A fiscal sponsor is a 501(c)(3) organization that shares its tax-exempt status with individual filmmakers, meaning that you are able to accept charitable grants. In exchange for this service, they may take a percentage of the incoming funds.
Applicants do not need to have a fiscal sponsor in order to apply. However, they must have one in order to receive a grant. You do not need to have a fiscal sponsor secured at the time of the application.
A few examples of 501(c)3 organizations that offer fiscal sponsorships to filmmakers: