Yep, HF's, big investment houses like Goldman-Sachs or Morgan, etc,all kind of money market funds and other financial institutions. Pension funds are only now gingerly traipsing into the business. foreign CB's are usually forbidden to invest in any thing other than UST's.
With Fannie Mae (and its cousin Freddie Mac), the situation is murkier. I believe that many foreign CBs treat Fannie as being backed by the Federal government. But Fannie Mae's debt i.e. bonds (so-called "agency securities"?) are one thing and MBSes are something else. The former can reasonably be considered as default-proof that the government will never allow Fannie Mae to default, but MBSes can collapse with a housing bubble collapse. And whoever is left holding them can suffer big losses. Unless of course Fannie guarantees the securities particularly the lower tranches. If they do, it would be very interesting to see just how they account for that exposure. Maybe Fannie Mae's recent accounting troubles are related to something like this? http://www.sec.gov/divisions/corpfin/cf-noaction/fanniemae082004.htm This article says that commercial banks have upto 40% exposure to MBSes: http://quote.bloomberg.com/apps/news?pid=10000039&cid=baum&sid=aCxs0tcvCFFM --raghu.
