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OR

Federally chartered corporation

52-0883107

1100 15th Street, NW

800

232-6643

Washington,

DC

20005

(State or other jurisdiction of incorporation or organization)

(I.R.S. Employer Identification No.)

(Address of principal executive offices, including zip code)

(Registrant’s telephone number, including area code)

Title of each class			Trading Symbol(s)			Name of each exchange on which registered
None			N/A			N/A

Large accelerated filer

☑

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  ☐

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

TABLE OF CONTENTS
						Page
PART I—Financial Information						1
Item 1.			Financial Statements
			Condensed Consolidated Balance Sheets			74
			Condensed Consolidated Statements of Operations and Comprehensive Income			75
			Condensed Consolidated Statements of Cash Flows			76
			Condensed Consolidated Statements of Changes in Equity (Deficit)			77
			Note 1—Summary of Significant Accounting Policies			79
			Note 2—Consolidations and Transfers of Financial Assets			88
			Note 3—Mortgage Loans			90
			Note 4—Allowance for Loan Losses			100
			Note 5—Investments in Securities			104
			Note 6—Financial Guarantees			107
			Note 7—Short-Term and Long-Term Debt			108
			Note 8—Derivative Instruments			109
			Note 9—Segment Reporting			112
			Note 10—Concentrations of Credit Risk			114
			Note 11—Netting Arrangements			118
			Note 12—Fair Value			119
			Note 13—Commitments and Contingencies			131
Item 2.			Management’s Discussion and Analysis of Financial Condition and Results of Operations			1
			Introduction			1
			Executive Summary			2
			Legislation and Regulation			6
			Key Market Economic Indicators			9
			Consolidated Results of Operations			13
			Consolidated Balance Sheet Analysis			24
			Retained Mortgage Portfolio			25
			Guaranty Book of Business			27
			Business Segments			29
			Single-Family Business			29
			Multifamily Business			52
			Liquidity and Capital Management			61
			Off-Balance Sheet Arrangements			66
			Risk Management			67
			Critical Accounting Policies and Estimates			69
			Impact of Future Adoption of New Accounting Guidance			70
			Forward-Looking Statements			70
Item 3.			Quantitative and Qualitative Disclosures about Market Risk			133
Item 4.			Controls and Procedures			133
PART II—Other Information						135
Item 1.			Legal Proceedings			135
Item 1A.			Risk Factors			136
Item 2.			Unregistered Sales of Equity Securities and Use of Proceeds			140
Item 3.			Defaults Upon Senior Securities			141
Item 4.			Mine Safety Disclosures			141
Item 5.			Other Information			141
Item 6.			Exhibits			142

			We have been under conservatorship, with the Federal Housing Finance Agency (“FHFA”) acting as conservator, since September 6, 2008. As conservator, FHFA succeeded to all rights, titles, powers and privileges of the company, and of any shareholder, officer or director of the company with respect to the company and its assets. The conservator has since provided for the exercise of certain authorities by our Board of Directors. Our directors do not have any fiduciary duties to any person or entity except to the conservator and, accordingly, are not obligated to consider the interests of the company, the holders of our equity or debt securities, or the holders of Fannie Mae MBS unless specifically directed to do so by the conservator.
			We do not know when or how the conservatorship will terminate, what further changes to our business will be made during or following conservatorship, what form we will have and what ownership interest, if any, our current common and preferred stockholders will hold in us after the conservatorship is terminated or whether we will continue to exist following conservatorship. The U.S. Department of the Treasury (“Treasury”) released a plan in September 2019 for housing finance reform (the “Treasury plan”) that includes recommendations related to ending our conservatorship. Congress and the Administration continue to consider options for reform of the housing finance system, including Fannie Mae. We are not permitted to retain more than $25 billion in capital reserves or to pay dividends or other distributions to stockholders other than Treasury. Our agreements with Treasury include covenants that significantly restrict our business activities. For additional information on the conservatorship, our uncertain future, our agreements with Treasury, and recent housing finance reform developments, see “Business—Conservatorship, Treasury Agreements and Housing Finance Reform” in our Form 10-K for the year ended December 31, 2019 (“2019 Form 10-K”), “Risk Factors” in our 2019 Form 10-K and in this report, and “Management’s Discussion and Analysis of Financial Condition and Results of Operations (‘MD&A’)—Legislation and Regulation” in our Form 10-Q for the quarter ended June 30, 2020 (“Second Quarter 2020 Form 10-Q”).

You should read this MD&A in conjunction with our unaudited condensed consolidated financial statements and related notes in this report and the more detailed information in our 2019 Form 10-K. You can find a “Glossary of Terms Used in This Report” in our 2019 Form 10-K. Forward-looking statements in this report are based on management’s current expectations and are subject to significant uncertainties and changes in circumstances, as we describe in “Forward-Looking Statements.” Future events and our future results may differ materially from those reflected in our forward-looking statements due to a variety of factors, including those discussed in “Risk Factors” and elsewhere in this report and in our 2019 Form 10-K.

Through our single-family and multifamily business segments, we provided $982 billion in liquidity to the mortgage market in the first nine months of 2020, including $506 billion through our whole loan conduit that primarily supports small- to medium-sized lenders, enabling the financing of approximately 3.9 million home purchases, refinancings or rental units. Our liquidity provided in the first nine months of 2020 represents our highest level of acquisition volume since the first nine months of 2003.

Unpaid Principal Balance

Units

$286B

1.0M Single-Family Home Purchases

$647B

2.3M Single-Family Refinancings

$49B

542K Multifamily Rental Units

Net worth. Our net worth was $20.7 billion as of September 30, 2020. This amount reflects:

•our net worth of $14.6 billion as of December 31, 2019;

•a reduction in our net worth in the first quarter of 2020 driven by a charge of $1.1 billion to retained earnings due to our implementation of Accounting Standards Update 2016-13, Financial Instruments—Credit Losses, Measurement of Credit Losses on Financial Instruments and related amendments (the “CECL standard”) on January 1, 2020; and

•our comprehensive income of $7.2 billion for the first nine months of 2020.

Financial performance. Our long-term financial performance will depend on many factors, including:

•the size of and our share of the U.S. mortgage market, which in turn will depend upon macroeconomic factors such as population growth, household formation and housing supply;

•borrower performance and changes in macroeconomic factors, including home prices and interest rates; and

•actions by FHFA, the Administration and Congress relating to our business and housing finance reform, including the capital requirements that will be applicable to us, our ongoing financial obligations to Treasury, potential restrictions on our activities and our business footprint, our competitive environment, and actions we are required to take to support borrowers or the mortgage market.

Historically low mortgage rates have contributed to our highest level of acquisition volume in the first nine months of 2020 since the same period in 2003. As a result, we acquired a higher-than-usual portion of our book of business during the first nine months of 2020, with 27% of the loans in our single-family conventional guaranty book of business as of September 30, 2020 originated in the first nine months of the year. Because we expect mortgage rates to remain low through 2021, we anticipate a large and growing portion of our book of business, originated in a historically-low-interest-rate environment, will have less incentive to refinance in the future, slowing the pace at which loans in our book of business turn over in future years. A slower turnover rate in our book of business would reduce our ability to increase our future revenues by increasing guaranty fees, as any such change would take longer to meaningfully increase the average charged guaranty fee on our total book of business. See “MD&A—Legislation and Regulation—Developments Relating to Exiting Conservatorship” in our Second Quarter 2020 Form 10-Q for a discussion of how this may impact our efforts to generate capital and “Consolidated Results of Operations—Net Interest Income” in this report for information on how this may affect amortization income we receive in future periods. Also see “COVID-19 Impact—Fannie Mae Response” and “Single-Family Business—Single-Family Business Metrics” in this report for a discussion of the new adverse market refinance fee we plan to implement on December 1, 2020.

(2)Aggregate amount of funds we have drawn from Treasury pursuant to the senior preferred stock purchase agreement from 2008 through September 30, 2020.

•providing payment forbearance (that is, a temporary suspension or reduction of the borrower’s monthly mortgage payments) to single-family and multifamily borrowers with COVID-19-related financial hardships;

•suspending most foreclosures and evictions;

•conducting outreach efforts to provide borrowers and renters with information on the relief options available to them, including our #HeretoHelp media campaign and updating our KnowYourOptions.com website;

•providing lenders and servicers temporary flexibilities for certain of our Selling Guide and Servicing Guide requirements; and

•providing liquidity to lenders by purchasing a higher-than-usual volume of loans through our whole loan conduit.

•Selling Guide Changes. We have temporarily changed some of our Single-Family Selling Guide requirements to help ensure that up-to-date information is being considered to support the borrower’s ability to repay the loan, such as requiring more recent documentation of borrower employment, income and assets.

•Adverse Market Refinance Fee. We are implementing a new adverse market refinance fee in light of the increased costs and risk we expect to incur due to the COVID-19 pandemic. This new adverse market refinance fee is a one-time charge of 0.5% of the loan amount that the lender is required to pay at the time we acquire the loan and will be effective December 1, 2020. To help ensure that the fee does not negatively impact our affordable housing mission, the fee will only apply to eligible single-family loan refinances and will not apply to loans for home purchases, refinance loans with an original principal amount of less than or equal to $125,000, or certain HomeReady® refinance loans. The lender may choose whether to pass on all, some or none of the fee to the borrower. The new fee is intended to help us offset some of the higher projected expenses and risk due to COVID-19, including costs associated with the actions we are taking to help borrowers, lenders and servicers impacted by the pandemic, such as providing forbearances, suspending foreclosures and evictions, and offering repayment plans, payment deferrals and loan modifications.

•limit servicers’ obligations to advance guaranty fees to four months; and

•allow servicers to receive reimbursement for advanced payments of principal and interest on a delinquent loan after four missed payments without being required to request reimbursement.

•Risk-based capital requirements. The FSOC noted that FHFA’s proposed capital rule would require aggregate credit risk capital on mortgage exposures that would lead to a substantially lower risk-based capital requirement than the bank capital framework. The FSOC encouraged FHFA and other regulatory agencies to coordinate and take other appropriate action to avoid market distortions that could increase risks to financial stability by generally taking consistent approaches to the capital requirements and other regulation of similar risks across market participants, consistent with the business models and missions of their regulated entities.

•Capital buffers. The FSOC encouraged FHFA to consider the relative merits of alternative approaches for more dynamically calibrating the capital buffers. The FSOC noted that the capital buffers should be tailored to mitigate the potential risks to financial stability and otherwise ensure that the GSEs have sufficient capital to absorb losses during periods of severe stress and remain viable going concerns, while balancing other policy objectives.

•Total capital sufficiency. The FSOC noted that FHFA’s proposed capital rule requires a meaningful amount of capital for the GSEs, and is a significant step towards ensuring that the GSEs would be able to provide liquidity to the secondary mortgage market and satisfy their obligations during and after a period of severe stress. However, the FSOC also noted that its analysis using benchmark comparisons suggests that risk-based capital requirements and leverage ratio requirements that are materially less than those contemplated by FHFA’s proposed capital rule would likely not adequately mitigate the potential stability risk posed by the GSEs. Moreover, the FSOC noted that it is possible that additional capital could be required for the GSEs to remain viable concerns in the event of a severely adverse stress, particularly if the GSEs’ asset quality were ever to deteriorate to levels comparable to the experience leading up to the 2008 financial crisis. The FSOC encouraged FHFA to ensure high-quality capital by implementing regulatory capital definitions that are similar to those in the U.S. banking framework. The FSOC also encouraged FHFA to require the GSEs to be sufficiently capitalized to remain viable as going concerns during and after a severe economic downturn.

(2)Refers to the U.S. weekly average fixed-rate mortgage rate according to Freddie Mac's Primary Mortgage Market Survey®. These rates are reported using the latest available data for a given period.

•Net interest income. In a rising interest-rate environment, our mortgage loans tend to prepay more slowly, which typically results in lower net amortization income from cost basis adjustments on mortgage loans and related debt. Conversely, in a declining interest-rate environment, our mortgage loans tend to prepay faster, typically resulting in higher net amortization income from cost basis adjustments on mortgage loans and related debt.

•Fair value gains (losses). We have exposure to fair value gains and losses resulting from changes in interest rates, primarily through our mortgage commitment derivatives and risk management derivatives, which we mark to market through earnings. Fair value gains and losses on our mortgage commitment derivatives fluctuate depending on how interest rates and prices move between the time the commitment is opened and settled. The net position and composition across the yield curve of our risk management derivatives changes over time. As a result, interest rate changes (increases or decreases) and yield curve changes (parallel, steepening or flattening shifts) will generate varying amounts of fair value gains or losses in a given period. We are preparing to implement hedge accounting in the first quarter of 2021 to reduce the impact of interest-rate volatility on our financial results. For additional information on the expected impact of hedge accounting, see “Consolidated Results of Operations—Fair Value Losses, Net.”

•Credit-related income (expense). Increases in mortgage interest rates tend to lengthen the expected lives of our loans, which generally increases the expected impairment and provision for credit losses on such loans. Decreases in mortgage interest rates tend to shorten the expected lives of our loans, which reduces the impairment and provision for credit losses on such loans.

•Actual and forecasted home prices impact our provision or benefit for credit losses.

•Changes in home prices affect the amount of equity that borrowers have in their homes. Borrowers with less equity typically have higher delinquency and default rates.

•As home prices increase, the severity of losses we incur on defaulted loans that we hold or guarantee decreases because the amount we can recover from the properties securing the loans increases. Decreases in home prices increase the losses we incur on defaulted loans.

•Home price growth in the third quarter of 2020 was unseasonably strong despite the COVID-19 pandemic, benefiting from continued low interest rates, low levels of supply and high levels of demand, particularly from first-time homebuyers. Higher-than-expected increases in supply or decreases in demand could lead to decreases in home prices.

•We currently expect home prices on a national basis to increase 7.0% in 2020, compared with 4.8% home price growth in 2019. We revised our 2020 home price forecast upward since the second quarter due to better-than-expected housing demand and continued low levels of supply through the first nine months of the year. However, we have adjusted downward our longer-term projection of home price growth as we believe there may be an eventual weakening in housing demand due to the ongoing economic and labor market weaknesses caused by the pandemic. As such, our current estimate of home price growth on a national basis for 2021 is 1.7%. We also expect significant regional variation in the timing and rate of home price growth.

•Our forecasts and expectations relating to the impact of the COVID-19 pandemic are subject to many uncertainties and may change, perhaps substantially, from our current forecasts and expectations. For example, home price growth could slow and potentially decline if GDP growth is weaker than we currently expect, if unemployment, particularly among existing homeowners and potential new home buyers, is higher than we expect, or if the housing market is more sensitive to economic and labor-market weaknesses than we expect. For further discussion on housing activity, see “Single-Family Business—Single-Family Mortgage Market” and “Multifamily Business—Multifamily Mortgage Market.”

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

•Two key aspects of economic activity that can impact supply and demand for housing and thus mortgage lending are the rate of household formation and housing construction.

•Household formation is a key driver of demand for both single-family and multifamily housing. A newly formed household will either rent or purchase a home. Thus, changes in the pace of household formation can affect prices and credit performance as well as the degree of loss on defaulted loans.

•Growth of household formation stimulates homebuilding. Homebuilding has typically been a cyclical leader of broader economic activity contributing to the growth of GDP and to employment. Residential construction activity has historically been a leading indicator, weakening prior to a slowdown in U.S. economic activity and accelerating prior to a recovery. However, the housing sector’s performance may vary from its historical precedent due to the many uncertainties related to the impact of the COVID-19 pandemic on the economy and the housing market, as well as uncertainty surrounding future economic or housing policy.

•With regard to housing construction, a decline in housing starts results in fewer new homes being available for purchase and potentially a lower volume of mortgage originations. Construction activity can also affect credit losses through its impact on home prices. If the growth of demand exceeds the growth of supply, prices will appreciate and impact the risk profile of newly originated home purchase mortgages, depending on where in the housing cycle the market is. A reduced pace of construction is often associated with a broader economic slowdown and may signal expected increases in delinquency and losses on defaulted loans.

•In light of the effects of the COVID-19 pandemic and its impact on the economy, home sales fell sharply in the second quarter but then rebounded in the third quarter. Purchase demand has remained resilient, supported by the low mortgage-rate environment. Given both the current strength in demand and low inventories, we expect single-family housing starts to further increase in the fourth quarter and full-year 2020 housing starts to exceed 2019 levels.

(1)GDP growth (decline) and personal consumption growth (decline) for periods prior to the third quarter of 2020 are based on the quarterly series calculated by the Bureau of Economic Analysis and are subject to revision. GDP growth and personal consumption growth for the third quarter of 2020 are based on Fannie Mae’s forecast.

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

•Changes in GDP, the unemployment rate and personal consumption can affect several mortgage market factors, including the demand for both single-family and multifamily housing and the level of loan delinquencies. Reduced housing demand and higher loan delinquencies can contribute to credit losses.

•Economic growth is a key factor for the performance of mortgage-related assets. In a growing economy, employment and income are rising, thus allowing existing borrowers to meet payment requirements, existing homeowners to consider purchasing and moving to another home, and renters to consider becoming homeowners. Homebuilding typically increases to meet the rise in demand. Mortgage delinquencies typically fall in an expanding economy, thereby decreasing credit losses.

•In a slowing economy, employment and income growth slow and housing activity slows as an early indicator of reduced economic activity. Typically, as an economic slowdown intensifies, households reduce their spending. This reduction in consumption then accelerates the slowdown. An economic slowdown can lead to employment losses, impairing the ability of borrowers and renters to meet mortgage and rental payments, thus causing loan delinquencies to rise. Home sales and mortgage originations also typically fall in a slowing economy.

•Due to the impact of COVID-19, the unemployment rate rose significantly and GDP declined significantly in the first half of 2020. After a partial recovery in the third quarter, we expect GDP and unemployment to improve further in the fourth quarter of 2020. Overall for full-year 2020, we expect a decline in GDP compared with 2019, as well as elevated unemployment levels from pre-pandemic levels.

Summary of Condensed Consolidated Results of Operations
						For the Three Months Ended September 30,																		For the Nine Months Ended September 30,
						2020						2019						Variance						2020						2019						Variance
						(Dollars in millions)
Net interest income(1)						$	6,656					$	5,348					$	1,308					$	17,780					$	15,371					$	2,409
Fee and other income						93						188						(95)						303						435						(132)
Net revenues						6,749						5,536						1,213						18,083						15,806						2,277
Investment gains, net						653						253						400						644						847						(203)
Fair value losses, net						(327)						(713)						386						(1,621)						(2,298)						677
Administrative expenses						(762)						(749)						(13)						(2,265)						(2,237)						(28)
Credit-related income (expenses):
Benefit (provision) for credit losses						501						1,857						(1,356)						(2,094)						3,732						(5,826)
Foreclosed property expense						(71)						(96)						25						(161)						(364)						203
Total credit-related income (expenses)						430						1,761						(1,331)						(2,255)						3,368						(5,623)
Temporary Payroll Tax Cut Continuation Act of     2011 (“TCCA”) fees						(679)						(613)						(66)						(1,976)						(1,806)						(170)
Credit enhancement expense(2)						(325)						(290)						(35)						(1,061)						(782)						(279)
Change in expected credit enhancement    recoveries(3)						(48)						—						(48)						413						—						413
Other expenses, net(4)						(313)						(186)						(127)						(792)						(551)						(241)
Income before federal income taxes						5,378						4,999						379						9,170						12,347						(3,177)
Provision for federal income taxes						(1,149)						(1,036)						(113)						(1,935)						(2,552)						617
Net income						$	4,229					$	3,963					$	266					$	7,235					$	9,795					$	(2,560)
Total comprehensive income						$	4,216					$	3,977					$	239					$	7,224					$	9,703					$	(2,479)

(1)Prior-period amounts have been adjusted to reflect the current-year change in presentation related to our yield maintenance fees. See “Note 1, Summary of Significant Accounting Policies” for more information about our change in presentation.

(2)Previously included in Other expenses, net. Consists of costs associated with our freestanding credit enhancements, which primarily include our Connecticut Avenue Securities® (“CAS”) and Credit Insurance Risk TransferTM (“CIRTTM”) programs, enterprise-paid mortgage insurance (“EPMI”), and certain lender risk-sharing programs. See “Note 1, Summary of Significant Accounting Policies” for more information about our change in presentation.

(3)Consists of change in benefits recognized from our freestanding credit enhancements, including any realized amounts. See “Note 1, Summary of Significant Accounting Policies” for more information about our change in presentation.

(4)Consists of debt extinguishment gains and losses, housing trust fund expenses, loan subservicing costs, servicer fees paid in connection with certain loss mitigation activities, and gains and losses from partnership investments.

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

•upfront fees that we receive at the time of loan acquisition primarily related to single-family loan-level pricing adjustments and other fees we receive from lenders, which are amortized into net interest income as cost basis adjustments over the contractual life of the loan. We refer to this as amortization income.

Components of Net Interest Income
						For the Three Months Ended September 30,																		For the Nine Months Ended September 30,
						2020						2019						Variance						2020						2019						Variance
						(Dollars in millions)
Net interest income from guaranty book of business:
Base guaranty fee income, net of TCCA						$	2,842					$	2,478					$	364					$	8,119					$	7,178					$	941
Base guaranty fee income related to TCCA(1)						679						613						66						1,976						1,806						170
Net amortization income						2,713						1,487						1,226						6,174						3,851						2,323
Total net interest income from guaranty book of business						6,234						4,578						1,656						16,269						12,835						3,434
Net interest income from portfolios						422						770						(348)						1,511						2,536						(1,025)
Total net interest income						$	6,656					$	5,348					$	1,308					$	17,780					$	15,371					$	2,409

(1)Represents revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by us.

•Higher net amortization income. A declining interest-rate environment in the third quarter and first nine months of 2020 led to significantly increased prepayment volumes as loans refinanced, which accelerated the amortization of cost basis adjustments on mortgage loans of consolidated trusts and the related debt.

•Higher base guaranty fee income. An increase in the size of our guaranty book of business combined with loans with higher average base guaranty fees comprising a greater portion of our book contributed to the increase in base guaranty fee income in the third quarter and first nine months of 2020.

•Lower income from portfolios. Lower yields in the third quarter and first nine months of 2020 on mortgage loans and assets in our other investments portfolio were partially offset by a decrease in interest expense on our funding debt as key benchmark rates declined as a result of the COVID-19 pandemic. For a discussion of the impact of COVID-19 on our funding needs and funding activity, see “Liquidity and Capital Management—Liquidity Management—Debt Funding.”

Analysis of Net Interest Income and Yield(1)
						For the Three Months Ended September 30,
						2020																		2019
						Average Balance						Interest Income/ (Expense)						Average Rates Earned/Paid						Average Balance						Interest Income/ (Expense)						Average Rates Earned/Paid
						(Dollars in millions)
Interest-earning assets:
Mortgage loans of Fannie Mae						$	118,270					$	959					3.24		%				$	119,887					$	1,248					4.16		%
Mortgage loans of consolidated trusts						3,401,660						24,851						2.92						3,185,389						27,824						3.49
Total mortgage loans(2)						3,519,930						25,810						2.93						3,305,276						29,072						3.52
Mortgage-related securities						9,582						63						2.63						10,859						111						4.09
Non-mortgage-related securities(3)						152,229						133						0.34						62,294						347						2.18
Federal funds sold and securities purchased under agreements to resell or similar arrangements						47,200						14						0.12						29,792						178						2.34
Advances to lenders						8,845						33						1.46						6,287						47						2.93
Total interest-earning assets						$	3,737,786					$	26,053					2.79		%				$	3,414,508					$	29,755					3.48		%
Interest-bearing liabilities:
Short-term funding debt						$	33,349					$	(19)					0.22		%				$	23,064					$	(125)					2.12		%
Long-term funding debt						237,020						(806)						1.36						163,996						(1,056)						2.58
Connecticut Avenue Securities® (“CAS”)						16,932						(188)						4.44						23,364						(356)						6.09
Total debt of Fannie Mae						287,301						(1,013)						1.41						210,424						(1,537)						2.92
Debt securities of consolidated trusts held by third parties						3,439,484						(18,384)						2.14						3,196,503						(22,870)						2.86
Total interest-bearing liabilities						$	3,726,785					$	(19,397)					2.08		%				$	3,406,927					$	(24,407)					2.87		%
Net interest income/net interest yield												$	6,656					0.71		%										$	5,348					0.61		%

						For the Nine Months Ended September 30,
						2020																		2019
						Average Balance						Interest Income/ (Expense)						Average Rates Earned/Paid						Average Balance						Interest Income/ (Expense)						Average Rates Earned/Paid
						(Dollars in millions)
Interest-earning assets:
Mortgage loans of Fannie Mae						$	111,752					$	3,003					3.58		%				$	119,180					$	3,848					4.30		%
Mortgage loans of consolidated trusts						3,326,312						78,752						3.16						3,167,172						84,597						3.56
Total mortgage loans(2)						3,438,064						81,755						3.17						3,286,352						88,445						3.59
Mortgage-related securities						10,474						278						3.54						9,904						320						4.31
Non-mortgage-related securities(3)						107,155						510						0.63						61,109						1,095						2.36
Federal funds sold and securities purchased under agreements to resell or similar arrangements						41,030						135						0.43						37,349						698						2.46
Advances to lenders						7,726						92						1.56						4,975						120						3.18
Total interest-earning assets						$	3,604,449					$	82,770					3.06		%				$	3,399,689					$	90,678					3.56		%
Interest-bearing liabilities:
Short-term funding debt						$	38,637					$	(175)					0.60		%				$	21,138					$	(369)					2.30		%
Long-term funding debt						187,628						(2,370)						1.68						172,284						(3,272)						2.53
Connecticut Avenue Securities® (“CAS”)						18,813						(696)						4.93						24,170						(1,114)						6.15
Total debt of Fannie Mae						245,078						(3,241)						1.76						217,592						(4,755)						2.91
Debt securities of consolidated trusts held by third parties						3,357,411						(61,749)						2.45						3,173,700						(70,552)						2.96
Total interest-bearing liabilities						$	3,602,489					$	(64,990)					2.41		%				$	3,391,292					$	(75,307)					2.96		%
Net interest income/net interest yield												$	17,780					0.66		%										$	15,371					0.60		%

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

(2)Average balance includes mortgage loans on nonaccrual status. For nonaccrual mortgage loans not subject to the COVID-19-related nonaccrual guidance, interest income is recognized when cash is received. Interest income from the amortization of loan fees, primarily consisting of upfront cash fees and yield maintenance fees, was $2.6 billion and $6.6 billion, respectively, for the third quarter and first nine months of 2020, compared with $1.8 billion and $4.2 billion, respectively, for the third quarter and first nine months of 2019.

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

Fair Value Losses, Net
						For the Three Months Ended September 30,												For the Nine Months Ended September 30,
						2020						2019						2020						2019
						(Dollars in millions)
Risk management derivatives fair value losses attributable to:
Net contractual interest expense on interest-rate swaps						$	(46)					$	(190)					$	(216)					$	(698)
Net change in fair value during the period						44						(294)						(85)						(541)
Total risk management derivatives fair value losses, net						(2)						(484)						(301)						(1,239)
Mortgage commitment derivatives fair value losses, net						(672)						(177)						(2,327)						(946)
Credit enhancement derivatives fair value gains (losses), net						380						(7)						400						(31)
Total derivatives fair value losses, net						(294)						(668)						(2,228)						(2,216)
Trading securities gains (losses), net						(91)						95						691						370
CAS debt fair value gains (losses), net						(9)						59						465						156
Other, net(1)						67						(199)						(549)						(608)
Fair value losses, net						$	(327)					$	(713)					$	(1,621)					$	(2,298)

(1)Consists of fair value gains and losses on non-CAS debt and mortgage loans held at fair value.

•decreases in the fair value of mortgage commitment derivatives due to losses on commitments to sell mortgage-related securities as prices increased during the commitment period due to tightening spreads between current coupon yields and treasury yields, which were partially offset by gains on commitments to buy mortgage-related securities; and

•losses on trading securities due to increases in U.S. Treasury yields during the period, which resulted in losses on fixed-rate securities held in our other investments portfolio.

•decreases in the fair value of mortgage commitment derivatives due to losses on commitments to sell mortgage-related securities as prices increased during the commitment period due to tightening spreads between current coupon yields and treasury yields, which were partially offset by gains on commitments to buy mortgage-related securities;

•increases in the fair value of long-term debt of consolidated trusts held at fair value, which are included in “Other, net,” due to declines in interest rates; and

•net interest expense on risk management derivatives combined with decreases in the fair value of pay-fixed risk management derivatives due to declines in swap rates, which were partially offset by increases in the fair value of receive-fixed risk management derivatives.

•net interest expense accruals on risk management derivatives combined with decreases in the fair value of pay-fixed risk management derivatives due to declines in longer-term swap rates, which were partially offset by increases in the fair value of our receive-fixed risk management derivatives;

•decreases in the fair value of our mortgage commitment derivatives due to losses on commitments to sell mortgage-related securities as prices increased and interest rates declined during the commitment period, partially offset by gains on commitments to buy mortgage-related securities; and

•increases in the fair value of our long-term debt of consolidated trusts held at fair value, which are included in “Other, net,” due to declines in interest rates.

Components of Benefit (Provision) for Credit Losses and Change in Expected Credit Enhancement Recoveries
						For the Three Months Ended September 30, 2020						For the Nine Months Ended September 30, 2020
						(Dollars in millions)
Single-family benefit (provision) for credit losses:
Changes in loan activity(1)						$	(18)					$	(85)
Redesignation of loans from HFI to HFS						510						685
Actual and forecasted home prices						939						355
Actual and projected interest rates						25						1,366
Change in actual and expected loan delinquencies and change in assumptions regarding COVID-19 forbearance(2)						(537)						(3,127)
Provision from allowance on accrued interest receivable						(391)						(560)
Other(3)						14						(43)
Single-family benefit (provision) for credit losses						542						(1,409)
Multifamily provision for credit losses:
Changes in loan activity(1)						(32)						(106)
Actual and projected interest rates						(48)						226
Actual and projected economic data and estimated impact of the COVID-19 pandemic						49						(825)
Other(3)						(11)						22
Multifamily provision for credit losses						(42)						(683)
Total benefit (provision) for credit losses(4)						$	500					$	(2,092)
Change in expected credit enhancement recoveries:(5)
Single-family						$	(48)					$	218
Multifamily						(4)						188
Total change in expected credit enhancement recoveries						$	(52)					$	406

(1)Primarily consists of loan liquidations, new troubled debt restructurings (“TDRs”), amortization of concessions granted to borrowers and the impact of FHFA’s Advisory Bulletin 2012-02, “Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention” (the “Advisory Bulletin”). For multifamily, changes in loan activity also includes changes in the allowance due to loan delinquencies and the impact of changes in debt service coverage ratios (“DSCRs”) based on updated property financial information, which is used to assess loan credit quality.

(2)Includes changes in the allowance due to assumptions regarding loss mitigation when loans exit forbearance.

(3)For single-family, includes changes in the reserve for guaranty losses that are not separately included in the other components. For multifamily, includes provision for allowance on accrued interest receivable.

(4)Excludes credit losses on our AFS securities, which are included in “Benefit (provision) for credit losses” in Summary of Condensed Consolidated Results of Operations.

(5)Includes only changes in expected credit enhancement recoveries for active loans. Recoveries received after foreclosure, which are included in “Changes in expected credit enhancement recoveries” in Summary of Condensed Consolidated Results of Operations, are not included.

•Provision from change in actual and expected loan delinquencies and change in assumptions regarding COVID-19 forbearance, which includes adjustments to modeled results. Our single-family provision for credit losses for the first nine months of 2020 was driven by the economic dislocation caused by the COVID-19 pandemic, with the majority of the provision recognized in the first quarter of 2020. Estimating expected credit losses as a result of the COVID-19 pandemic continues to require significant management judgment regarding a number of matters, including our expectations surrounding borrower participation in a COVID-19-related forbearance, the type and extent of loss mitigation that may be needed when the loan exits forbearance, the high degree of uncertainty regarding the future course of the pandemic and its effect on the economy, and expectations regarding the impact of fiscal stimulus to support borrowers. As a result, the model used to estimate single-family credit losses does not capture the entirety of losses we expect to incur relating to COVID-19. The model has consumed data from the initial months of the pandemic, including loan delinquencies, and updated credit profile data for loans in forbearance. As more of this data was consumed by our credit loss model, we reduced the non-modeled adjustment initially recorded in the first quarter.

•Provision from allowance on accrued interest receivable. As a result of our update to the application of our nonaccrual policy in the second quarter of 2020, we continue to accrue interest for those loans that were negatively impacted by the COVID-19 pandemic. This update resulted in a significant portion of delinquent loans, that were current as of March 1, 2020 and subsequently became delinquent, remaining on accrual status. Accordingly, we established a valuation allowance for expected credit losses on the accrued interest receivable balance based on our evaluation of collectability. As shown in the table above, this contributed to a provision for credit losses attributable to this factor for the third quarter and first nine months of 2020. See “Note 1, Summary of Significant Accounting Policies” for more information about our nonaccrual policy.

•Benefit from lower actual and projected interest rates. For much of 2020, we continued to be in a historically low interest rate environment. As mortgage interest rates decline, we expect an increase in future prepayments on single-family loans, including modified loans. Higher expected prepayments shorten the expected lives of modified loans, which decreases the expected impairment relating to term and interest-rate concessions provided on these loans and results in a benefit for credit losses. Most of this benefit from lower actual and projected mortgage interest rates was recognized in the first half of 2020.

•Benefit from the redesignation of certain reperforming single-family loans from HFI to HFS. In the third quarter of 2020, we resumed sales of reperforming loans after our suspension of new loan sales in the second quarter of 2020. As a result, we redesignated certain reperforming single-family loans from HFI to HFS in the third quarter of 2020, as we no longer intend 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. Amounts recorded in the allowance related to these loans exceeded the amounts written off, which contributed to a net benefit for credit losses for the third quarter and first nine months of 2020 as shown in the table above.

•Benefit from actual and expected home price growth. In the first quarter of 2020, we significantly reduced our expectations for home price growth to near-zero for 2020. However, the negative impact from the first quarter of 2020 was more than offset by an increase in actual home price growth in the second and third quarters. See “Key Market Economic Indicators” for additional information about how home prices affect our credit loss estimates, including a discussion of our home price forecast.

•Provision from actual and projected economic data and estimated impact of the COVID-19 pandemic, which includes adjustments to modeled results. Our multifamily provision for credit losses for the first nine months of 2020 was driven

Components of Benefit for Credit Losses
												For the Three Months Ended September 30, 2019						For the Nine Months Ended September 30, 2019
												(Dollars in millions)
Single-family benefit for credit losses:
Changes in loan activity(1)												$	161					$	383
Redesignation of loans from HFI to HFS												553						1,203
Actual and forecasted home prices												121						661
Actual and projected interest rates												126						486
Other(2)												879						1,020
Total single-family benefit for credit losses												$	1,840					$	3,753

(1)Primarily consists of changes in the allowance due to loan delinquency, loan liquidations, new TDRs, amortization of concessions granted to borrowers and the impact of FHFA’s Advisory Bulletin.

(2)Primarily consists of the impact of model and assumption changes and changes in the reserve for guaranty losses that are not separately included in the other components.

•Redesignation of certain reperforming single-family loans from HFI to HFS during the periods.

•An enhancement in the third quarter of 2019 to the model used to estimate cash flows for individually impaired single-family loans within our allowance for loan losses. This enhancement was performed as a part of management’s routine model performance review process. In addition to incorporating recent loan performance data, this model enhancement better captures recent prepayment activity, default rates, and loss severity in the event of default. The enhancement resulted in a decrease to our allowance for loan losses and an incremental benefit for credit losses of approximately $850 million and is included in “Other” in the table above.

•An increase in actual and forecasted home prices.

•Lower actual and projected mortgage interest rates.

•Changes in loan activity. Higher loan liquidation activity generally occurs during a lower interest rate environment as loans prepay, and during the peak home buying season of the second and third quarters of each year. When mortgage loans prepay, we reverse any remaining allowance related to these loans, which contributed to the benefit for credit losses.

Summary of Condensed Consolidated Balance Sheets
						As of
						September 30, 2020						December 31, 2019						Variance
						(Dollars in millions)
Assets
Cash and cash equivalents and federal funds sold and securities purchased    under agreements to resell or similar arrangements						$	50,172					$	34,762					$	15,410
Restricted cash						73,516						40,223						33,293
Investments in securities						144,367						50,527						93,840
Mortgage loans:
Of Fannie Mae						119,337						101,668						17,669
Of consolidated trusts						3,439,709						3,241,510						198,199
Allowance for loan losses						(11,703)						(9,016)						(2,687)
Mortgage loans, net of allowance for loan losses						3,547,343						3,334,162						213,181
Deferred tax assets, net						12,808						11,910						898
Other assets						36,397						31,735						4,662
Total assets						$	3,864,603					$	3,503,319					$	361,284
Liabilities and equity
Debt:
Of Fannie Mae						$	289,423					$	182,247					$	107,176
Of consolidated trusts						3,530,381						3,285,139						245,242
Other liabilities						24,106						21,325						2,781
Total liabilities						3,843,910						3,488,711						355,199
Fannie Mae stockholders’ equity:
Senior preferred stock						120,836						120,836						—
Other net deficit						(100,143)						(106,228)						6,085
Total equity						20,693						14,608						6,085
Total liabilities and equity						$	3,864,603					$	3,503,319					$	361,284

•an increase in mortgage loans due to acquisitions, primarily from higher mortgage refinance activity, outpacing liquidations and sales;

•partially offset by an increase in our allowance for loan losses due to losses we expect to incur as a result of the COVID-19 pandemic and the impact of our adoption of the CECL standard on January 1, 2020.

The increase in debt of Fannie Mae from December 31, 2019 to September 30, 2020 was primarily driven by new long-term debt issuances to support elevated refinancing and purchase activity, in preparation for the implementation in December 2020 of the new liquidity risk management requirements issued by FHFA, and in anticipation of future potential liquidity needs as a result of the COVID-19 pandemic. The increase in debt of consolidated trusts from December 31, 2019 to September 30, 2020 was primarily driven by sales of Fannie Mae MBS, which are accounted for as issuances of debt of consolidated trusts in our condensed consolidated balance sheets, since the MBS certificate ownership is transferred from us to a third party. See “Liquidity and Capital Management—Debt Funding” for a summary of activity in debt of Fannie Mae and a comparison of the mix between our outstanding short-term and long-term debt. Also see “Note 7, Short-Term and Long-Term Debt” for additional information on our total outstanding debt.

•Lender liquidity, which includes balances related to our whole loan conduit activity, supports our efforts to provide liquidity to the single-family and multifamily mortgage markets.

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

•Other represents assets that were previously purchased for investment purposes. More than half of the balance of “Other” as of September 30, 2020 consisted of Fannie Mae reverse mortgage securities and reverse mortgage loans. We expect the amount of assets in “Other” will continue to decline over time as they liquidate, mature or are sold.

Retained Mortgage Portfolio
			As of
			September 30, 2020												December 31, 2019
			(Dollars in millions)
Lender liquidity:
Agency securities(1)						$	42,196											$	38,375
Mortgage loans						44,061												21,152
Total lender liquidity						86,257												59,527
Loss mitigation mortgage loans(2)						57,460												60,731
Other:
Reverse mortgage loans						14,533												17,129
Mortgage loans						5,287												6,546
Reverse mortgage securities(3)						7,324												7,575
Private-label and other securities						495												1,250
Fannie Mae-wrapped private-label securities						534												581
Mortgage revenue bonds						218												272
Total other						28,391												33,353
Total retained mortgage portfolio						$	172,108											$	153,611
Retained mortgage portfolio by segment:
Single-family mortgage loans and mortgage-related securities						$	166,038											$	145,179
Multifamily mortgage loans and mortgage-related securities						$	6,070											$	8,432

(1)Consists of Fannie Mae, Freddie Mac, and Ginnie Mae mortgage-related securities, including Freddie Mac securities guaranteed by Fannie Mae. Excludes Fannie Mae and Ginnie Mae reverse mortgage securities and Fannie Mae-wrapped private-label securities.

(2)Includes single-family loans classified as TDRs that were on accrual status of $33.1 billion and $38.2 billion as of September 30, 2020 and December 31, 2019, and single-family loans on nonaccrual status of $18.9 billion and $19.6 billion as of September 30, 2020 and December 31, 2019. Includes multifamily loans classified as TDRs that were on accrual status of $26 million and $51 million as of September 30, 2020 and December 31, 2019, respectively, and multifamily loans on nonaccrual status of $355 million and $132 million as of September 30, 2020 and December 31, 2019, respectively.

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

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

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

•other credit enhancements that we provide on mortgage assets.

•our guaranty book of business; and

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

Composition of Fannie Mae Guaranty Book of Business(1)
						As of
						September 30, 2020																		December 31, 2019
						Single-Family						Multifamily						Total						Single-Family						Multifamily						Total
						(Dollars in millions)
Conventional guaranty book of business(2)						$	3,221,939					$	367,209					$	3,589,148					$	2,997,475					$	341,522					$	3,338,997
Government guaranty book of business(3)						23,402						2,303						25,705						27,422						1,079						28,501
Guaranty book of business						3,245,341						369,512						3,614,853						3,024,897						342,601						3,367,498
Freddie Mac securities guaranteed by Fannie Mae(4)						117,748						—						117,748						50,100						—						50,100
Total Fannie Mae guarantees						$	3,363,089					$	369,512					$	3,732,601					$	3,074,997					$	342,601					$	3,417,598

(1)Includes other single-family Fannie Mae guaranty arrangements of $1.1 billion and $1.3 billion as of September 30, 2020 and December 31, 2019, and other multifamily Fannie Mae guaranty arrangements of $10.8 billion and $11.3 billion as of September 30, 2020 and December 31, 2019, respectively. The unpaid principal balance of resecuritized Fannie Mae MBS is included only once in the reported amount.

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

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

(4)Consists of approximately (i) $93.3 billion and $37.8 billion in unpaid principal balance of Freddie Mac-issued UMBS backing Fannie Mae-issued Supers as of September 30, 2020 and December 31, 2019, respectively; and (ii) $24.4 billion and $12.3 billion in unpaid principal balance of Freddie Mac securities backing Fannie Mae-issued REMICs as of September 30, 2020 and December 31, 2019, respectively. Our total exposure to Freddie Mac securities backing Fannie Mae-issued REMICs disclosed as of December 31, 2019 may have been lower because a portion of the Freddie Mac securities backing these Fannie Mae-issued REMICs may have been backed by Fannie Mae MBS.

Business Segment Net Revenues and Net Income

(1) Acquisition share is calculated as the ratio of Fannie Mae single-family acquisitions over our estimate of total market originations. We exclude our purchase of delinquent loans from our MBS trusts in the calculation of our acquisition share.

(2) Recession periods include any year in which any month in that year is determined to be recessionary by the National Bureau of Economic Research.

Average charged guaranty fee on single-family conventional guaranty book of business, net of TCCA fees(1)

Average single-family conventional guaranty book of business(2)

Average charged guaranty fee on new single-family conventional acquisitions, net of TCCA fees(1)

Single-family conventional acquisitions

(1) Excludes the impact of a 10 basis point guaranty fee increase implemented pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by us.

(2) Our single-family conventional guaranty book of business primarily consists of single-family conventional mortgage loans underlying Fannie Mae MBS outstanding. It also includes single-family conventional mortgage loans of Fannie Mae held in our retained mortgage portfolio, and other credit enhancements that we provide on single-family conventional mortgage assets. Our single-family conventional guaranty book of business does not include: (a) non-Fannie Mae single-family mortgage-related securities held in our retained mortgage portfolio for which we do not provide a guaranty; (b) mortgage loans guaranteed or insured, in whole or in part, by the U.S. government; or (c) Freddie Mac-acquired mortgage loans underlying Freddie Mac-issued UMBS that we have resecuritized. Our average single-family conventional guaranty book of business is based on quarter-end balances.

Single-Family Business Financial Results(1)
						For the Three Months Ended September 30,																		For the Nine Months Ended September 30,
						2020						2019						Variance						2020						2019						Variance
						(Dollars in millions)
Net interest income(2)						$	5,870					$	4,484					$	1,386					$	15,350					$	12,942					$	2,408
Fee and other income						73						156						(83)						238						350						(112)
Net revenues						5,943						4,640						1,303						15,588						13,292						2,296
Investment gains, net						583						198						385						527						709						(182)
Fair value losses, net						(244)						(719)						475						(1,734)						(2,364)						630
Administrative expenses						(634)						(634)						—						(1,888)						(1,899)						11
Credit-related income (expense)(3)						478						1,747						(1,269)						(1,556)						3,391						(4,947)
TCCA fees(2)						(679)						(613)						(66)						(1,976)						(1,806)						(170)
Credit enhancement expense						(274)						(240)						(34)						(897)						(639)						(258)
Change in expected credit enhancement   recoveries(4)						(48)						—						(48)						218						—						218
Other expenses, net(5)						(307)						(184)						(123)						(722)						(540)						(182)
Income before federal income taxes						4,818						4,195						623						7,560						10,144						(2,584)
Provision for federal income taxes						(1,049)						(872)						(177)						(1,623)						(2,125)						502
Net income						$	3,769					$	3,323					$	446					$	5,937					$	8,019					$	(2,082)