(3.1)						6.0						12.1
			Adjusted total capital			(41)						106						187						(3.1)						8.0						14.0
Leverage capital:
			Core capital (statutory)			(30)						111						111						(0.7)						2.5						2.5
			Tier 1 capital			(41)						111						135						(0.9)						2.5						3.0

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						117

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			Notes to Condensed Consolidated Financial Statements | Regulatory Capital Requirements

Capital Metrics under the Enterprise Regulatory Capital Framework as of December 31, 2023(1)
(Dollars in billions)
Adjusted total assets						$	4,552
Risk-weighted assets						1,357
						Amounts																		Ratios
						Available Capital (Deficit)						Minimum Capital Requirement						Total Capital Requirement (including Buffers)(2)						Available Capital (Deficit) Ratio						Minimum Capital Ratio Requirement						Total Capital Requirement Ratio (including Buffers)(2)
Risk-based capital:
			Total capital (statutory)			$	(34)					$	109					$	109					(2.5)		%				8.0		%				8.0		%
			Common equity tier 1 capital			(74)						61						140						(5.5)						4.5						10.3
			Tier 1 capital			(55)						81						160						(4.1)						6.0						11.8
			Adjusted total capital			(55)						109						188						(4.1)						8.0						13.9
Leverage capital:
			Core capital (statutory)			(43)						114						114						(0.9)						2.5						2.5
			Tier 1 capital			(55)						114						137						(1.2)						2.5						3.0

(1)Ratios are calculated as a percentage of risk-weighted assets for risk-based capital metrics and as a percentage of adjusted total assets for leverage capital metrics.

(2)Prescribed capital conservation buffer amount, or PCCBA, for risk-based capital and prescribed leverage buffer amount, or PLBA, for leverage capital.

Fannie Mae (In conservatorship) Third Quarter 2024 Form 10-Q						118

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			Quantitative and Qualitative Disclosures about Market Risk

Item 3.  Quantitative and Qualitative Disclosures about Market Risk

Information about market risk is set forth in “MD&A—Risk Management—Market Risk Management, including Interest-Rate Risk Management.”

Item 4.  Controls and Procedures

Overview

We are required under applicable laws and regulations to maintain controls and procedures, which include disclosure controls and procedures as well as internal control over financial reporting, as further described below.

Evaluation of Disclosure Controls and Procedures

Disclosure Controls and Procedures

Disclosure controls and procedures refer to controls and other procedures designed to provide reasonable assurance that information required to be disclosed in the reports we file or submit under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms. Disclosure controls and procedures include, without limitation, controls and procedures designed to provide reasonable assurance that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is accumulated and communicated to management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding our required disclosure. In designing and evaluating our disclosure controls and procedures, management recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management was required to apply its judgment in evaluating and implementing possible controls and procedures.

Evaluation of Disclosure Controls and Procedures

As required by Rule 13a-15 under the Exchange Act, management has evaluated, with the participation of our Chief Executive Officer and Chief Financial Officer, the effectiveness of our disclosure controls and procedures in effect as of September 30, 2024, the end of the period covered by this report. As a result of management’s evaluation, our Chief Executive Officer and Chief Financial Officer concluded that our disclosure controls and procedures were not effective at a reasonable assurance level as of September 30, 2024, or as of the date of filing this report.

Our disclosure controls and procedures were not effective as of September 30, 2024, or as of the date of filing this report because they did not adequately ensure the accumulation and communication to management of information known to FHFA that is needed to meet our disclosure obligations under the federal securities laws. As a result, we were not able to rely upon the disclosure controls and procedures that were in place as of September 30, 2024, or as of the date of this filing, and we continue to have a material weakness in our internal control over financial reporting. This material weakness is described in more detail below under “Description of Material Weakness.” Based on discussions with FHFA and the structural nature of this material weakness, we do not expect to remediate this material weakness while we are under conservatorship.

Description of Material Weakness

The Public Company Accounting Oversight Board’s Auditing Standard 2201 defines a material weakness as a deficiency, or a combination of deficiencies, in internal control over financial reporting such that there is a reasonable possibility that a material misstatement of the company’s annual or interim financial statements will not be prevented or detected on a timely basis.

Management has determined that we continued to have the following material weakness as of September 30, 2024, and as of the date of filing this report:

•Disclosure Controls and Procedures. We have been under the conservatorship of FHFA since September 2008. Under the GSE Act, FHFA is an independent agency that currently functions as both our conservator and our regulator with respect to our safety, soundness, and mission. Because of the nature of the conservatorship under the GSE Act, which places us under the “control” of FHFA (as that term is defined by securities laws), some of the information that we may need to meet our disclosure obligations may be solely within the knowledge of FHFA. As our conservator, FHFA has the power to take actions without our knowledge that could be material to our stockholders and other stakeholders, and could significantly affect our financial performance or our continued existence as an ongoing business. Although we and FHFA attempted to design and implement

Fannie Mae Third Quarter 2024 Form 10-Q						119

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						Controls and Procedures

disclosure policies and procedures that would account for the conservatorship and accomplish the same objectives as a disclosure controls and procedures policy of a typical reporting company, there are inherent structural limitations on our ability to design, implement, operate, and test effective disclosure controls and procedures. As both our regulator and our conservator under the GSE Act, FHFA is limited in its ability to design and implement a complete set of disclosure controls and procedures relating to Fannie Mae, particularly with respect to current reporting pursuant to Form 8-K. Similarly, as a regulated entity, we are limited in our ability to design, implement, operate, and test the controls and procedures for which FHFA is responsible.

Due to these circumstances, we have not been able to update our disclosure controls and procedures in a manner that adequately ensures the accumulation and communication to management of information known to FHFA that is needed to meet our disclosure obligations under the federal securities laws, including disclosures affecting our condensed consolidated financial statements. As a result, we did not maintain effective controls and procedures designed to ensure complete and accurate disclosure as required by GAAP as of September 30, 2024, or as of the date of filing this report. Based on discussions with FHFA and the structural nature of this weakness, we do not expect to remediate this material weakness while we are under conservatorship.

Mitigating Actions Related to Material Weakness

We and FHFA have engaged in the following practices intended to permit accumulation and communication to management of information needed to meet our disclosure obligations under the federal securities laws:

•FHFA has established the Division of Conservatorship Oversight and Readiness, which is intended to facilitate operation of the company with the oversight of the conservator.

•We have provided drafts of our SEC filings to FHFA personnel for their review and comment prior to filing. We also have provided drafts of external press releases, statements, and speeches to FHFA personnel for their review and comment prior to release.

•FHFA personnel, including senior officials, have reviewed our SEC filings prior to filing, including this quarterly report on Form 10-Q for the quarter ended September 30, 2024 (“Third Quarter 2024 Form 10-Q”), and engaged in discussions regarding issues associated with the information contained in those filings. Prior to filing our Third Quarter 2024 Form 10-Q, FHFA provided Fannie Mae management with written acknowledgment that it had reviewed the Third Quarter 2024 Form 10-Q, and it was not aware of any material misstatements or omissions in the Third Quarter 2024 Form 10-Q and had no objection to our filing the Third Quarter 2024 Form 10-Q.

•Our senior management meets regularly with senior leadership at FHFA, including, but not limited to, the Director.

•FHFA representatives attend meetings frequently with various groups within the company to enhance the flow of information and to provide oversight on a variety of matters, including accounting, credit and market risk management, external communications, and legal matters.

•Senior officials within FHFA’s Office of the Chief Accountant have met frequently with our senior finance executives regarding our accounting policies, practices, and procedures.

Changes in Internal Control Over Financial Reporting

Management has evaluated, with the participation of our Chief Executive Officer and Chief Financial Officer, whether any changes in our internal control over financial reporting that occurred during our last fiscal quarter have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting. There were no changes in our internal control over financial reporting from July 1, 2024 through September 30, 2024 that management believes have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

In the ordinary course of business, we review our system of internal control over financial reporting and make changes that we believe will improve these controls and increase efficiency, while continuing to ensure that we maintain effective internal controls. Changes may include implementing new, more efficient systems, automating manual processes, and updating existing systems.

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						Other Information

PART II—OTHER INFORMATION

Item 1.  Legal Proceedings

The information in this item supplements and updates information regarding certain legal proceedings set forth in “Legal Proceedings” in our 2023 Form 10-K, our First Quarter 2024 Form 10-Q and our Second Quarter 2024 Form 10-Q. We also provide information regarding material legal proceedings in “Note 14, Commitments and Contingencies,” which is incorporated herein by reference. In addition to the matters specifically described or incorporated by reference in this item, we are involved in legal and regulatory proceedings that arise in the ordinary course of business that we do not expect will have a material impact on our business or financial condition. However, litigation claims and proceedings of all types are subject to many factors and their outcome and effect on our business and financial condition generally cannot be predicted accurately.

We establish an accrual for legal claims only when a loss is probable and we can reasonably estimate the amount of such loss. The actual costs of resolving legal claims may be substantially higher or lower than the amounts accrued for those claims. If certain of these matters are determined against us, FHFA or Treasury, it could have a material adverse effect on our results of operations, liquidity and financial condition, including our net worth.

Senior Preferred Stock Purchase Agreements Litigation

Since June 2013, preferred and common stockholders of Fannie Mae and Freddie Mac filed lawsuits in multiple federal courts against one or more of the United States, Treasury and FHFA, challenging actions taken by the defendants relating to the Fannie Mae and Freddie Mac senior preferred stock purchase agreements and the conservatorships of Fannie Mae and Freddie Mac. Some of these lawsuits also contain claims against Fannie Mae and Freddie Mac. The legal claims being advanced by one or more of these lawsuits include challenges to the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to August 2012 amendments to the agreements, the payment of dividends to Treasury under the net worth sweep dividend provisions, and FHFA’s decision to require Fannie Mae and Freddie Mac to draw funds from Treasury to pay dividends to Treasury prior to the August 2012 amendments. The plaintiffs seek various forms of equitable and injunctive relief as well as damages. The cases that remain pending after June 30, 2024 are as follows:

District of Columbia (In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations and Fairholme Funds v. FHFA). Fannie Mae is a defendant in two cases filed in the U.S. District Court for the District of Columbia, including a consolidated class action. The cases were consolidated for trial, and on August 14, 2023, the jury returned a verdict for the plaintiffs and awarded damages of $299.4 million to Fannie Mae preferred stockholders. On March 20, 2024, the court entered final judgment and set the amount of prejudgment interest owed by Fannie Mae at $199.7 million. On April 17, 2024, the defendants filed a motion for judgment as a matter of law, which has been fully briefed. The parties will have 30 days to appeal following the court’s decision on the motion. See “Note 14, Commitments and Contingencies” for additional information.

Western District of Michigan (Rop et al. v. FHFA et al.). On June 1, 2017, preferred and common stockholders of Fannie Mae and Freddie Mac filed a complaint for declaratory and injunctive relief against FHFA and Treasury in the U.S. District Court for the Western District of Michigan. FHFA and Treasury moved to dismiss the case on September 8, 2017, and plaintiffs filed a motion for summary judgment on October 6, 2017. On September 8, 2020, the court denied plaintiffs’ motion for summary judgment and granted defendants’ motion to dismiss. On October 4, 2022, the U.S. Court of Appeals for the Sixth Circuit reversed the dismissal and remanded the case to the district court to determine whether the stockholders suffered compensable harm. On February 2, 2023, plaintiffs filed a petition with the Supreme Court seeking review of the Sixth Circuit’s decision, which the Supreme Court denied on June 12, 2023. On August 11, 2023, plaintiffs submitted a motion for leave to file an amended complaint in the district court.

Eastern District of Pennsylvania (Wazee Street Opportunities Fund IV L.P. et al. v. FHFA et al.). On August 16, 2018, common stockholders of Fannie Mae and Freddie Mac filed a complaint for declaratory and injunctive relief against FHFA and Treasury in the U.S. District Court for the Eastern District of Pennsylvania. FHFA and Treasury moved to dismiss the case on November 16, 2018, and plaintiffs filed a motion for summary judgment on December 21, 2018. On July 1, 2024, plaintiffs filed a motion for leave to amend their complaint.

U.S. Court of Federal Claims (Fisher et al. v. United States of America). On December 2, 2013, common stockholders of Fannie Mae filed a lawsuit against the United States that listed Fannie Mae as a nominal defendant. The plaintiffs alleged that the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to the August 2012 amendment constituted a taking of Fannie Mae’s property without just compensation in violation of the U.S. Constitution. On February 15, 2023, the court issued an order for plaintiffs to show cause why their claims should not be dismissed, as claims similar to theirs brought by other Fannie Mae stockholders in other cases against the United

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						Other Information

States had been dismissed by the court. On September 1, 2023, the court dismissed the case with prejudice. On October 30, 2023, plaintiffs filed a notice of appeal.

Item 1A.  Risk Factors

In addition to the information in this report, you should carefully consider the risks relating to our business that we identify in “Risk Factors” in our 2023 Form 10-K. This section supplements and updates that discussion. Also refer to “MD&A—Risk Management,” “MD&A—Single-Family Business” and “MD&A—Multifamily Business” in our 2023 Form 10-K and in this report for more detailed descriptions of the primary risks to our business and how we seek to manage those risks.

The risks we face could materially adversely affect our business, results of operations, financial condition, liquidity and net worth, and could cause our actual results to differ materially from our past results or the results contemplated by any forward-looking statements we make. We believe the risks described in the sections of this report and our 2023 Form 10-K referenced above are the most significant we face; however, these are not the only risks we face. We face additional risks and uncertainties not currently known to us or that we currently believe are immaterial.

We have experienced financial losses due to mortgage fraud and could experience additional financial losses due to mortgage fraud.

We use a process of delegated underwriting in which lenders make specific representations and warranties about the characteristics of the mortgage loans we purchase and securitize. As a result, we do not independently verify most borrower information that is provided to us. This exposes us to the risk that one or more of the parties involved in a transaction (such as the borrower, borrower’s attorney, sponsor, seller, broker, appraiser, property inspector, title agent, lender or servicer) will engage in fraud by misrepresenting facts about a mortgage loan. Similarly, we rely on delegated servicing of loans and use of a variety of external resources to assist in asset management functions, including managing our REO inventory. We have experienced financial losses resulting from mortgage fraud, including institutional fraud perpetrated by counterparties. In the future, we may experience additional financial losses as a result of mortgage fraud.

We have discovered instances of multifamily lending transactions in which one or more of the parties involved engaged in mortgage fraud or possible mortgage fraud, and we continue to investigate additional multifamily lending transactions in which we suspect fraud may have occurred. Certain gaps have been identified in our processes for managing multifamily loan origination fraud risk and for overseeing our multifamily seller/servicer counterparties. See “MD&A—Multifamily Business—Multifamily Mortgage Credit Risk Management—Multifamily Guaranty Book Diversification and Monitoring” for a discussion of actions we are taking to improve our processes that are intended to reduce the risk we face from fraudulent practices. Until we complete our work to improve our processes for managing multifamily loan origination fraud risk and oversight of multifamily seller/servicer counterparties, we may face a higher risk that we will be unable to detect or prevent fraudulent multifamily lending transactions, which could negatively affect our financial results and condition. Moreover, even when we have completed these process improvements, our mortgage fraud risk mitigation measures will not eliminate our exposure to this risk and we may still experience additional financial losses as a result of mortgage fraud.

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

Common Stock

Our common stock is traded in the over-the-counter market and quoted on the OTCQB, operated by OTC Markets Group Inc., under the ticker symbol “FNMA.”

Recent Sales of Unregistered Equity Securities

Under the terms of our senior preferred stock purchase agreement with Treasury, we are prohibited from selling or issuing our equity interests without the prior written consent of Treasury except under limited circumstances, which are described in “Business—Conservatorship and Treasury Agreements—Treasury Agreements—Covenants” in our 2023 Form 10-K. During the quarter ended September 30, 2024, we did not sell any equity securities.

Information about Certain Securities Issuances by Fannie Mae

Pursuant to SEC regulations, public companies are required to disclose certain information when they incur a material direct financial obligation or become directly or contingently liable for a material obligation under an off-balance sheet arrangement. The disclosure must be made in a current report on Form 8-K under Item 2.03 or, if the obligation is

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						Other Information

incurred in connection with certain types of securities offerings, in prospectuses for that offering that are filed with the SEC.

Because the securities we issue are exempted securities under the Securities Act of 1933, we do not file registration statements or prospectuses with the SEC with respect to our securities offerings. To comply with the disclosure requirements of Form 8-K relating to the incurrence of material financial obligations, in accordance with a “no-action” letter we received from the SEC staff in 2004, we report our incurrence of these types of obligations in offering circulars or prospectuses (or supplements thereto) that we post on our website within the same time period that a prospectus for a non-exempt securities offering would be required to be filed with the SEC. To the extent we incur a material financial obligation that is not disclosed in this manner, we would file a Form 8-K if required to do so under applicable Form 8-K requirements.

The website address for disclosure about our debt securities is www.fanniemae.com/debtsearch. From this address, investors can access the offering circular and related supplements for debt securities offerings under Fannie Mae’s universal debt facility, including pricing supplements for individual issuances of debt securities.

Disclosure about our obligations pursuant to the MBS we issue, some of which may be off-balance sheet obligations, can be found at www.fanniemae.com/mbsdisclosure. From this address, investors can access information and documents about our MBS, including prospectuses and related prospectus supplements.

We are providing our website address solely for your information. Information appearing on our website is not incorporated into this report.

Our Purchases of Equity Securities

We did not repurchase any of our equity securities during the third quarter of 2024.

Dividend Restrictions

Our payment of dividends is subject to the following restrictions:

Restrictions Relating to Conservatorship. Our conservator announced on September 7, 2008 that we would not pay any dividends on the common stock or on any series of preferred stock, other than the senior preferred stock. In addition, FHFA’s regulations relating to conservatorship and receivership operations prohibit us from paying any dividends while in conservatorship unless authorized by the Director of FHFA. The Director of FHFA has directed us to make dividend payments on the senior preferred stock on a quarterly basis for every dividend period for which dividends were payable.

Restrictions Under Senior Preferred Stock Purchase Agreement and Senior Preferred Stock. The senior preferred stock purchase agreement prohibits us from declaring or paying any dividends on Fannie Mae equity securities (other than the senior preferred stock) without the prior written consent of Treasury. In addition, the provisions of the senior preferred stock provide for dividends each quarter through and including the capital reserve end date in the amount, if any, by which our net worth as of the end of the immediately preceding fiscal quarter exceeds an applicable capital reserve amount. The applicable capital reserve amount is the amount of adjusted total capital necessary for us to meet the capital requirements and buffers set forth in the enterprise regulatory capital framework. The capital reserve end date is defined as the last day of the second consecutive fiscal quarter during which we have had and maintained capital equal to, or in excess of, all of the capital requirements and buffers under the enterprise regulatory capital framework. After the capital reserve end date, the amount of quarterly dividends to Treasury will be equal to the lesser of any quarterly increase in our net worth and a 10% annual rate on the then-current liquidation preference of the senior preferred stock. As a result, our ability to retain earnings in excess of the capital requirements and buffers set forth in the enterprise regulatory capital framework will be limited. For more information on the terms of the senior preferred stock purchase agreement and senior preferred stock, see “Business—Conservatorship and Treasury Agreements” in our 2023 Form 10-K.

Additional Restrictions Relating to Preferred Stock. Payment of dividends on our common stock is also subject to the prior payment of dividends on our preferred stock and our senior preferred stock. Payment of dividends on all outstanding preferred stock, other than the senior preferred stock, is also subject to the prior payment of dividends on the senior preferred stock.

Statutory Restrictions. Under the GSE Act, we are not permitted to make a capital distribution (including the payment of dividends) if, after making the distribution, we would be undercapitalized. The Director of FHFA, however, may permit us to repurchase shares if the repurchase is made in connection with the issuance of additional shares or obligations in at least an equivalent amount and will reduce our financial obligations or otherwise improve our financial condition. The GSE Act also provides that: (1) if we are classified as undercapitalized, we may not make a capital distribution that would result in our reclassification as significantly or critically undercapitalized; and (2) if we are classified as significantly undercapitalized, we may not make a capital distribution that would result in our reclassification as critically

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						Other Information

undercapitalized and we may not make any other capital distribution without the approval of the Director of FHFA. Our capital classifications have been suspended during conservatorship. In addition, under the Charter Act, we must obtain the prior written approval of FHFA to make a capital distribution that would decrease our total capital to an amount less than the risk-based capital level or that would decrease our core capital to an amount less than the minimum capital level.

While not currently applicable, our payment of dividends will be subject to the following restrictions under the enterprise regulatory capital framework effective on the date of termination of our conservatorship:

Restrictions Under Enterprise Regulatory Capital Framework. During a calendar quarter, we will not be permitted to pay dividends or make any other capital distributions (or create an obligation to make such distributions) that, in the aggregate, exceed the amount equal to our eligible retained income for the quarter multiplied by our maximum payout ratio. The maximum payout ratio for a given quarter is the lowest of the payout ratios determined by our capital conservation buffer and our leverage buffer. We will not be subject to this limitation on distributions if we have a capital conservation buffer that is greater than our prescribed capital conservation buffer amount and a leverage buffer that is greater than our prescribed leverage buffer amount. Notwithstanding the above-described limitations, FHFA may permit us to make a distribution upon our request, if FHFA determines that the distribution would not be contrary to the purposes of this section of the enterprise regulatory capital framework or to our safety and soundness. We will not be permitted to make any distributions during a quarter if our eligible retained income is negative and either (a) our capital conservation buffer is less than our stress capital buffer or (b) our leverage buffer is less than our prescribed leverage buffer amount.

Item 3.  Defaults Upon Senior Securities

None.

Item 4.  Mine Safety Disclosures

None.

Item 5.  Other Information

Trading Arrangements

During the quarter ended September 30, 2024, no Fannie Mae director or officer (as that term is defined by the SEC in Rule 16a-1(f) under the Exchange Act) adopted or terminated a Rule 10b5-1 trading arrangement or a non-Rule 10b5-1 trading arrangement for transactions in Fannie Mae securities.

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Item 6.  Exhibits

The exhibits listed below are being filed or furnished with or incorporated by reference into this report.

Item						Description
3.1						Fannie Mae Charter Act (12 U.S.C. § 1716 et seq.) as amended through July 25, 2019 (Incorporated by reference to Exhibit 3.1 to Fannie Mae’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2019, filed October 31, 2019.)
3.2						Fannie Mae Bylaws, as amended through January 29, 2019 (Incorporated by reference to Exhibit 3.2 to Fannie Mae’s Annual Report on Form 10-K for the year ended December 31, 2018, filed February 14, 2019.)
31.1						Certification of Chief Executive Officer pursuant to Securities Exchange Act Rule 13a-14(a)
31.2						Certification of Chief Financial Officer pursuant to Securities Exchange Act Rule 13a-14(a)
32.1						Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350
32.2						Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350
101. INS						Inline XBRL Instance Document* - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document
101. SCH						Inline XBRL Taxonomy Extension Schema*
101. CAL						Inline XBRL Taxonomy Extension Calculation*
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)

*    The financial information contained in these Inline XBRL documents is unaudited.

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						Signatures

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

Federal National Mortgage Association
			By:			/s/ Priscilla Almodovar
						Priscilla Almodovar President and Chief Executive Officer

Date: October 31, 2024

			By:			/s/ Chryssa C. Halley
						Chryssa C. Halley Executive Vice President and Chief Financial Officer

Date: October 31, 2024

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