Fannie Mae (FNMA) as of March 31, 2026 presents a deeply negative liquidation recovery posture, consistent with all prior periods. Total reported assets of $4.31T are overwhelmingly composed of mortgage loans held for investment net of allowance ($4.12T carrying value), with the balance in trading securities ($63.1B), AFS securities ($12.4B), cash and restricted cash ($45.3B), and repo assets ($38.2B). Under a liquidation lens, the mortgage loan book—virtually all the asset base—would receive a substantial discount to carrying value. The filing's own fair value disclosure shows the HFI loan portfolio carried at $4.12T with an estimated fair value of $3.77T, an embedded haircut of approximately $344B (roughly 8.4%) before any distressed-sale discount. Applying even a conservative liquidation haircut to HFI loans, combined with AFS securities at fair value ($12.4B vs. $12.5B amortized cost, modest gap), cash at par, and repo assets at par, total liquidation-adjusted assets would be substantially below the $4.20T total liabilities figure. Total liabilities carried at $4.20T consist predominantly of long-term debt: consolidated trust debt of $4.02T and Fannie Mae's own long-term debt of $129.8B, plus short-term debt of $20.6B. Under the liquidation lens, liabilities remain at face value. The implied equity recovery is deeply negative: reported stockholders' equity of $112.7B is entirely absorbed and exceeded by the senior preferred stock liquidation preference of $120.8B held by Treasury, which itself does not constitute a creditor claim in the conventional sense but does subordinate common equity to zero. The MFFAIS-computed liquidation values of negative $4.06T across all measures reflect the consolidated trust structure—the loan assets and MBS liabilities largely offset each other economically but are both included on-balance-sheet, creating a near-symmetric gross balance sheet with thin net equity. From Q4 2025 (prior filing, 10-K), total assets declined marginally from $4.32T to $4.31T. Loan book flat at ~$4.12T net. Cash rose $2.7B to $45.3B. Long-term debt of consolidated trusts declined from $4.05T to $4.02T. Regulatory capital metrics remain below requirements on a CET1 and Tier 1 basis (CET1 ratio 2.5% deficient to requirement including buffers; Tier 1 leverage 0.4% deficient), though the framework is not binding while in conservatorship. An unresolved contingent liability exists: the Senior Preferred Stock Purchase Agreements litigation has a jury verdict of $299.4M plus prejudgment interest of $199.7M plus accruing post-judgment interest at 5.01% from March 20, 2024. This aggregate obligation is in excess of $500M and remains contingent on appeal. Filing discusses allowance for credit losses of $8.4B in MD&A but the net loan balance already reflects this deduction; the gross pre-allowance loan balance is $4.12T. Deferred tax assets of $9.4B would receive zero recovery under the liquidation lens (intangible treatment).
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