•housing partnerships that are established to finance the acquisition, construction, development or rehabilitation

These interests may include guarantees to the VIE on behalf of the holders of the securities issued by the VIE and/or

investments in the securities issued by VIEs, such as Fannie Mae MBS created pursuant to our securitization

transactions. 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.

We create single-class securitization trusts to issue single-class Fannie Mae MBS that evidence an undivided interest in

the mortgage loans held in the trust. Investors in Fannie Mae MBS receive principal and interest payments in proportion

to their percentage ownership of the Fannie Mae MBS issued. We guarantee to each single-class securitization trust

that we will supplement amounts received by the securitization trust as required to permit timely payments of principal

and interest on the related Fannie Mae MBS. This guaranty exposes us to credit losses on the loans underlying Fannie

Single-class securitization trusts are used for lender swap and portfolio securitization transactions. We consolidate

single-class securitization trusts that are created under these programs when our role as master servicer provides us

with the power to direct activities, such as the servicing of the 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 (for example, when the mortgage loan collateral is subject to a Federal Housing

Fannie Mae single-class resecuritization trusts, which include Fannie Megas® and Supers®, are created by depositing

MBS into a new securitization trust for the purpose of aggregating multiple mortgage-related securities (generally

Fannie Mae MBS, Freddie Mac MBS or combinations of both) into one combined security. Fannie Mae multi-class

resecuritization trusts are trusts we create to issue multi-class Fannie Mae structured securities, including real-estate

mortgage investment conduits (“REMIC”) and stripped mortgage-backed securities (“SMBS”), in which the cash flows of

the underlying mortgage assets are divided, creating several classes of securities, each of which represents a beneficial

We guaranty to each Fannie Mae resecuritization trust that we will supplement amounts received by the trust as

required to permit timely principal and interest payments on the related Fannie Mae security. As the underlying collateral

may have been previously guaranteed by Fannie Mae, we are only exposed to incremental credit risk when we guaranty

the timely payment of principal and interest on underlying securities that were issued by Freddie Mac and were not

previously guaranteed by us. We may also be exposed to prepayment risk via our ownership of securities issued by

these trusts. Additionally, we earn a fee for assisting the lenders and dealers with the design and issuance of these

We do not have any incremental rights or powers related to resecuritization trusts that would enable us to direct any

activities of the underlying trust. As a result, we have concluded that we are not the primary beneficiary of, and therefore

do not consolidate, our resecuritization trusts unless we have the unilateral right to dissolve the trust. We have this right

when we hold 100% of the beneficial interests issued by the resecuritization trust.

We invest in various limited partnerships that sponsor affordable housing projects utilizing the LIHTC pursuant to

Section 42 of the Internal Revenue Code. The purpose of these investments is to increase the supply of affordable

housing in the United States and to serve communities in need. In addition, our investments in LIHTC partnerships

generate both tax credits and net operating losses that may reduce our federal income tax liability. Our LIHTC

investments primarily represent limited partnership interests in entities that have been organized by a fund manager

who acts as the general partner. These LIHTC partnerships seek out equity investments in LIHTC operating

partnerships that have been established to identify, develop and operate multifamily housing that is leased to qualifying

residential tenants. Fannie Mae does not consolidate these entities because our limited partnership interest does not

Special Purpose Vehicles Associated with Our Credit Risk Transfer Programs

We transfer mortgage credit risk to investors through both Connecticut Avenue Securities (“CAS”) special purpose

vehicles (“SPVs”) and Multifamily Connecticut Avenue Securities (“MCAS”) SPVs. CAS and MCAS SPVs are separate

legal entities that issue notes that are fully collateralized by cash deposited into a collateral account held by the

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

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

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

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

SPVs are outstanding, and, therefore, we do not consolidate CAS or MCAS SPVs.

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


	As of December 31,
	2023		2022
	(Dollars in millions)
Assets and liabilities recorded in our consolidated balance sheets related to unconsolidated mortgage-backed trusts:
Investments in securities, at fair value		$4,863		$3,353
Other assets		37		40
Other liabilities		(42)		(45)
Net carrying amount		$4,858		$3,348

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

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 $223 billion and $240 billion as of

December 31, 2023 and 2022, respectively. The total assets of our unconsolidated securitization and resecuritization

trusts were approximately $273 billion and $240 billion as of December 31, 2023 and 2022, respectively.

The maximum exposure to loss for our unconsolidated limited partnerships and similar legal entities, which consist of

LIHTC, community investments and other entities, was $530 million and the related net carrying value was $528 million

as of December 31, 2023. As of December 31, 2022, the maximum exposure to loss was $427 million and the related

net carrying value was $424 million. The total assets of these limited partnership investments were $5.8 billion and $4.3

The maximum exposure to loss related to our involvement with unconsolidated SPVs that transfer credit risk represents

the unpaid principal balance and accrued interest payable of obligations issued by the CAS and MCAS SPVs. The

maximum exposure to loss related to these unconsolidated SPVs was $21.4 billion and $16.9 billion as of December 31,

2023 and 2022, respectively. The total assets related to these unconsolidated SPVs were $21.4 billion and $17.0 billion

The unpaid principal balance of our multifamily loan portfolio was $461.2 billion as of December 31, 2023. As our

lending relationship does not provide us with a controlling financial interest in the borrower entity, we do not consolidate

these borrowers regardless of their status as either a VIE or a voting interest entity. We have excluded these entities

from our VIE disclosures. However, the disclosures we have provided in “Note 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.

As noted below, we consolidate the substantial majority of our single-class securitization trusts. The assets and liabilities

of consolidated trusts created via portfolio securitization transactions are reported in our consolidated balance sheets.

We recognize assets obtained and liabilities incurred in qualifying sales of portfolio securitizations at fair value. We had

no proceeds from the initial sale of securities from portfolio securitizations for the years ended December 31, 2023,

We issue single-class 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 years ended December

31, 2023, 2022 and 2021, the unpaid principal balance of portfolio securitizations was $131.6 billion, $270.5 billion and

$682.9 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 as such transactions are not consolidated by Fannie

We retain interests from the transfer and sale of mortgage-related securities to unconsolidated single-class portfolio

securitization trusts and unconsolidated single class and multi-class portfolio resecuritization trusts. As of December 31,

2023, the unpaid principal balance of retained interests was $821 million and its related fair value was $1.3 billion. The

unpaid principal balance of retained interests was $910 million and its related fair value was $1.4 billion as of December

31, 2022. For the years ended December 31, 2023, 2022 and 2021, the principal, interest and other fees received on

retained interests was $282 million, $397 million and $558 million, respectively.