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Fair Value (Tables)
9 Months Ended
Sep. 30, 2013
Fair Value Disclosures [Abstract]  
Recurring Changes in Fair Value [Table Text Block]
The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair value option as of September 30, 2013 and December 31, 2012.
  
 
Fair Value Measurements as of September 30, 2013
 
  
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs (Level 3)
 
Netting Adjustment(1)
 
Estimated Fair Value
  
 
(Dollars in millions)
 
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 
$

 
 
 
$
6,035

 
 
 
$
46

 
 
 
$

 
 
 
$
6,081

 
Freddie Mac
 

 
 
 
2,162

 
 
 
1

 
 
 

 
 
 
2,163

 
Ginnie Mae
 

 
 
 
430

 
 
 
2

 
 
 

 
 
 
432

 
Alt-A private-label securities
 

 
 
 
975

 
 
 
520

 
 
 

 
 
 
1,495

 
Subprime private-label securities
 

 
 
 

 
 
 
1,411

 
 
 

 
 
 
1,411

 
CMBS
 

 
 
 
4,177

 
 
 

 
 
 

 
 
 
4,177

 
Mortgage revenue bonds
 

 
 
 

 
 
 
595

 
 
 

 
 
 
595

 
Other
 

 
 
 

 
 
 
110

 
 
 

 
 
 
110

 
U.S. Treasury securities
 
16,396

 
 
 

 
 
 

 
 
 

 
 
 
16,396

 
Total trading securities
 
16,396

 
 
 
13,779

 
 
 
2,685

 
 
 

 
 
 
32,860

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
7,191

 
 
 
8

 
 
 

 
 
 
7,199

 
Freddie Mac
 

 
 
 
7,255

 
 
 
9

 
 
 

 
 
 
7,264

 
Ginnie Mae
 

 
 
 
624

 
 
 
1

 
 
 

 
 
 
625

 
Alt-A private-label securities
 

 
 
 
4,160

 
 
 
3,239

 
 
 

 
 
 
7,399

 
Subprime private-label securities
 

 
 
 

 
 
 
6,965

 
 
 

 
 
 
6,965

 
CMBS
 

 
 
 
2,783

 
 
 

 
 
 

 
 
 
2,783

 
Mortgage revenue bonds
 

 
 
 
3

 
 
 
5,799

 
 
 

 
 
 
5,802

 
Other
 

 
 
 
5

 
 
 
2,958

 
 
 

 
 
 
2,963

 
Total available-for-sale securities
 

 
 
 
22,021

 
 
 
18,979

 
 
 

 
 
 
41,000

 
Mortgage loans of consolidated trusts
 

 
 
 
11,241

 
 
 
2,636

 
 
 

 
 
 
13,877

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
9,434

 
 
 
60

 
 
 

 
 
 
9,494

 
Swaptions
 

 
 
 
1,164

 
 
 

 
 
 

 
 
 
1,164

 
Other
 

 
 
 

 
 
 
27

 
 
 

 
 
 
27

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(9,275
)
 
 
 
(9,275
)
 
Mortgage commitment derivatives
 

 
 
 
604

 
 
 
5

 
 
 

 
 
 
609

 
Total other assets
 

 
 
 
11,202

 
 
 
92

 
 
 
(9,275
)
 
 
 
2,019

 
Total assets at fair value
 
$
16,396

 
 
 
$
58,243

 
 
 
$
24,392

 
 
 
$
(9,275
)
 
 
 
$
89,756

 

  
 
Fair Value Measurements as of September 30, 2013
 
  
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs (Level 3)
 
Netting Adjustment(1)
 
 
Estimated Fair Value
  
 
(Dollars in millions)
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Senior fixed
 
$

 
 
 
$
360

 
 
 
$

 
 
 
$

 
 
 
$
360

 
Senior floating
 

 
 
 

 
 
 
324

 
 
 

 
 
 
324

 
Total of Fannie Mae
 

 
 
 
360

 
 
 
324

 
 
 

 
 
 
684

 
Of consolidated trusts
 

 
 
 
13,849

 
 
 
565

 
 
 

 
 
 
14,414

 
Total long-term debt
 

 
 
 
14,209

 
 
 
889

 
 
 

 
 
 
15,098

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
10,992

 
 
 
115

 
 
 

 
 
 
11,107

 
Swaptions
 

 
 
 
1,251

 
 
 

 
 
 

 
 
 
1,251

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(10,909
)
 
 
 
(10,909
)
 
Mortgage commitment derivatives
 

 
 
 
909

 
 
 
3

 
 
 

 
 
 
912

 
Total other liabilities
 

 
 
 
13,152

 
 
 
118

 
 
 
(10,909
)
 
 
 
2,361

 
Total liabilities at fair value
 
$

 
 
 
$
27,361

 
 
 
$
1,007

 
 
 
$
(10,909
)
 
 
 
$
17,459

 

  
 
Fair Value Measurements as of December 31, 2012
 
  
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs (Level 3)
 
Netting Adjustment(1)
 
Estimated Fair Value
  
 
(Dollars in millions)
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Cash equivalents(2)
 
$
1,150

 
 
 
$

 
 
 
$

 
 
 
$

 
 
 
$
1,150

 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
6,180

 
 
 
68

 
 
 

 
 
 
6,248

 
Freddie Mac
 

 
 
 
2,791

 
 
 
2

 
 
 

 
 
 
2,793

 
Ginnie Mae
 

 
 
 
436

 
 
 
1

 
 
 

 
 
 
437

 
Alt-A private-label securities
 

 
 
 
1,226

 
 
 
104

 
 
 

 
 
 
1,330

 
Subprime private-label securities
 

 
 
 

 
 
 
1,319

 
 
 

 
 
 
1,319

 
CMBS
 

 
 
 
9,826

 
 
 

 
 
 

 
 
 
9,826

 
Mortgage revenue bonds
 

 
 
 

 
 
 
675

 
 
 

 
 
 
675

 
Other
 

 
 
 

 
 
 
117

 
 
 

 
 
 
117

 
U.S. Treasury securities
 
17,950

 
 
 

 
 
 

 
 
 

 
 
 
17,950

 
Total trading securities
 
17,950

 
 
 
20,459

 
 
 
2,286

 
 
 

 
 
 
40,695

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
10,406

 
 
 
29

 
 
 

 
 
 
10,435

 
Freddie Mac
 

 
 
 
9,370

 
 
 
10

 
 
 

 
 
 
9,380

 
Ginnie Mae
 

 
 
 
751

 
 
 

 
 
 

 
 
 
751

 
Alt-A private-label securities
 

 
 
 
4,511

 
 
 
6,564

 
 
 

 
 
 
11,075

 
Subprime private-label securities
 

 
 
 

 
 
 
7,447

 
 
 

 
 
 
7,447

 
CMBS
 

 
 
 
13,097

 
 
 

 
 
 

 
 
 
13,097

 
Mortgage revenue bonds
 

 
 
 
5

 
 
 
7,837

 
 
 

 
 
 
7,842

 
Other
 

 
 
 
7

 
 
 
3,147

 
 
 

 
 
 
3,154

 
Total available-for-sale securities
 

 
 
 
38,147

 
 
 
25,034

 
 
 

 
 
 
63,181

 
Mortgage loans of consolidated trusts
 

 
 
 
8,166

 
 
 
2,634

 
 
 

 
 
 
10,800

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
12,224

 
 
 
146

 
 
 

 
 
 
12,370

 
Swaptions
 

 
 
 
3,674

 
 
 

 
 
 

 
 
 
3,674

 
Other
 

 
 
 

 
 
 
26

 
 
 

 
 
 
26

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(15,791
)
 
 
 
(15,791
)
 
Mortgage commitment derivatives
 

 
 
 
153

 
 
 
3

 
 
 

 
 
 
156

 
Total other assets
 

 
 
 
16,051

 
 
 
175

 
 
 
(15,791
)
 
 
 
435

 
Total assets at fair value
 
$
19,100

 
 
 
$
82,823

 
 
 
$
30,129

 
 
 
$
(15,791
)
 
 
 
$
116,261

 

  
 
Fair Value Measurements as of December 31, 2012
 
  
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs (Level 3)
 
Netting Adjustment(1)
 
Estimated Fair Value
  
 
(Dollars in millions)
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Senior fixed
 
$

 
 
 
$
393

 
 
 
$

 
 
 
$

 
 
 
$
393

 
Senior floating
 

 
 
 

 
 
 
400

 
 
 

 
 
 
400

 
Total of Fannie Mae
 

 
 
 
393

 
 
 
400

 
 
 

 
 
 
793

 
Of consolidated trusts
 

 
 
 
10,519

 
 
 
1,128

 
 
 

 
 
 
11,647

 
Total long-term debt
 

 
 
 
10,912

 
 
 
1,528

 
 
 

 
 
 
12,440

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
19,836

 
 
 
154

 
 
 

 
 
 
19,990

 
Swaptions
 

 
 
 
2,463

 
 
 

 
 
 

 
 
 
2,463

 
Other
 

 
 
 
1

 
 
 

 
 
 

 
 
 
1

 
 Netting adjustment
 

 
 
 

 
 
 

 
 
 
(22,046
)
 
 
 
(22,046
)
 
Mortgage commitment derivatives
 

 
 
 
290

 
 
 
7

 
 
 

 
 
 
297

 
Total other liabilities
 

 
 
 
22,590

 
 
 
161

 
 
 
(22,046
)
 
 
 
705

 
Total liabilities at fair value
 
$

 
 
 
$
33,502

 
 
 
$
1,689

 
 
 
$
(22,046
)
 
 
 
$
13,145

 
__________
(1) 
Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting agreements to settle with the same counterparty on a net basis, including cash collateral posted and received.
(2) 
Cash equivalents are comprised of U.S. Treasuries that are classified as Level 1.
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) [Table Text Block]
The following tables display a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2013 and 2012. The tables also display gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized in our condensed consolidated statements of operations and comprehensive income for Level 3 assets and liabilities for the three and nine months ended September 30, 2013 and 2012. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Three Months Ended September 30, 2013
 
 
 
Total (Losses) or Gains (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized (Losses) Gains Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2013(5)
 
Balance, June 30, 2013
 
Included in Net Income
 
Included in Other Comprehensive Income(1)
 
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into Level 3(4)
 
Balance, September 30, 2013
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
52

 
$
(2
)
 
 
$

 
 
$

 
$

 
$

 
$
(4
)
 
$

 
$

 
$
46

 
 
$
(2
)
 
Freddie Mac
2

 

 
 

 
 

 

 

 
(1
)
 

 

 
1

 
 

 
Ginnie Mae
2

 

 
 

 
 

 

 

 

 
(2
)
 
2

 
2

 
 

 
  Alt-A private-label securities
703

 
88

 
 

 
 

 

 

 
(42
)
 
(229
)
 

 
520

 
 
63

 
  Subprime private-label securities
1,488

 
12

 
 

 
 

 
(50
)
 

 
(39
)
 

 

 
1,411

 
 
10

 
  Mortgage revenue bonds
603

 
(3
)
 
 

 
 

 

 

 
(5
)
 

 

 
595

 
 
(4
)
 
  Other
109

 
2

 
 

 
 

 

 

 
(1
)
 

 

 
110

 
 
2

 
Total trading securities
$
2,959

 
$
97

 
 
$

 
 
$

 
$
(50
)
 
$

 
$
(92
)
 
$
(231
)
 
$
2

 
$
2,685

 
 
$
69

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
10

 
$

 
 
$

 
 
$

 
$

 
$

 
$
(2
)
 
$

 
$

 
$
8

 
 
$

 
Freddie Mac
9

 

 
 

 
 

 

 

 

 
(1
)
 
1

 
9

 
 

 
Ginnie Mae

 

 
 

 
 

 

 

 

 

 
1

 
1

 
 

 
  Alt-A private-label securities
7,008

 
120

 
 
(55
)
 
 

 
(2,663
)
 

 
(263
)
 
(1,150
)
 
242

 
3,239

 
 

 
  Subprime private-label securities
7,862

 
(25
)
 
 
327

 
 
312

 
(1,269
)
 

 
(242
)
 

 

 
6,965

 
 

 
  Mortgage revenue bonds
6,400

 
(10
)
 
 
(83
)
 
 

 

 

 
(508
)
 

 

 
5,799

 
 

 
Other
3,051

 
3

 
 
(5
)
 
 

 

 

 
(91
)
 

 

 
2,958

 
 

 
Total available-for-sale securities
$
24,340

 
$
88

 
 
$
184

 
 
$
312

 
$
(3,932
)
 
$

 
$
(1,106
)
 
$
(1,151
)
 
$
244

 
$
18,979

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,961

 
$
187

 
 
$

 
 
$
52

 
$
(393
)
 
$

 
$
(114
)
 
$
(192
)
 
$
135

 
$
2,636

 
 
$
19

 
Net derivatives
(49
)
 
2

 
 

 
 

 

 

 
21

 

 

 
(26
)
 
 
(7
)
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(337
)
 
$
13

 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(324
)
 
 
$
13

 
 Of consolidated trusts
(1,077
)
 
(121
)
 
 

 
 

 

 

 
405

 
234

 
(6
)
 
(565
)
 
 
3

 
Total long-term debt
$
(1,414
)
 
$
(108
)
 
 
$

 
 
$

 
$

 
$

 
$
405

 
$
234

 
$
(6
)
 
$
(889
)
 
 
$
16

 

 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Nine Months Ended September 30, 2013
 
 
 
Total (Losses) or Gains (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized (Losses) Gains Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2013(5)
 
Balance, December 31, 2012
 
Included in Net Income
 
Included in Other Comprehensive Income(1)
 
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into Level 3(4)
 
Balance, September 30, 2013
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
68

 
$
(8
)
 
 
$

 
 
$

 
$

 
$

 
$
(14
)
 
$

 
$

 
$
46

 
 
$
(8
)
 
Freddie Mac
2

 

 
 

 
 

 

 

 
(1
)
 

 

 
1

 
 

 
Ginnie Mae
1

 

 
 

 
 

 

 

 
(1
)
 
(2
)
 
4

 
2

 
 

 
  Alt-A private label securities
104

 
215

 
 

 
 

 

 

 
(97
)
 
(435
)
 
733

 
520

 
 
183

 
Subprime private-label securities
1,319

 
251

 
 

 
 

 
(50
)
 

 
(109
)
 

 

 
1,411

 
 
245

 
Mortgage revenue bonds
675

 
(72
)
 
 

 
 

 

 

 
(8
)
 

 

 
595

 
 
(72
)
 
      Other
117

 
(2
)
 
 

 
 

 

 

 
(5
)
 

 

 
110

 
 
(2
)
 
Total trading securities
$
2,286

 
$
384

 
 
$

 
 
$

 
$
(50
)
 
$

 
$
(235
)
 
$
(437
)
 
$
737

 
$
2,685

 
 
$
346

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
29

 
$

 
 
$
(1
)
 
 
$

 
$

 
$

 
$
(6
)
 
$
(14
)
 
$

 
$
8

 
 
$

 
  Freddie Mac
10

 

 
 
(1
)
 
 

 

 

 
(1
)
 
(1
)
 
2

 
9

 
 

 
Ginnie Mae

 

 
 

 
 

 

 

 

 

 
1

 
1

 
 

 
  Alt-A private-label securities
6,564

 
140

 
 
412

 
 

 
(2,663
)
 

 
(932
)
 
(3,115
)
 
2,833

 
3,239

 
 

 
  Subprime private-label securities
7,447

 
65

 
 
1,238

 
 
312

 
(1,269
)
 

 
(828
)
 

 

 
6,965

 
 

 
  Mortgage revenue bonds
7,837

 

 
 
(365
)
 
 

 
(19
)
 

 
(1,654
)
 

 

 
5,799

 
 

 
      Other
3,147

 
8

 
 
94

 
 

 

 

 
(291
)
 

 

 
2,958

 
 

 
Total available-for-sale securities
$
25,034

 
$
213

 
 
$
1,377

 
 
$
312

 
$
(3,951
)
 
$

 
$
(3,712
)
 
$
(3,130
)
 
$
2,836

 
$
18,979

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,634

 
$
244

 
 
$

 
 
$
295

 
$
(393
)
 
$

 
$
(348
)
 
$
(281
)
 
$
485

 
$
2,636

 
 
$
18

 
Net derivatives
14

 
(127
)
 
 

 
 

 

 

 
75

 
16

 
(4
)
 
(26
)
 
 
(38
)
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(400
)
 
$
76

 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(324
)
 
 
$
76

 
Of consolidated trusts
(1,128
)
 
(241
)
 
 

 
 

 

 
(20
)
 
510

 
404

 
(90
)
 
(565
)
 
 
(71
)
 
Total long-term debt
$
(1,528
)
 
$
(165
)
 
 
$

 
 
$

 
$

 
$
(20
)
 
$
510

 
$
404

 
$
(90
)
 
$
(889
)
 
 
$
5

 

 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Three Months Ended September 30, 2012
 
 
 
Total (Losses) or Gains (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized (Losses) Gains Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2012(5)
 
Balance, June 30, 2012
 
Included in Net Income
 
Included in Other Comprehensive Income(1)
 
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into Level 3(4)
 
Balance, September 30, 2012
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
82

 
$
(1
)
 
 
$

 
 
$

 
$

 
$

 
$
(5
)
 
$

 
$

 
$
76

 
 
$
(1
)
 
Freddie Mac
2

 

 
 

 
 

 

 

 

 

 

 
2

 
 

 
Ginnie Mae

 

 
 

 
 

 

 

 

 

 
1

 
1

 
 

 
  Alt-A private label securities
188

 
12

 
 

 
 

 

 

 
(19
)
 
(54
)
 
303

 
430

 
 
7

 
Subprime private-label securities
1,226

 
78

 
 

 
 

 

 

 
(39
)
 

 

 
1,265

 
 
78

 
Mortgage revenue bonds
689

 
(5
)
 
 

 
 

 

 

 
(3
)
 

 

 
681

 
 
(5
)
 
      Other
118

 
1

 
 

 
 

 

 

 
(1
)
 

 

 
118

 
 
1

 
Total trading securities
$
2,305

 
$
85

 
 
$

 
 
$

 
$

 
$

 
$
(67
)
 
$
(54
)
 
$
304

 
$
2,573

 
 
$
80

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
34

 
$

 
 
$

 
 
$
35

 
$
(35
)
 
$

 
$
(2
)
 
$

 
$

 
$
32

 
 
$

 
  Freddie Mac
11

 

 
 

 
 

 

 

 
(1
)
 

 

 
10

 
 

 
  Alt-A private-label securities
6,456

 
5

 
 
179

 
 

 

 

 
(263
)
 
(769
)
 
954

 
6,562

 
 

 
  Subprime private-label securities
7,230

 
27

 
 
434

 
 

 

 

 
(319
)
 

 

 
7,372

 
 

 
  Mortgage revenue bonds
9,353

 
2

 
 
7

 
 
29

 
(29
)
 

 
(693
)
 

 

 
8,669

 
 

 
      Other
3,244

 
(7
)
 
 
50

 
 

 

 

 
(92
)
 

 

 
3,195

 
 

 
Total available-for-sale securities
$
26,328

 
$
27

 
 
$
670

 
 
$
64

 
$
(64
)
 
$

 
$
(1,370
)
 
$
(769
)
 
$
954

 
$
25,840

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,331

 
$
96

 
 
$

 
 
$
146

 
$

 
$

 
$
(123
)
 
$
(60
)
 
$
26

 
$
2,416

 
 
$
87

 
Net derivatives
74

 
(1
)
 
 

 
 

 

 
(2
)
 
(41
)
 

 

 
30

 
 
(9
)
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(412
)
 
$
(19
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(431
)
 
 
$
(19
)
 
Of consolidated trusts
(1,319
)
 
(47
)
 
 

 
 

 

 
(38
)
 
69

 
62

 
(152
)
 
(1,425
)
 
 
(40
)
 
Total long-term debt
$
(1,731
)
 
$
(66
)
 
 
$

 
 
$

 
$

 
$
(38
)
 
$
69

 
$
62

 
$
(152
)
 
$
(1,856
)
 
 
$
(59
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Nine Months Ended September 30, 2012
 
 
 
Total Gains or (Losses) (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized (Losses) Gains Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2012(5)
 
Balance, December 31, 2011
 
Included in Net Income
 
Included in Other Comprehensive Income(1)
 
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into Level 3(4)
 
Balance, September 30, 2012
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
1,737

 
$
1

 
 
$

 
 
$

 
$
(33
)
 
$

 
$
(113
)
 
$
(1,581
)
 
$
65

 
$
76

 
 
$
(3
)
 
Freddie Mac

 

 
 

 
 

 

 

 

 

 
2

 
2

 
 

 
Ginnie Mae
9

 

 
 

 
 

 

 

 

 
(9
)
 
1

 
1

 
 

 
  Alt-A private label securities
345

 
81

 
 

 
 

 

 

 
(86
)
 
(470
)
 
560

 
430

 
 
19

 
Subprime private-label securities
1,280

 
100

 
 

 
 

 

 

 
(115
)
 

 

 
1,265

 
 
99

 
Mortgage revenue bonds
724

 
(31
)
 
 

 
 

 

 

 
(12
)
 

 

 
681

 
 
(31
)
 
      Other
143

 
(21
)
 
 

 
 

 

 

 
(4
)
 

 

 
118

 
 
(21
)
 
Total trading securities
$
4,238

 
$
130

 
 
$

 
 
$

 
$
(33
)
 
$

 
$
(330
)
 
$
(2,060
)
 
$
628

 
$
2,573

 
 
$
63

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
946

 
$

 
 
$
(8
)
 
 
$
41

 
$
(41
)
 
$

 
$
(21
)
 
$
(895
)
 
$
10

 
$
32

 
 
$

 
  Freddie Mac
12

 

 
 

 
 

 

 

 
(2
)
 

 

 
10

 
 

 
  Alt-A private-label securities
7,256

 
(97
)
 
 
472

 
 

 

 

 
(800
)
 
(2,676
)
 
2,407

 
6,562

 
 

 
  Subprime private-label securities
7,586

 
(168
)
 
 
940

 
 

 

 

 
(986
)
 

 

 
7,372

 
 

 
  Mortgage revenue bonds
10,247

 
5

 
 
(13
)
 
 
29

 
(71
)
 

 
(1,528
)
 

 

 
8,669

 
 

 
      Other
3,445

 
7

 
 
12

 
 

 

 

 
(269
)
 

 

 
3,195

 
 

 
Total available-for-sale securities
$
29,492

 
$
(253
)
 
 
$
1,403

 
 
$
70

 
$
(112
)
 
$

 
$
(3,606
)
 
$
(3,571
)
 
$
2,417

 
$
25,840

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,319

 
$
216

 
 
$

 
 
$
533

 
$

 
$

 
$
(292
)
 
$
(404
)
 
$
44

 
$
2,416

 
 
$
143

 
Net derivatives
65

 
14

 
 

 
 

 

 
(8
)
 
(41
)
 

 

 
30

 
 
8

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(406
)
 
$
(25
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(431
)
 
 
$
(25
)
 
Of consolidated trusts
(765
)
 
(107
)
 
 

 
 

 

 
(523
)
 
147

 
172

 
(349
)
 
(1,425
)
 
 
(95
)
 
Total long-term debt
$
(1,171
)
 
$
(132
)
 
 
$

 
 
$

 
$

 
$
(523
)
 
$
147

 
$
172

 
$
(349
)
 
$
(1,856
)
 
 
$
(120
)
 
__________
(1) 
(Losses) gains included in other comprehensive income are included in “Changes in unrealized gains on available-for-sale securities, net of reclassification adjustments and taxes” in the condensed consolidated statements of operations and comprehensive income.
(2) 
Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.
(3) 
Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.
(4) 
Transfers out of Level 3 consisted primarily of Fannie Mae MBS and private-label mortgage-related securities backed by Alt-A loans. Prices for these securities were obtained from multiple third-party vendors supported by market observable inputs. Transfers into Level 3 consisted primarily of private-label mortgage-related securities backed by Alt-A loans. Prices for these securities are based on inputs from a single source or inputs that were not readily observable.
(5) 
Amount represents temporary changes in fair value. Amortization, accretion and other-than-temporary impairments are not considered unrealized and are not included in this amount.
Realized and Unrealized Gain and Losses for Level 3 Assets and Liabilities Measured on Recurring Basis [Table Text Block]
The following tables display realized and unrealized gains and losses included in our condensed consolidated statements of operations and comprehensive income for the three and nine months ended September 30, 2013 and 2012, for our Level 3 assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis.
 
 
For the Three Months Ended September 30, 2013
 
 
Interest Income
 
Fair Value Gains, net
 
Net Other-than-Temporary Impairments
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income
 
$
62

 
 
 
$
181

 
 
 
$
(11
)
 
 
 
$
34

 
 
 
$
266

 
Net unrealized gains related to Level 3 assets and liabilities still held as of September 30, 2013
 
$

 
 
 
$
97

 
 
 
$

 
 
 
$

 
 
 
$
97

 
 
 
For the Nine Months Ended September 30, 2013
 
 
Interest Income
 
Fair Value Gains, net
 
Net Other-than-Temporary Impairments
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income
 
$
187

 
 
 
$
342

 
 
 
$
(20
)
 
 
 
$
40

 
 
 
$
549

 
Net unrealized gains related to Level 3 assets and liabilities still held as of September 30, 2013
 
$

 
 
 
$
331

 
 
 
$

 
 
 
$

 
 
 
$
331

 
 
 
For the Three Months Ended September 30, 2012
 
 
Interest Income
 
Fair Value Gains, net
 
Net Other-than-Temporary Impairments
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income
 
$
60

 
 
 
$
117

 
 
 
$
(37
)
 
 
 
$
1

 
 
 
$
141

 
Net unrealized gains related to Level 3 assets and liabilities still held as of September 30, 2012
 
$

 
 
 
$
99

 
 
 
$

 
 
 
$

 
 
 
$
99

 
 
 
For the Nine Months Ended September 30, 2012
 
 
Interest Income
 
Fair Value Gains, net
 
Net Other-than-Temporary Impairments
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income
 
$
205

 
 
 
$
237

 
 
 
$
(476
)
 
 
 
$
9

 
 
 
$
(25
)
 
Net unrealized gains related to Level 3 assets and liabilities still held as of September 30, 2012
 
$

 
 
 
$
94

 
 
 
$

 
 
 
$

 
 
 
$
94

 
Nonrecurring Changes in Fair Value [Table Text Block]
The following tables display assets measured in our condensed consolidated balance sheets at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, when we evaluate for impairment) as of September 30, 2013 and December 31, 2012.
 
 
Fair Value Measurements as of September 30, 2013
 
 
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs (Level 3)
 
Estimated Fair Value
 
 
(Dollars in millions)
 
Nonrecurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale, at lower of cost or fair value
 
$

 
 
 
$
136

 
 
 
$
143

 
 
 
$
279

 
Single-family mortgage loans held for investment, at amortized cost:(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
 

 
 
 

 
 
 
19,232

 
 
 
19,232

 
Of consolidated trusts
 

 
 
 

 
 
 
94

 
 
 
94

 
Multifamily mortgage loans held for investment, at amortized cost
 

 
 
 

 
 
 
1,780

 
 
 
1,780

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 

 
 
 

 
 
 
3,499

 
 
 
3,499

 
Multifamily
 

 
 
 

 
 
 
88

 
 
 
88

 
Other assets
 

 
 
 

 
 
 
98

 
 
 
98

 
Total nonrecurring fair value measurements
 
$

 
 
 
$
136

 
 
 
$
24,934

 
 
 
$
25,070

 

 
 
Fair Value Measurements as of December 31, 2012
 
 
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs (Level 3)
 
Estimated Fair Value
 
 
(Dollars in millions)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale, at lower of cost or fair value
 
$

 
 
 
$
104

 
 
 
$
135

 
 
 
$
239

 
Single-family mortgage loans held for investment, at amortized cost:(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
 

 
 
 

 
 
 
23,314

 
 
 
23,314

 
Of consolidated trusts
 

 
 
 

 
 
 
227

 
 
 
227

 
Multifamily mortgage loans held for investment, at amortized cost
 

 
 
 

 
 
 
1,624

 
 
 
1,624

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 

 
 
 

 
 
 
3,692

 
 
 
3,692

 
Multifamily
 

 
 
 

 
 
 
74

 
 
 
74

 
Other assets
 

 
 
 

 
 
 
384

 
 
 
384

 
Total nonrecurring fair value measurements
 
$

 
 
 
$
104

 
 
 
$
29,450

 
 
 
$
29,554

 
_________
(1) 
Excludes estimated recoveries from mortgage insurance proceeds.
Valuation Techniques and Significant Unobservable Inputs for Level 3 Assets and Liabilities [Table Text Block]
The following tables display valuation techniques and the range and the weighted average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis as of September 30, 2013 and December 31, 2012.
 
Fair Value Measurements as of September 30, 2013
 
Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted Average(1)
 
Fair Value
 
(Dollars in millions)
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
Other
 
 
 
 
 
 
 
 
 
$
49

Alt-A private-label securities
Consensus
 
Default Rate (%)
 
10.8
 
10.8
 
 
 
 
 
Prepayment Speed (%)
 
8.4
 
8.4
 
 
 
 
 
Severity (%)
 
70.3
 
70.3
 
145

 
Consensus
 
 
 
 
 
 
 
 
 
270

 
Discounted Cash Flow
 
Default Rate (%)
 
10.7
-
10.8
 
10.8
 
 
 
 
 
Prepayment Speed (%)
 
4.3
-
8.4
 
7.2
 
 
 
 
 
Severity (%)
 
70.3
-
80.0
 
73.1
 
105

Total Alt-A private-label securities
 
 
 
 
 
 
 
 
 
 
520

Subprime private-label securities
Consensus
 
Default Rate (%)
 
7.4
-
11.1
 
8.7
 
 
 
 
 
Prepayment Speed (%)
 
0.8
-
4.5
 
2.5
 
 
 
 
 
Severity (%)
 
67.3
-
90.5
 
77.9
 
 
 
 
 
Spreads (bps)
 
375.0
-
555.0
 
407.0
 
465

 
Consensus
 
 
 
 
 
 
 
 
 
906

 
Single Vendor
 
 
 

 

 
40

Total subprime private-label securities
 
 
 
 
 
 
 
 
 
 
1,411

Mortgage revenue bonds
Discounted Cash Flow
 
Spreads (bps)
 
290.0
-
405.0
 
345.9
 
563

 
Other
 
 
 
 
 
 
 
 
 
32

Total mortgage revenue bonds
 
 
 
 
 
 
 
 
 
 
595

Other
Single Vendor
 
 
 
 
 
 
 
 
 
110

Total trading securities
 
 
 
 
 
 
 
 
 
 
$
2,685














 
Fair Value Measurements as of September 30, 2013
 
Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted Average(1)
 
Fair Value
 
(Dollars in millions)
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
Other
 
 
 
 
 
 
 
 
 
$
18

Alt-A private-label securities
Single Vendor
 
 
 
 
 
 
 
 
 
90

 
Consensus
 
Default Rate (%)
 
0.0
-
14.2
 
4.2
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
31.7
 
13.5
 
 
 
 
 
Severity (%)
 
0.1
-
92.3
 
61.5
 
 
 
 
 
Spreads (bps)
 
275.0
-
555.0
 
407.2
 
1,886

 
Consensus
 
 
 
 
 
 
 
 
 
1,117

 
Discounted Cash Flow
 
 
 

 

 

 
146

Total Alt-A private-label securities
 
 
 
 
 
 
 
 
 
 
3,239

Subprime private-label securities
Consensus
 
Default Rate (%)
 
0.0
-
16.1
 
8.2
 

 
 
 
Prepayment Speed (%)
 
0.0
-
18.7
 
4.8
 

 
 
 
Severity (%)
 
10.2
-
99.2
 
80.6
 

 
 
 
Spreads (bps)
 
175.0
-
530.0
 
429.6
 
2,549

 
Consensus
 
 
 
 
 
 
 
 
 
3,882

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
9.1
 
5.2
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
36.2
 
6.3
 
 
 
 
 
Severity (%)
 
65.0
-
100.0
 
79.8
 
 
 
 
 
Spreads (bps)
 
225.0
-
350.0
 
316.4
 
433

 
Other
 
 
 
 
 
 
 
 
 
101

Total subprime private-label securities
 
 
 
 
 
 
 
 
 
 
6,965

Mortgage revenue bonds
Single Vendor
 
Spreads (bps)
 
44.2
-
520.0
 
197.2
 
2,004

 
Single Vendor
 
 
 
 
 
 
 
 
 
1,721

 
Discounted Cash Flow
 
Spreads (bps)
 
96.3
-
545.0
 
330.0
 
2,031

 
Other
 
 
 
 
 
 
 
 
 
43

Total mortgage revenue bonds
 
 
 
 
 
 
 
 
 
 
5,799

Other
Consensus
 
Default Rate (%)
 
0.0
-
5.0
 
4.7
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
13.8
 
3.7
 
 
 
 
 
Severity (%)
 
65.0
-
85.0
 
83.7
 
 
 
 
 
Spreads (bps)
 
350.0
-
679.0
 
481.7
 
405

 
Consensus
 
 
 
 
 
 
 
 
 
569

 
Other
 
 
 
 
 
 
 
 
 
1,984

Total other
 
 
 
 
 
 
 
 
 
 
2,958

Total available-for-sale securities
 
 
 
 
 
 
 
 
 
 
$
18,979

 
Fair Value Measurements as of September 30, 2013
 
Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted Average(1)
 
Fair Value
 
(Dollars in millions)
Mortgage loans of consolidated trusts:
 
 
 
 
 
 
 
 
 
 
 
Single-family
Build-Up
 
Default Rate (%)
 
0.1
-
93.3
 
17.0
 
 
 
 
 
Prepayment Speed (%)
 
3.3
-
33.4
 
15.4
 
 
 
 
 
Severity (%)
 
3.3
-
95.4
 
27.3
 
$
1,798

 
Consensus
 
Default Rate (%)
 
0.0
-
21.7
 
5.2
 
 
 
 
 
Prepayment Speed (%)
 
2.2
-
31.8
 
12.8
 
 
 
 
 
Severity (%)
 
39.3
-
86.5
 
45.6
 
 
 
 
 
Spreads (bps)
 
225.0
-
975.0
 
390.8
 
142

 
Consensus
 
 
 
 
 
 
 
 
 
243

 
Discounted Cash Flow
 
Default Rate (%)
 
2.8
-
20.3
 
8.8
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
12.3
 
5.7
 
 
 
 
 
Severity (%)
 
39.3
-
92.2
 
67.3
 
 
 
 
 
Spreads (bps)
 
225.0
-
513.0
 
311.2
 
264

Total single-family
 
 
 
 
 
 
 
 
 
 
2,447

Multifamily
Build-Up
 
Spreads (bps)
 
79.0
-
274.4
 
129.3
 
189

Total mortgage loans of consolidated trusts
 
 
 
 
 
 
 
 
 
 
$
2,636

Net derivatives
Internal Model
 
 
 
 
 
 
 
 
 
$
(82
)
 
Dealer Mark
 
 
 
 
 
 
 
 
 
54

 
Other
 
 
 
 
 
 
 
 
 
2

Total net derivatives
 
 
 
 
 
 
 
 
 
 
$
(26
)
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
Senior floating
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
$
(324
)
Of consolidated trusts
Consensus
 
Default Rate (%)
 
0.0
-
21.7
 
5.2
 
 
 
 
 
Prepayment Speed (%)
 
2.2
-
31.8
 
12.7
 
 
 
 
 
Severity (%)
 
39.3
-
86.5
 
46.0
 
 
 
 
 
Spreads (bps)
 
225.0
-
975.0
 
396.3
 
(149
)
 
Consensus
 
 
 
 
 
 
 
 
 
(278
)
 
Single Vendor
 
 
 
 
 
 
 
 
 
(65
)
 
Other
 
 
 
 
 
 
 
 
 
(73
)
 Total of consolidated trusts
 
 
 
 
 
 
 
 
 
 
(565
)
Total long-term debt
 
 
 
 
 
 
 
 
 
 
$
(889
)


 
Fair Value Measurements as of December 31, 2012
 
Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted Average(1)
 
Fair Value
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
Consensus
 
 
 
 
 
 
 
 
 
$
44

 
Single Vendor
 
 
 
 
 
 
 
 
 
27

      Total agency
 
 
 
 
 
 
 
 
 
 
71

     Alt-A private-label securities
Discounted Cash Flow
 
Default Rate (%)
 
5.7
-
17.6
 
12.5
 
 
 
 
 
Prepayment Speed (%)
 
0.6
-
4.0
 
1.7
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
67.6
 
 
 
 
 
Spreads (bps)
 
526.0
-
612.0
 
567.0
 
87

 
Other
 
 
 
 
 
 
 
 
 
17

  Total Alt-A private-label securities
 
 
 
 
 
 
 
 
 
 
104

  Subprime private-label securities
Consensus
 
Default Rate (%)
 
10.9
-
23.0
 
16.0
 
 
 
 
 
Prepayment Speed (%)
 
0.3
-
7.9
 
2.6
 
 
 
 
 
Severity (%)
 
80.0
 
80.0
 
 
 
 
 
Spreads (bps)
 
427.0
-
657.0
 
488.5
 
544

 
Consensus
 
 
 
 
 
 
 
 
 
355

 
Discounted Cash Flow
 
Default Rate (%)
 
14.1
-
20.4
 
18.7
 
 
 
 
 
Prepayment Speed (%)
 
3.4
-
8.3
 
5.6
 
 
 
 
 
Severity (%)
 
80.0
 
80.0
 
 
 
 
 
Spreads (bps)
 
422.0
-
637.0
 
564.8
 
236

 
Single Vendor
 
 
 
 
 
 
 
 
 
184

  Total subprime private-label securities
 
 
 
 
 
 
 
 
 
 
1,319

  Mortgage revenue bonds
Discounted Cash Flow
 
Spreads (bps)
 
260.0
-
375.0
 
320.4
 
636

 
Single Vendor
 
 
 
 
 
 
 
 
 
39

  Total mortgage revenue bonds
 
 
 
 
 
 
 
 
 
 
675

  Other
Other
 
 
 
 
 
 
 
 
 
117

Total trading securities
 
 
 
 
 
 
 
 
 
 
$
2,286


 
Fair Value Measurements as of December 31, 2012
 
Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted Average(1)
 
Fair Value
 
(Dollars in millions)
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
Other
 
 
 
 
 
 
 
 
 
$
39

Alt-A private-label securities
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
23.6
 
6.4
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
20.8
 
7.4
 
 
 
 
 
Severity (%)
 
50.0
-
70.0
 
57.2
 
 
 
 
 
Spreads (bps)
 
288.0
-
643.0
 
442.8
 
3,003

 
Consensus
 
Default Rate (%)
 
0.0
-
17.7
 
3.6
 
 
 
 
 
Prepayment Speed (%)
 
0.2
-
41.3
 
10.0
 
 
 
 
 
Severity (%)
 
50.0
-
70.0
 
54.9
 
 
 
 
 
Spreads (bps)
 
300.0
-
634.0
 
429.0
 
2,285

 
Consensus
 
 
 
 
 
 
 
 
 
1,231

 
Single Vendor
 
 
 
 
 
 
 
 
 
45

 Total Alt-A private-label securities
 
 
 
 
 
 
 
 
 
 
6,564

Subprime private-label securities
Consensus
 
Default Rate (%)
 
0.0
-
27.4
 
15.4
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
14.4
 
3.0
 
 
 
 
 
Severity (%)
 
65.0
-
80.0
 
77.8
 
 
 
 
 
Spreads (bps)
 
325.0
-
660.0
 
493.7
 
3,333

 
Consensus
 
 
 
 
 
 
 
 
 
2,326

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
24.3
 
15.7
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
10.9
 
2.9
 
 
 
 
 
Severity (%)
 
65.0
-
80.0
 
76.7
 
 
 
 
 
Spreads (bps)
 
299.0
-
654.0
 
527.0
 
1,710

 
Other
 
 
 
 
 
 
 
 
 
78

Total subprime private-label securities
 
 
 
 
 
 
 
 
 
 
7,447

Mortgage revenue bonds
Single Vendor
 
 
 
 
 
 
 
 
 
5,721

 
Discounted Cash Flow
 
Spreads (bps)
 
77.0
-
375.0
 
297.7
 
1,911

 
Other
 
 
 
 
 
 
 
 
 
205

Total mortgage revenue bonds
 
 
 
 
 
 
 
 
 
 
7,837

Other
Consensus
 
 
 
 
 
 
 
 
 
1,009

 
Discounted Cash Flow
 
Default Rate (%)
 
4.0
-
10.0
 
5.0
 
 
 
 
 
Prepayment Speed (%)
 
0.2
-
10.0
 
3.0
 
 
 
 
 
Severity (%)
 
50.0
-
85.0
 
84.8
 
 
 
 
 
Spreads (bps)
 
431.0
-
1,154.0
 
588.6
 
916

 
Consensus
 
Default Rate (%)
 
0.0
-
5.0
 
4.7
 
 
 
 
 
Prepayment Speed (%)
 
1.0
-
14.1
 
3.6
 
 
 
 
 
Severity (%)
 
65.0
-
85.0
 
83.8
 
 
 
 
 
Spreads (bps)
 
450.0
-
729.0
 
585.8
 
534

 
Other
 
 
 
 
 
 
 
 
 
688

Total other
 
 
 
 
 
 
 
 
 
 
3,147

Total available-for-sale securities
 
 
 
 
 
 
 
 
 
 
$
25,034


 
Fair Value Measurements as of December 31, 2012
 
Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted Average(1)
 
Fair Value
 
(Dollars in millions)
Mortgage loans of consolidated trusts:
 
 
 
 
 
 
 
 
 
 
 
Single-family
Build-Up
 
Default Rate (%)
 
0.1
-
99.3
 
18.4
 
 
 
 
 
Prepayment Speed (%)
 
4.4
-
92.0
 
19.4
 
 
 
 
 
Severity (%)
 
5.6
-
97.3
 
33.3
 
$
1,698

 
Consensus
 
 
 
 
 
 
 
 
 
303

 
Consensus
 
Default Rate (%)
 
0.0
-
9.0
 
6.4
 
 
 
 
 
Prepayment Speed (%)
 
1.7
-
14.4
 
10.4
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
67.1
 
 
 
 
 
Spreads (bps)
 
468.0
-
851.0
 
567.9
 
302

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
8.5
 
6.0
 
 
 
 
 
Prepayment Speed (%)
 
1.7
-
14.4
 
5.3
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
65.0
 
 
 
 
 
Spreads (bps)
 
507.0
-
1,030.0
 
733.4
 
106

 
Single Vendor
 
 
 
 
 
 
 
 
 
50

 Total single-family
 
 
 
 
 
 
 
 
 
 
2,459

 Multifamily
Build-Up
 
Spreads (bps)
 
77.0
-
363.4
 
154.5
 
175

Total mortgage loans of consolidated trusts
 
 
 
 
 
 
 
 
 
 
$
2,634

Net derivatives
Dealer Mark
 
 
 
 
 
 
 
 
 
$
144

 
Internal Model
 
 
 
 
 
 
 
 
 
(130
)
Total net derivatives
 
 
 
 
 
 
 
 
 
 
$
14

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
Senior floating
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
$
(400
)
Of consolidated trusts
Consensus
 
 
 
 
 
 
 
 
 
(370
)
 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
10.0
 
5.8
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
100.0
 
36.9
 
 
 
 
 
Severity (%)
 
50.0
-
70.0
 
63.4
 
 
 
 
 
Spreads (bps)
 
98.0
-
1,030.0
 
331.4
 
(330
)
 
Consensus
 
Default Rate (%)
 
0.0
-
9.0
 
6.2
 
 
 
 
 
Prepayment Speed (%)
 
1.7
-
14.4
 
10.9
 
 
 
 
 
Severity (%)
 
65.0
-
70.0
 
67.5
 
 
 
 
 
Spreads (bps)
 
468.0
-
851.0
 
584.3
 
(271
)
 
Single Vendor
 
 
 
 
 
 
 
 
 
(157
)
 Total of consolidated trusts
 
 
 
 
 
 
 
 
 
 
(1,128
)
Total long-term debt
 
 
 
 
 
 
 
 
 
 
$
(1,528
)
_________
(1) 
Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the security level using discounted cash flows.
(2) 
Includes Fannie Mae, Freddie Mac and Ginnie Mae securities.
Level 3 Assets Measured on Nonrecurring Basis [Table Text Block]
The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2013 and December 31, 2012. The significant unobservable inputs related to these techniques primarily relate to collateral dependent valuations. The related ranges and weighted averages are not meaningful when aggregated as they vary significantly from property to property.
 
 
 
 
Fair Value as of
 
 
Valuation Techniques
 
September 30, 2013
 
December 31, 2012
 
 
 
 
(Dollars in millions)
Nonrecurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale, at lower of cost or fair value
 
Consensus
 
 
$
143

 
 
 
$
135

 
Single-family mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
 
Internal Model
 
 
19,232

 
 
 
23,314

 
Of consolidated trusts
 
Internal Model
 
 
94

 
 
 
227

 
Multifamily mortgage loans held for investment, at amortized cost
 
Appraisals
 
 
89

 
 
 
194

 
 
 
Broker Price Opinions
 
 
354

 
 
 
395

 
 
 
Asset Manager Estimate
 
 
1,320

 
 
 
1,001

 
 
 
Other
 
 
17

 
 
 
34

 
Total multifamily mortgage loans held for investment, at amortized cost
 
 
 
 
1,780

 
 
 
1,624

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
 
Single-family
 
Accepted Offers
 
 
582

 
 
 
787

 
 
 
Appraisals
 
 
1,310

 
 
 
467

 
 
 
Walk Forwards
 
 
673

 
 
 
1,348

 
 
 
Internal Model
 
 
870

 
 
 
1,014

 
 
 
Other
 
 
64

 
 
 
76

 
Total single-family
 
 
 
 
3,499

 
 
 
3,692

 
Multifamily
 
Accepted Offers
 
 
10

 
 
 
20

 
 
 
Appraisals
 
 
43

 
 
 
8

 
 
 
Broker Price Opinions
 
 
35

 
 
 
46

 
Total multifamily
 
 
 
 
88

 
 
 
74

 
Other assets
 
Appraisals
 
 
26

 
 
 
8

 
 
 
Walk Forwards
 
 
7

 
 
 
43

 
 
 
Internal Model
 
 
63

 
 
 
203

 
 
 
Other
 
 
2

 
 
 
130

 
Total other assets
 
 
 
 
98

 
 
 
384

 
Total nonrecurring assets at fair value
 
 
 
 
$
24,934

 
 
 
$
29,450

 

Fair Value of Financial Instruments [Table Text Block]
The following table displays the carrying value and estimated fair value of our financial instruments as of September 30, 2013 and December 31, 2012. The fair value of financial instruments we disclose includes commitments to purchase multifamily and single-family mortgage loans, which are off-balance sheet financial instruments that we do not record in our condensed consolidated balance sheets. The fair values of these commitments are included as “Mortgage loans held for investment, net of allowance for loan losses.” The disclosure excludes certain financial instruments, such as plan obligations for pension and postretirement health care benefits, employee stock option and stock purchase plans, and also excludes all non-financial instruments. As a result, the fair value of our financial assets and liabilities does not represent the underlying fair value of our total consolidated assets and liabilities.
 
As of September 30, 2013
 
Carrying
Value
 
Quoted Price in Active Markets for Identical Assets
(Level 1)
 
Significant Other Observable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Netting Adjustment
 
Estimated
Fair Value
 
(Dollars in millions)
Financial assets:
 
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents and restricted cash
$
62,309

 
$
44,809

 
$
17,500

 
$

 
$

 
$
62,309

Federal funds sold and securities purchased under agreements to resell or similar arrangements
40,300

 

 
40,300

 

 

 
40,300

Trading securities
32,860

 
16,396

 
13,779

 
2,685

 

 
32,860

Available-for-sale securities
41,000

 

 
22,021

 
18,979

 

 
41,000

Mortgage loans held for sale
998

 

 
223

 
802

 

 
1,025

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
271,923

 

 
33,998

 
223,365

 

 
257,363

Of consolidated trusts
2,740,259

 

 
2,583,993

 
170,452

 

 
2,754,445

Mortgage loans held for investment
3,012,182

 

 
2,617,991

 
393,817

 

 
3,011,808

Advances to lenders
3,633

 

 
3,050

 
548

 

 
3,598

Derivative assets at fair value
2,019

 

 
11,202

 
92

 
(9,275
)
 
2,019

Guaranty assets and buy-ups
271

 

 

 
684

 

 
684

Total financial assets
$
3,195,572

 
$
61,205

 
$
2,726,066

 
$
417,607

 
$
(9,275
)
 
$
3,195,603

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
$
77,813

 
$

 
$
77,830

 
$

 
$

 
$
77,830

    Of consolidated trusts
2,297

 

 

 
2,297

 

 
2,297

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
487,297

 

 
498,046

 
962

 

 
499,008

    Of consolidated trusts
2,672,714

 

 
2,691,156

 
13,082

 

 
2,704,238

Derivative liabilities at fair value
2,361

 

 
13,152

 
118

 
(10,909
)
 
2,361

Guaranty obligations
502

 

 

 
2,472

 

 
2,472

Total financial liabilities
$
3,242,984

 
$

 
$
3,280,184

 
$
18,931

 
$
(10,909
)
 
$
3,288,206


 
As of December 31, 2012
 
Carrying
Value
 
Quoted Price in Active Markets for Identical Assets
(Level 1)
 
Significant Other Observable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Netting Adjustment
 
Estimated
Fair Value
 
(Dollars in millions)
Financial assets:
 
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents and restricted cash
$
89,036

 
$
75,786

 
$
13,250

 
$

 
$

 
$
89,036

Federal funds sold and securities purchased under agreements to resell or similar arrangements
32,500

 

 
32,500

 

 

 
32,500

Trading securities
40,695

 
17,950

 
20,459

 
2,286

 

 
40,695

Available-for-sale securities
63,181

 

 
38,147

 
25,034

 

 
63,181

Mortgage loans held for sale
464

 

 
267

 
208

 

 
475

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
305,025

 

 
39,018

 
232,170

 

 
271,188

Of consolidated trusts
2,643,917

 

 
2,528,004

 
234,424

 

 
2,762,428

Mortgage loans held for investment
2,948,942

 

 
2,567,022

 
466,594

 

 
3,033,616

Advances to lenders
7,592

 

 
6,936

 
572

 

 
7,508

Derivative assets at fair value
435

 

 
16,051

 
175

 
(15,791
)
 
435

Guaranty assets and buy-ups
327

 

 

 
692

 

 
692

Total financial assets
$
3,183,172

 
$
93,736

 
$
2,694,632

 
$
495,561

 
$
(15,791
)
 
$
3,268,138

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
$
105,233

 
$

 
$
105,253

 
$

 
$

 
$
105,253

    Of consolidated trusts
3,483

 

 

 
3,483

 

 
3,483

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
510,631

 

 
534,516

 
1,056

 

 
535,572

    Of consolidated trusts
2,570,170

 

 
2,685,008

 
16,171

 

 
2,701,179

Derivative liabilities at fair value
705

 

 
22,590

 
161

 
(22,046
)
 
705

Guaranty obligations
599

 

 

 
3,113

 

 
3,113

Total financial liabilities
$
3,190,821

 
$

 
$
3,347,367

 
$
23,984

 
$
(22,046
)
 
$
3,349,305

Fair Value Option [Table Text Block]
The following table displays the fair value and unpaid principal balance of the financial instruments for which we have made fair value elections as of September 30, 2013 and December 31, 2012.
 
 
As of
 
 
 
September 30, 2013
 
 
 
December 31, 2012
 
 
Loans of Consolidated Trusts(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts(2)
 
Loans of Consolidated Trusts(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts(2)
 
 
(Dollars in millions)
 
Fair value
 
$
13,877

 
 
 
$
684

 
 
 
$
14,414

 
 
 
$
10,800

 
 
 
$
793

 
 
 
$
11,647

 
Unpaid principal balance
 
13,904

 
 
 
658

 
 
 
13,428

 
 
 
10,657

 
 
 
674

 
 
 
10,803

 
__________
(1) 
Includes nonaccrual loans with a fair value of $177 million and $273 million as of September 30, 2013 and December 31, 2012, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of September 30, 2013 and December 31, 2012 was $97 million and $189 million, respectively. Includes loans that are 90 days or more past due with a fair value of $273 million and $386 million as of September 30, 2013 and December 31, 2012, respectively. The difference between unpaid principal balance and the fair value of these 90 or more days past due loans as of September 30, 2013 and December 31, 2012 was $98 million and $201 million, respectively.
(2) 
Includes interest-only debt instruments with no unpaid principal balance and a fair value of $81 million and $100 million as of September 30, 2013 and December 31, 2012, respectively.
The following table displays fair value gains and losses, net, including changes attributable to instrument-specific credit risk, for loans and debt for which the fair value election was made. Amounts are recorded as a component of “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income for the three and nine months ended September 30, 2013 and 2012.
 
For the Three Months Ended September 30,
 
2013
 
2012
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
(94
)
 
 
$
1

 
 
 
$
(93
)
 
 
$
12

 
 
$
(7
)
 
 
 
$
5

Other changes in fair value
143

 
 
(138
)
 
 
 
5

 
 
23

 
 
(71
)
 
 
 
(48
)
Fair value (losses) gains, net
$
49

 
 
$
(137
)
 
 
 
$
(88
)
 
 
$
35

 
 
$
(78
)
 
 
 
$
(43
)

 
For the Nine Months Ended September 30,
 
2013
 
2012
 
Loans
 
Long-Term Debt
 
Total Losses
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
(93
)
 
 
$
(2
)
 
 
 
$
(95
)
 
 
$
89

 
 
$
(9
)
 
 
 
$
80

Other changes in fair value
(563
)
 
 
267

 
 
 
(296
)
 
 
(80
)
 
 
(28
)
 
 
 
(108
)
Fair value (losses) gains, net
$
(656
)
 
 
$
265

 
 
 
$
(391
)
 
 
$
9

 
 
$
(37
)
 
 
 
$
(28
)