According to Webster's they are acronyms:

ac·ro·nym (kr-nm)
n.
A word formed from the initial letters of a name, such as WAC for Women's Army Corps, or by combining initial letters or parts of a series of words, such as radar for radio detecting and ranging.

I guess it depends on how tight a definition you want. But I think the usage is clear. Fannie Mae and Freddie Mac are easier and more convenient ways of referring to the full title and that is what acronyms are meant to do. Whereas Krispy Kreme is just a brand name and is not an acronym for donuts. You agree?

Just call me Tigasin. That's what I'm talking about