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Fair Value (Tables)
9 Months Ended
Sep. 30, 2014
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, 2014 and December 31, 2013.
 
 
Fair Value Measurements as of September 30, 2014
 
 
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
 
$

 
 
 
$
5,146

 
 
 
$
325

 
 
 
$

 
 
 
$
5,471

 
Freddie Mac
 

 
 
 
1,500

 
 
 

 
 
 

 
 
 
1,500

 
Ginnie Mae
 

 
 
 
323

 
 
 

 
 
 

 
 
 
323

 
Alt-A private-label securities
 

 
 
 
440

 
 
 
695

 
 
 

 
 
 
1,135

 
Subprime private-label securities
 

 
 
 

 
 
 
1,316

 
 
 

 
 
 
1,316

 
CMBS
 

 
 
 
2,550

 
 
 

 
 
 

 
 
 
2,550

 
Mortgage revenue bonds
 

 
 
 

 
 
 
693

 
 
 

 
 
 
693

 
Other
 

 
 
 

 
 
 
99

 
 
 

 
 
 
99

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
U.S. Treasury securities
 
17,757

 
 
 

 
 
 

 
 
 

 
 
 
17,757

 
Total trading securities
 
17,757

 
 
 
9,959

 
 
 
3,128

 
 
 

 
 
 
30,844

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
5,756

 
 
 

 
 
 

 
 
 
5,756

 
Freddie Mac
 

 
 
 
5,806

 
 
 
6

 
 
 

 
 
 
5,812

 
Ginnie Mae
 

 
 
 
498

 
 
 

 
 
 

 
 
 
498

 
Alt-A private-label securities
 

 
 
 
2,673

 
 
 
3,496

 
 
 

 
 
 
6,169

 
Subprime private-label securities
 

 
 
 

 
 
 
5,386

 
 
 

 
 
 
5,386

 
CMBS
 

 
 
 
1,467

 
 
 

 
 
 

 
 
 
1,467

 
Mortgage revenue bonds
 

 
 
 

 
 
 
4,266

 
 
 

 
 
 
4,266

 
Other
 

 
 
 
2

 
 
 
2,743

 
 
 

 
 
 
2,745

 
Total available-for-sale securities
 

 
 
 
16,202

 
 
 
15,897

 
 
 

 
 
 
32,099

 
Mortgage loans of consolidated trusts
 

 
 
 
13,391

 
 
 
1,871

 
 
 

 
 
 
15,262

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
7,068

 
 
 
97

 
 
 

 
 
 
7,165

 
Swaptions
 

 
 
 
161

 
 
 

 
 
 

 
 
 
161

 
Other
 

 
 
 

 
 
 
26

 
 
 

 
 
 
26

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(6,202
)
 
 
 
(6,202
)
 
Mortgage commitment derivatives
 

 
 
 
104

 
 
 
2

 
 
 

 
 
 
106

 
Total other assets
 

 
 
 
7,333

 
 
 
125

 
 
 
(6,202
)
 
 
 
1,256

 
Total assets at fair value
 
$
17,757

 
 
 
$
46,885

 
 
 
$
21,021

 
 
 
$
(6,202
)
 
 
 
$
79,461

 

 
 
Fair Value Measurements as of September 30, 2014
 
 
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 floating
 
$

 
 
 
$
4,868

 
 
 
$
336

 
 
 
$

 
 
 
$
5,204

 
Total of Fannie Mae
 

 
 
 
4,868

 
 
 
336

 
 
 

 
 
 
5,204

 
Of consolidated trusts
 

 
 
 
16,110

 
 
 
488

 
 
 

 
 
 
16,598

 
Total long-term debt
 

 
 
 
20,978

 
 
 
824

 
 
 

 
 
 
21,802

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
8,315

 
 
 
123

 
 
 

 
 
 
8,438

 
Swaptions
 

 
 
 
894

 
 
 

 
 
 

 
 
 
894

 
Other
 

 
 
 

 
 
 
1

 
 
 

 
 
 
1

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(9,040
)
 
 
 
(9,040
)
 
Mortgage commitment derivatives
 

 
 
 
140

 
 
 
10

 
 
 

 
 
 
150

 
Total other liabilities
 

 
 
 
9,349

 
 
 
134

 
 
 
(9,040
)
 
 
 
443

 
Total liabilities at fair value
 
$

 
 
 
$
30,327

 
 
 
$
958

 
 
 
$
(9,040
)
 
 
 
$
22,245

 

 
 
Fair Value Measurements as of December 31, 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)
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
 
$

 
 
 
$
5,828

 
 
 
$
42

 
 
 
$

 
 
 
$
5,870

 
Freddie Mac
 

 
 
 
1,837

 
 
 
2

 
 
 

 
 
 
1,839

 
Ginnie Mae
 

 
 
 
407

 
 
 

 
 
 

 
 
 
407

 
Alt-A private-label securities
 

 
 
 
898

 
 
 
618

 
 
 

 
 
 
1,516

 
Subprime private-label securities
 

 
 
 

 
 
 
1,448

 
 
 

 
 
 
1,448

 
CMBS
 

 
 
 
2,718

 
 
 

 
 
 

 
 
 
2,718

 
Mortgage revenue bonds
 

 
 
 

 
 
 
565

 
 
 

 
 
 
565

 
Other
 

 
 
 

 
 
 
99

 
 
 

 
 
 
99

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
16,306

 
 
 

 
 
 

 
 
 

 
 
 
16,306

 
Total trading securities
 
16,306

 
 
 
11,688

 
 
 
2,774

 
 
 

 
 
 
30,768

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

 
 
 
6,566

 
 
 
7

 
 
 

 
 
 
6,573

 
Freddie Mac
 

 
 
 
6,834

 
 
 
8

 
 
 

 
 
 
6,842

 
Ginnie Mae
 

 
 
 
588

 
 
 

 
 
 

 
 
 
588

 
Alt-A private-label securities
 

 
 
 
3,558

 
 
 
3,791

 
 
 

 
 
 
7,349

 
Subprime private-label securities
 

 
 
 

 
 
 
7,068

 
 
 

 
 
 
7,068

 
CMBS
 

 
 
 
1,606

 
 
 

 
 
 

 
 
 
1,606

 
Mortgage revenue bonds
 

 
 
 
3

 
 
 
5,253

 
 
 

 
 
 
5,256

 
Other
 

 
 
 
4

 
 
 
2,885

 
 
 

 
 
 
2,889

 
Total available-for-sale securities
 

 
 
 
19,159

 
 
 
19,012

 
 
 

 
 
 
38,171

 
Mortgage loans of consolidated trusts
 

 
 
 
11,564

 
 
 
2,704

 
 
 

 
 
 
14,268

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
9,604

 
 
 
36

 
 
 

 
 
 
9,640

 
Swaptions
 

 
 
 
561

 
 
 
1

 
 
 

 
 
 
562

 
Other
 

 
 
 

 
 
 
28

 
 
 

 
 
 
28

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(8,422
)
 
 
 
(8,422
)
 
Mortgage commitment derivatives
 

 
 
 
265

 
 
 

 
 
 

 
 
 
265

 
Total other assets
 

 
 
 
10,430

 
 
 
65

 
 
 
(8,422
)
 
 
 
2,073

 
Total assets at fair value
 
$
16,306

 
 
 
$
52,841

 
 
 
$
24,555

 
 
 
$
(8,422
)
 
 
 
$
85,280

 

 
 
Fair Value Measurements as of December 31, 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
 
$

 
 
 
$
353

 
 
 
$

 
 
 
$

 
 
 
$
353

 
Senior floating
 

 
 
 

 
 
 
955

 
 
 

 
 
 
955

 
Total of Fannie Mae
 

 
 
 
353

 
 
 
955

 
 
 

 
 
 
1,308

 
Of consolidated trusts
 

 
 
 
14,458

 
 
 
518

 
 
 

 
 
 
14,976

 
Total long-term debt
 

 
 
 
14,811

 
 
 
1,473

 
 
 

 
 
 
16,284

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
9,444

 
 
 
96

 
 
 

 
 
 
9,540

 
Swaptions
 

 
 
 
1,084

 
 
 

 
 
 

 
 
 
1,084

 
Other
 

 
 
 

 
 
 
1

 
 
 

 
 
 
1

 
 Netting adjustment
 

 
 
 

 
 
 

 
 
 
(9,370
)
 
 
 
(9,370
)
 
Mortgage commitment derivatives
 

 
 
 
206

 
 
 
8

 
 
 

 
 
 
214

 
Total other liabilities
 

 
 
 
10,734

 
 
 
105

 
 
 
(9,370
)
 
 
 
1,469

 
Total liabilities at fair value
 
$

 
 
 
$
25,545

 
 
 
$
1,578

 
 
 
$
(9,370
)
 
 
 
$
17,753

 
__________
(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.
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, 2014 and 2013. 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, 2014 and 2013. 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, 2014
 
 
 
Total Gains or (Losses)
 (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2014(5)
 
Balance, June 30, 2014
 
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, 2014
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$

 
$

 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$
325

 
$
325

 
 
$

 
  Alt-A private-label securities
643

 
2

 
 

 
 

 

 

 
(21
)
 
(16
)
 
87

 
695

 
 
3

 
Subprime private-label securities
1,282

 
66

 
 

 
 

 

 

 
(32
)
 

 

 
1,316

 
 
66

 
Mortgage revenue bonds
643

 
53

 
 

 
 

 

 

 
(3
)
 

 

 
693

 
 
46

 
    Other
101

 
1

 
 

 
 

 

 

 
(3
)
 

 

 
99

 
 
1

 
Total trading securities
$
2,669

 
$
122

 
 
$

 
 
$

 
$

 
$

 
$
(59
)
 
$
(16
)
 
$
412

 
$
3,128

 
 
$
116

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
2

 
$

 
 
$

 
 
$

 
$

 
$

 
$

 
$
(2
)
 
$

 
$

 
 
$

 
Freddie Mac
9

 

 
 

 
 

 

 

 
(1
)
 
(2
)
 

 
6

 
 

 
  Alt-A private-label securities
3,717

 
15

 
 
(60
)
 
 

 

 

 
(111
)
 
(333
)
 
268

 
3,496

 
 

 
  Subprime private-label securities
5,705

 
87

 
 
89

 
 

 
(317
)
 

 
(178
)
 

 

 
5,386

 
 

 
  Mortgage revenue bonds
4,560

 
(4
)
 
 
200

 
 

 
(12
)
 

 
(478
)
 

 

 
4,266

 
 

 
    Other
2,817

 
11

 
 
(3
)
 
 

 

 

 
(82
)
 

 

 
2,743

 
 

 
Total available-for-sale securities
$
16,810

 
$
109

 
 
$
226

 
 
$

 
$
(329
)
 
$

 
$
(850
)
 
$
(337
)
 
$
268

 
$
15,897

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,531

 
$
116

 
 
$

 
 
$
3

 
$

 
$

 
$
(93
)
 
$
(750
)
 
$
64

 
$
1,871

 
 
$
(13
)
 
Net derivatives
20

 
(25
)
 
 

 
 

 

 

 
(9
)
 

 
5

 
(9
)
 
 
(9
)
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(325
)
 
$
(10
)
 
 
$

 
 
$

 
$

 
$

 
$
(1
)
 
$

 
$

 
$
(336
)
 
 
$
(11
)
 
Of consolidated trusts
(498
)
 
(14
)
 
 

 
 

 

 

 
16

 
34

 
(26
)
 
(488
)
 
 
(14
)
 
Total long-term debt
$
(823
)
 
$
(24
)
 
 
$

 
 
$

 
$

 
$

 
$
15

 
$
34

 
$
(26
)
 
$
(824
)
 
 
$
(25
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Nine Months Ended September 30, 2014
 
 
 
Total (Losses) or Gains (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2014(5)
 
Balance, December 31, 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, 2014
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
42

 
$
(1
)
 
 
$

 
 
$

 
$

 
$

 
$
(2
)
 
$
(39
)
 
$
325

 
$
325

 
 
$

 
Freddie Mac
2

 

 
 

 
 

 

 

 

 
(2
)
 

 

 
 

 
  Alt-A private-label securities
618

 
105

 
 

 
 

 
(23
)
 

 
(59
)
 
(159
)
 
213

 
695

 
 
100

 
Subprime private-label securities
1,448

 
245

 
 

 
 

 
(241
)
 

 
(136
)
 

 

 
1,316

 
 
209

 
Mortgage revenue bonds
565

 
137

 
 

 
 

 

 

 
(9
)
 

 

 
693

 
 
130

 
    Other
99

 
10

 
 

 
 

 

 

 
(10
)
 

 

 
99

 
 
10

 
Total trading securities
$
2,774

 
$
496

 
 
$

 
 
$

 
$
(264
)
 
$

 
$
(216
)
 
$
(200
)
 
$
538

 
$
3,128

 
 
$
449

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
7

 
$

 
 
$

 
 
$

 
$

 
$

 
$
(1
)
 
$
(8
)
 
$
2

 
$

 
 
$

 
Freddie Mac
8

 

 
 

 
 

 

 

 
(1
)
 
(2
)
 
1

 
6

 
 

 
  Alt-A private-label securities
3,791

 
131

 
 
(11
)
 
 

 
(320
)
 

 
(310
)
 
(1,207
)
 
1,422

 
3,496

 
 

 
  Subprime private-label securities
7,068

 
388

 
 
270

 
 

 
(1,666
)
 

 
(674
)
 

 

 
5,386

 
 

 
  Mortgage revenue bonds
5,253

 
(31
)
 
 
480

 
 

 
(70
)
 

 
(1,366
)
 

 

 
4,266

 
 

 
    Other
2,885

 
17

 
 
92

 
 

 

 

 
(251
)
 

 

 
2,743

 
 

 
Total available-for-sale securities
$
19,012

 
$
505

 
 
$
831

 
 
$

 
$
(2,056
)
 
$

 
$
(2,603
)
 
$
(1,217
)
 
$
1,425

 
$
15,897

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,704

 
$
243

 
 
$

 
 
$
34

 
$

 
$

 
$
(259
)
 
$
(1,063
)
 
$
212

 
$
1,871

 
 
$
49

 
Net derivatives
(40
)
 
52

 
 

 
 

 

 

 
(25
)
 
(1
)
 
5

 
(9
)
 
 
14

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(955
)
 
$
(115
)
 
 
$

 
 
$

 
$

 
$
(750
)
 
$
19

 
$
1,465

 
$

 
$
(336
)
 
 
$
(70
)
 
Of consolidated trusts
(518
)
 
(48
)
 
 

 
 

 

 
(1
)
 
51

 
100

 
(72
)
 
(488
)
 
 
(45
)
 
Total long-term debt
$
(1,473
)
 
$
(163
)
 
 
$

 
 
$

 
$

 
$
(751
)
 
$
70

 
$
1,565

 
$
(72
)
 
$
(824
)
 
 
$
(115
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Three Months Ended September 30, 2013
 
 
 
Total (Losses) or Gains or (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 or (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

 
__________
(1) 
Gains (losses) 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 private-label mortgage-related securities backed by Alt-A loans, mortgage loans of consolidated trusts and credit risk sharing securities issued under our Connecticut Avenue Securities series. Prices for these securities were obtained from multiple third-party vendors or dealers 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, 2014 and 2013, 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, 2014
 
 
Interest Income
 
Fair Value Gains, net
 
Net OTTI
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income
 
$
79

 
 
 
$
185

 
 
 
$
(5
)
 
 
 
$
39

 
 
 
$
298

 
Net unrealized gains related to Level 3 assets and liabilities still held as of September 30, 2014
 
$

 
 
 
$
69

 
 
 
$

 
 
 
$

 
 
 
$
69

 

 
 
For the Nine Months Ended September 30, 2014
 
 
Interest Income
 
Fair Value Gains, net
 
Net OTTI
 
Other
 
Total
 
 
(Dollars in millions)
 
Total realized and unrealized gains (losses) included in net income
 
$
219

 
 
 
$
620

 
 
 
$
(69
)
 
 
 
$
363

 
 
 
$
1,133

 
Net unrealized gains related to Level 3 assets and liabilities still held as of September 30, 2014
 
$

 
 
 
$
397

 
 
 
$

 
 
 
$

 
 
 
$
397

 

 
 
For the Three Months Ended September 30, 2013
 
 
Interest Income
 
Fair Value Gains, net
 
Net OTTI
 
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 OTTI
 
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

 
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 loans for impairment) as of September 30, 2014 and December 31, 2013.
 
 
Fair Value Measurements as of September 30, 2014
 
 
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
 
$

 
 
 
$
87

 
 
 
$
151

 
 
 
$
238

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

 
 
 

 
 
 
16,771

 
 
 
16,771

 
Of consolidated trusts
 

 
 
 

 
 
 
56

 
 
 
56

 
Multifamily mortgage loans held for investment, at amortized cost
 

 
 
 

 
 
 
747

 
 
 
747

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 

 
 
 

 
 
 
4,544

 
 
 
4,544

 
Multifamily
 

 
 
 

 
 
 
157

 
 
 
157

 
Other assets
 

 
 
 

 
 
 
39

 
 
 
39

 
Total nonrecurring fair value measurements
 
$

 
 
 
$
87

 
 
 
$
22,465

 
 
 
$
22,552

 

 
 
Fair Value Measurements as of December 31, 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)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale, at lower of cost or fair value
 
$

 
 
 
$
101

 
 
 
$
132

 
 
 
$
233

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

 
 
 

 
 
 
19,966

 
 
 
19,966

 
Of consolidated trusts
 

 
 
 

 
 
 
79

 
 
 
79

 
Multifamily mortgage loans held for investment, at amortized cost
 

 
 
 

 
 
 
1,533

 
 
 
1,533

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 

 
 
 

 
 
 
4,041

 
 
 
4,041

 
Multifamily
 

 
 
 

 
 
 
98

 
 
 
98

 
Other assets
 

 
 
 

 
 
 
121

 
 
 
121

 
Total nonrecurring fair value measurements
 
$

 
 
 
$
101

 
 
 
$
25,970

 
 
 
$
26,071

 
_________
(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 table displays 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, 2014 and December 31, 2013.
 
 
Fair Value Measurements as of September 30, 2014
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
 
$
98

 
Single Vendor
 
Prepayment Speed (%)
 
100.0
 
100.0

 
 
 
 
 
 
 
Spreads (bps)
 
47.3

-
153.2
 
114.9

 
 
 
56

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
136

 
Consensus
 
Prepayment Speed (%)
 
100.0
 
100.0

 
 
 
 
 
 
 
Spreads (bps)
 
4.1

-
199.1
 
31.8

 
 
 
34

 
Discounted Cash Flow
 
Prepayment Speed (%)
 
100.0
 
100.0

 
 
 
 
 
 
 
Spreads (bps)
 
128.8
 
128.8

 
 
 
1

 
Other
 
 
 
 
 
 
 
 
 
Total Agency
 
325

 
 
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
$
70

 
Single Vendor
 
Default Rate (%)
 
7.2

-
15.9
 
9.5

 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.6

-
4.2
 
3.5

 
 
 
 
 
 
 
Severity (%)
 
31.0

-
78.8
 
43.4

 
 
 
 
 
 
 
Spreads (bps)
 
242.7

-
253.3
 
250.6

 
 
 
127

 
Consensus
 
Default Rate (%)
 
4.2

-
13.4
 
5.3

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.2

-
21.4
 
4.5

 
 
 
 
 
 
 
Severity (%)
 
39.2

-
57.2
 
41.4

 
 
 
 
 
 
 
Spreads (bps)
 
220.0

-
246.0
 
240.2

 
 
 
353

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
110

 
Discounted Cash Flow
 
Default Rate (%)
 
8.0
 
8.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.0
 
2.0

 
 
 
 
 
 
 
Severity (%)
 
69.4
 
69.4

 
 
 
 
 
 
 
Spreads (bps)
 
288.7
 
288.7

 
 
 
35

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
695

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(3)
 
539

 
Consensus
 
Default Rate (%)
 
1.7

-
9.1
 
5.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.2

-
5.5
 
2.4

 
 
 
 
 
 
 
Severity (%)
 
34.6

-
94.3
 
79.0

 
 
 
 
 
 
 
Spreads (bps)
 
245.0
 
245.0

 
 
 
229

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
147

 
Discounted Cash Flow
 
Default Rate (%)
 
1.5
 
1.5

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.2
 
2.2

 
 
 
 
 
 
 
Severity (%)
 
62.0
 
62.0

 
 
 
 
 
 
 
Spreads (bps)
 
245.0
 
245.0

 
 
 
401

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
1,316

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
672

 
Discounted Cash Flow
 
Spreads (bps)
 
20.9

-
300.0
 
254.6

 
 
 
21

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
693

 
 
 
 
 
 
 
 
 
 
 
Other
 
99

 
Discounted Cash Flow
 
Spreads (bps)
 
445.0
 
445.0

 
Total trading securities
 
$
3,128

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements as of September 30, 2014
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
 
$
6

 
Other
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
353

 
Single Vendor
 
Default Rate (%)
 
1.9

-
24.1
 
5.1

 
 
 
 
 
 
 
Prepayment Speed (%)
 
4.1

-
11.6
 
7.8

 
 
 
 
 
 
 
Severity (%)
 
20.4

-
95.0
 
54.4

 
 
 
 
 
 
 
Spreads (bps)
 
154.2

-
295.0
 
223.8

 
 
 
1,242

 
Consensus
 
Default Rate (%)
 
0.1

-
28.5
 
5.7

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.2

-
37.9
 
11.3

 
 
 
 
 
 
 
Severity (%)
 
13.5

-
95.0
 
67.1

 
 
 
 
 
 
 
Spreads (bps)
 
129.2

-
350.0
 
215.7

 
 
 
915

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
467

 
Discounted Cash Flow
 
Default Rate (%)
 
1.5

-
13.5
 
3.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.5

-
8.4
 
7.1

 
 
 
 
 
 
 
Severity (%)
 
26.5

-
92.8
 
48.0

 
 
 
 
 
 
 
Spreads (bps)
 
200.0

-
320.0
 
253.3

 
 
 
519

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
3,496

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(3)
 
337

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
3,187

 
Consensus
 
Default Rate (%)
 
1.9

-
33.2
 
6.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.2

-
14.4
 
2.8

 
 
 
 
 
 
 
Severity (%)
 
39.7

-
95.0
 
82.8

 
 
 
 
 
 
 
Spreads (bps)
 
135.0

-
245.0
 
197.7

 
 
 
1,095

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
253

 
Discounted Cash Flow
 
Default Rate (%)
 
2.5

-
7.5
 
6.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.4

-
8.4
 
2.3

 
 
 
 
 
 
 
Severity (%)
 
64.9

-
95.0
 
70.4

 
 
 
 
 
 
 
Spreads (bps)
 
135.0

-
250.0
 
217.8

 
 
 
514

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
5,386

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
1,728

 
Single Vendor
 
Spreads (bps)
 
3.5

-
378.6
 
61.0

 
 
 
557

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
1,963

 
Discounted Cash Flow
 
Spreads (bps)
 
3.5

-
604.6
 
244.6

 
 
 
18

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
4,266

 
 
 
 
 
 
 
 
 
 
 
Other
 
666

 
Consensus
 
Default Rate (%)
 
0.0

-
8.5
 
4.3

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0

-
10.5
 
4.0

 
 
 
 
 
 
 
Severity (%)
 
0.5

-
85.0
 
60.1

 
 
 
 
 
 
 
Spreads (bps)
 
195.0

-
484.3
 
310.2

 
 
 
558

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
632

 
Discounted Cash Flow
 
Default Rate (%)
 
3.0

-
5.0
 
4.9

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.1

-
3.0
 
2.9

 
 
 
 
 
 
 
Severity (%)
 
33.9

-
85.0
 
81.5

 
 
 
 
 
 
 
Spreads (bps)
 
220.0

-
431.0
 
383.3

 
 
 
887

 
Other
 
 
 
 
 
 
 
 
 
Total Other
 
2,743

 
 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
 
$
15,897

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements as of September 30, 2014
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Mortgage loans of consolidated trusts:
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 
$
972

 
Build-Up
 
Default Rate (%)
 
0.0

-
98.0
 
15.2

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.5

-
99.3
 
14.8

 
 
 
 
 
 
 
Severity (%)
 
3.7

-
95.0
 
23.3

 
 
 
260

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
409

 
Discounted Cash Flow
 
Default Rate (%)
 
1.2

-
14.6
 
5.8

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.8

-
29.7
 
9.7

 
 
 
 
 
 
 
Severity (%)
 
44.4

-
95.0
 
69.9

 
 
 
 
 
 
 
Spreads (bps)
 
135.0

-
500.0
 
225.2

 
 
 
52

 
Other
 
 
 
 
 
 
 
 
 
Total single-family
 
1,693

 
 
 
 
 
 
 
 
 
 
 
Multifamily
 
178

 
Build-Up
 
Spreads (bps)
 
49.0

-
285.4
 
116.5

 
Total mortgage loans of consolidated trusts
 
$
1,871

 
 
 
 
 
 
 
 
 
 
 
Net derivatives
 
$
(96
)
 
Internal Model
 
 
 
 
 
 
 
 
 
 
 
95

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
(8
)
 
Other
 
 
 
 
 
 
 
 
 
Total net derivatives
 
$
(9
)
 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$
(336
)
 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
Total of Fannie Mae
 
(336
)
 
 
 
 
 
 
 
 
 
 
 
Of consolidated trusts
 
(208
)
 
Consensus
 
 
 
 
 
 
 
 
 
 
 
(84
)
 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
(142
)
 
Discounted Cash Flow
 
Default Rate (%)
 
1.3

-
12.8
 
3.7

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.8

-
100.0
 
15.5

 
 
 
 
 
 
 
Severity (%)
 
44.4

-
95.0
 
66.0

 
 
 
 
 
 
 
Spreads (bps)
 
100.3

-
500.0
 
239.1

 
 
 
(54
)
 
Other
 
 
 
 
 
 
 
 
 
Total of consolidated trusts
 
(488
)
 
 
 
 
 
 
 
 
 
 
 
Total long-term debt
 
$
(824
)
 
 
 
 
 
 
 
 
 
 
 

 
 
Fair Value Measurements as of December 31, 2013
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Recurring fair value measurements:
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
 
$
44

 
Other
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
60

 
Single Vendor
 
Default Rate (%)
 
6.0
-
10.8
 
8.7
 
 
 
 
 
 
 
Prepayment Speed (%)
 
4.1
-
5.4
 
4.6
 
 
 
 
 
 
 
Severity (%)
 
76.1
-
92.7
 
83.1
 
 
 
 
 
 
 
Spreads (bps)
 
414.3
-
421.7
 
417.5
 
 
 
325

 
Consensus
 
Default Rate (%)
 
6.9
-
10.4
 
8.9
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.9
-
2.5
 
2.2
 
 
 
 
 
 
 
Severity (%)
 
77.3
-
97.8
 
88.7
 
 
 
 
 
 
 
Spreads (bps)
 
298.3
-
420.2
 
366.3
 
 
 
85

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
148

 
Discounted Cash Flow
 
Default Rate (%)
 
4.0
-
6.9
 
6.5
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.9
-
3.4
 
2.2
 
 
 
 
 
 
 
Severity (%)
 
42.7
-
77.3
 
67.6
 
 
 
 
 
 
 
Spreads (bps)
 
325.4
-
439.4
 
418.6
 
Total Alt-A private-label securities
 
618

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(3)
 
113

 
Single Vendor
 
Default Rate (%)
 
3.1
-
7.5
 
3.9
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.8
-
2.5
 
2.0
 
 
 
 
 
 
 
Severity (%)
 
75.0
-
87.2
 
75.8
 
 
 
 
 
 
 
Spreads (bps)
 
325.0
 
325.0
 
 
 
77

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
400

 
Consensus
 
Default Rate (%)
 
3.0
-
9.2
 
6.4
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.4
-
2.2
 
1.9
 
 
 
 
 
 
 
Severity (%)
 
50.4
-
87.2
 
74.4
 
 
 
 
 
 
 
Spreads (bps)
 
325.0
-
425.0
 
353.0
 
 
 
808

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
50

 
Discounted Cash Flow
 
Default Rate (%)
 
6.9
 
6.9
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
 
0.1
 
 
 
 
 
 
 
Severity (%)
 
75.0
 
75.0
 
 
 
 
 
 
 
Spreads (bps)
 
325.0
 
325.0
 
Total subprime private-label securities
 
1,448

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
539

 
Discounted Cash Flow
 
Spreads (bps)
 
35.0
-
440.0
 
340.6
 
 
 
26

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
565

 
 
 
 
 
 
 
 
 
 
 
Other
 
99

 
Discounted Cash Flow
 
Spreads (bps)
 
525.0
 
525.0
 
Total trading securities
 
$
2,774

 
 
 
 
 
 
 
 
 
 
 



 
 
Fair Value Measurements as of December 31, 2013
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency(2)
 
$
15

 
Other
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
139

 
Single Vendor
 
Default Rate (%)
 
0.9
-
6.4
 
3.9
 
 
 
 
 
 
 
Prepayment Speed (%)
 
9.3
-
11.9
 
11.3
 
 
 
 
 
 
 
Severity (%)
 
53.7
-
82.6
 
68.8
 
 
 
 
 
 
 
Spreads (bps)
 
300.0
-
400.0
 
349.3
 
 
 
435

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
1,948

 
Consensus
 
Default Rate (%)
 
0.1
-
10.3
 
3.5
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
32.9
 
9.9
 
 
 
 
 
 
 
Severity (%)
 
7.2
-
100.0
 
62.3
 
 
 
 
 
 
 
Spreads (bps)
 
210.6
-
404.2
 
336.7
 
 
 
740

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
420

 
Discounted Cash Flow
 
Default Rate (%)
 
2.3
-
10.1
 
5.1
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.2
-
7.0
 
3.4
 
 
 
 
 
 
 
Severity (%)
 
45.2
-
79.5
 
60.5
 
 
 
 
 
 
 
Spreads (bps)
 
220.2
-
500.0
 
381.3
 
 
 
109

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
3,791

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(3)
 
442

 
Single Vendor
 
Default Rate (%)
 
1.8
-
11.0
 
7.4
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.0
-
9.4
 
2.0
 
 
 
 
 
 
 
Severity (%)
 
65.0
-
100.0
 
82.2
 
 
 
 
 
 
 
Spreads (bps)
 
275.0
-
375.0
 
315.2
 
 
 
322

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
2,981

 
Consensus
 
Default Rate (%)
 
0.0
-
36.8
 
7.4
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.3
-
9.7
 
2.3
 
 
 
 
 
 
 
Severity (%)
 
36.8
-
100.0
 
81.7
 
 
 
 
 
 
 
Spreads (bps)
 
175.0
-
375.0
 
319.9
 
 
 
2,442

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
816

 
Discounted Cash Flow
 
Default Rate (%)
 
0.7
-
7.6
 
5.1
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.2
-
12.5
 
4.1
 
 
 
 
 
 
 
Severity (%)
 
43.8
-
98.0
 
79.5
 
 
 
 
 
 
 
Spreads (bps)
 
175.0
-
375.0
 
292.4
 
 
 
65

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
7,068

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
1,937

 
Single Vendor
 
Spreads (bps)
 
0.0
-
463.2
 
112.1
 
 
 
1,386

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
1,899

 
Discounted Cash Flow
 
Spreads (bps)
 
5.5
-
490.0
 
310.0
 
 
 
31

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
5,253

 
 
 
 
 
 
 
 
 
 
 
Other
 
122

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
483

 
Consensus
 
Default Rate (%)
 
0.1
-
5.0
 
5.0
 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
11.4
 
3.0
 
 
 
 
 
 
 
Severity (%)
 
65.0
-
85.0
 
84.6
 
 
 
 
 
 
 
Spreads (bps)
 
275.0
-
925.0
 
526.4
 
 
 
625

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
610

 
Discounted Cash Flow
 
Default Rate (%)
 
5.0
 
5.0
 
 
 
 
 
 
 
Prepayment Speed (%)
 
10.0
 
10.0
 
 
 
 
 
 
 
Severity (%)
 
55.0
 
55.0
 
 
 
 
 
 
 
Spreads (bps)
 
300.0
-
511.0
 
469.5
 
 
 
1,045

 
Other
 
 
 
 
 
 
 
 
 
Total other
 
2,885

 
 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
 
$
19,012

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements as of December 31, 2013
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Mortgage loans of consolidated trusts:
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 
$
1,828

 
Build-Up
 
Default Rate (%)
 
0.1

-
95.6
 
15.7

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.3

-
37.6
 
14.1

 
 
 
 
 
 
 
Severity (%)
 
0.0

-
100.0
 
26.6

 
 
 
219

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
112

 
Consensus
 
Default Rate (%)
 
1.1

-
4.7
 
3.2

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.2

-
16.7
 
15.2

 
 
 
 
 
 
 
Severity (%)
 
63.9

-
89.5
 
85.6

 
 
 
 
 
 
 
Spreads (bps)
 
175.0

-
950.0
 
293.9

 
 
 
310

 
Discounted Cash Flow
 
Default Rate (%)
 
1.2

-
15.7
 
7.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.9

-
16.7
 
7.0

 
 
 
 
 
 
 
Severity (%)
 
58.8

-
97.7
 
75.5

 
 
 
 
 
 
 
Spreads (bps)
 
175.0

-
360.6
 
252.1

 
 
 
60

 
Other
 
 
 
 
 
 
 
 
 
Total single-family
 
2,529

 
 
 
 
 
 
 
 
 
 
 
Multifamily
 
175

 
Build-Up
 
Spreads (bps)
 
62.0

-
243.4
 
114.3

 
Total mortgage loans of consolidated trusts
 
$
2,704

 
 
 
 
 
 
 
 
 
 
 
Net derivatives
 
$
(64
)
 
Internal Model
 
 
 
 
 
 
 
 
 
 
 
32

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
(8
)
 
Other
 
 
 
 
 
 
 
 
 
Total net derivatives
 
$
(40
)
 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$
(266
)
 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
 
 
(689
)
 
Consensus
 
Default Rate (%)
 
0.2
 
0.2

 
 
 
 
 
 
 
Prepayment Speed (%)
 
8.4
 
8.4

 
 
 
 
 
 
 
Spreads (bps)
 
171.000

-
438.000

 
306.2

 
Total of Fannie Mae
 
(955
)
 
 
 
 
 
 
 
 
 
 
 
Of consolidated trusts
 
(227
)
 
Consensus
 
 
 
 
 
 
 
 
 
 
 
(116
)
 
Consensus
 
Default Rate (%)
 
1.1

-
4.7
 
3.2

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.2

-
16.7
 
15.2

 
 
 
 
 
 
 
Severity (%)
 
63.9

-
89.5
 
85.6

 
 
 
 
 
 
 
Spreads (bps)
 
175.0

-
950.0
 
295.1

 
 
 
(80
)
 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
(95
)
 
Other
 
 
 
 
 
 
 
 
 
Total of consolidated trusts
 
(518
)
 
 
 
 
 
 
 
 
 
 
 
Total long-term debt
 
$
(1,473
)
 
 
 
 
 
 
 
 
 
 
 
_________
(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 and Freddie Mac securities.
(3) 
Default Rate as disclosed represents the estimated beginning annualized rate of default and is used as a basis to forecast the future default rates that serve as an input for valuation.
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, 2014 and December 31, 2013. 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 Measurements
as of
 
Valuation Techniques
 
September 30, 2014
 
December 31, 2013
 
 
 
 
(Dollars in millions)
 
Nonrecurring fair value measurements:
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale, at lower of cost or fair value
Consensus
 
 
$
113

 
 
 
$
132

 
 
Build-Up
 
 
38

 
 
 

 
Total mortgage loans held for sale, at lower of cost or fair value
 
 
 
151

 
 
 
132

 
Single-family mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
 
 
 
Of Fannie Mae
Internal Model
 
 
16,771

 
 
 
19,966

 
Of consolidated trusts
Internal Model
 
 
56

 
 
 
79

 
Multifamily mortgage loans held for investment, at amortized cost
Appraisals
 
 
16

 
 
 
39

 
 
Broker Price Opinions
 
 
100

 
 
 
248

 
 
Asset Manager Estimate
 
 
631

 
 
 
1,230

 
 
Other
 
 

 
 
 
16

 
Total multifamily mortgage loans held for investment, at amortized cost
 
 
 
747

 
 
 
1,533

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
Single-family
Accepted Offers
 
 
845

 
 
 
691

 
 
Appraisals
 
 
1,611

 
 
 
1,077

 
 
Walk Forwards
 
 
1,054

 
 
 
1,106

 
 
Internal Model
 
 
909

 
 
 
1,049

 
 
Other
 
 
125

 
 
 
118

 
Total single-family
 
 
 
4,544

 
 
 
4,041

 
Multifamily
Accepted Offers
 
 
5

 
 
 
24

 
 
Appraisals
 
 
66

 
 
 
65

 
 
Broker Price Opinions
 
 
86

 
 
 
9

 
Total multifamily
 
 
 
157

 
 
 
98

 
Other assets
Appraisals
 
 
2

 
 
 
26

 
 
Internal Model
 
 
32

 
 
 
81

 
 
Other
 
 
5

 
 
 
14

 
Total other assets
 
 
 
39

 
 
 
121

 
Total nonrecurring assets at fair value
 
 
 
$
22,465

 
 
 
$
25,970

 
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, 2014 and December 31, 2013. 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, 2014
 
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
$
44,847

 
$
34,347

 
$
10,500

 
$

 
$

 
$
44,847

Federal funds sold and securities purchased under agreements to resell or similar arrangements
29,450

 

 
29,450

 

 

 
29,450

Trading securities
30,844

 
17,757

 
9,959

 
3,128

 

 
30,844

Available-for-sale securities
32,099

 

 
16,202

 
15,897

 

 
32,099

Mortgage loans held for sale
368

 

 
164

 
210

 

 
374

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
244,399

 

 
30,689

 
218,495

 

 
249,184

Of consolidated trusts
2,765,436

 

 
2,625,535

 
170,704

 

 
2,796,239

Mortgage loans held for investment
3,009,835

 

 
2,656,224

 
389,199

 

 
3,045,423

Advances to lenders
4,881

 

 
4,381

 
483

 

 
4,864

Derivative assets at fair value
1,256

 

 
7,333

 
125

 
(6,202
)
 
1,256

Guaranty assets and buy-ups
223

 

 

 
676

 

 
676

Total financial assets
$
3,153,803

 
$
52,104

 
$
2,734,213

 
$
409,718

 
$
(6,202
)
 
$
3,189,833

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
$
97,399

 
$

 
$
97,420

 
$

 
$

 
$
97,420

    Of consolidated trusts
1,804

 

 

 
1,804

 

 
1,804

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
377,553

 

 
387,920

 
942

 

 
388,862

    Of consolidated trusts
2,724,724

 

 
2,752,301

 
16,457

 

 
2,768,758

Derivative liabilities at fair value
443

 

 
9,349

 
134

 
(9,040
)
 
443

Guaranty obligations
404

 

 

 
1,811

 

 
1,811

Total financial liabilities
$
3,202,327

 
$

 
$
3,246,990

 
$
21,148

 
$
(9,040
)
 
$
3,259,098


 
As of December 31, 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
$
48,223

 
$
36,633

 
$
11,590

 
$

 
$

 
$
48,223

Federal funds sold and securities purchased under agreements to resell or similar arrangements
38,975

 

 
38,975

 

 

 
38,975

Trading securities
30,768

 
16,306

 
11,688

 
2,774

 

 
30,768

Available-for-sale securities
38,171

 

 
19,159

 
19,012

 

 
38,171

Mortgage loans held for sale
380

 

 
185

 
195

 

 
380

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
259,638

 

 
29,920

 
215,960

 

 
245,880

Of consolidated trusts
2,766,222

 

 
2,569,747

 
176,395

 

 
2,746,142

Mortgage loans held for investment
3,025,860

 

 
2,599,667

 
392,355

 

 
2,992,022

Advances to lenders
3,727

 

 
3,165

 
523

 

 
3,688

Derivative assets at fair value
2,073

 

 
10,430

 
65

 
(8,422
)
 
2,073

Guaranty assets and buy-ups
267

 

 

 
706

 

 
706

Total financial assets
$
3,188,444

 
$
52,939

 
$
2,694,859

 
$
415,630

 
$
(8,422
)
 
$
3,155,006

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
$
72,295

 
$

 
$
72,304

 
$

 
$

 
$
72,304

    Of consolidated trusts
2,154

 

 

 
2,154

 

 
2,154

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
457,139

 

 
463,991

 
1,557

 

 
465,548

    Of consolidated trusts
2,702,935

 

 
2,684,224

 
13,362

 

 
2,697,586

Derivative liabilities at fair value
1,469

 

 
10,734

 
105

 
(9,370
)
 
1,469

Guaranty obligations
485

 

 

 
2,433

 

 
2,433

Total financial liabilities
$
3,236,477

 
$

 
$
3,231,253

 
$
19,611

 
$
(9,370
)
 
$
3,241,494

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, 2014 and December 31, 2013.
 
 
As of
 
 
 
September 30, 2014
 
 
 
December 31, 2013
 
 
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
 
$
15,262

 
 
 
$
5,204

 
 
 
$
16,598

 
 
 
$
14,268

 
 
 
$
1,308

 
 
 
$
14,976

 
Unpaid principal balance
 
14,829

 
 
 
5,188

 
 
 
15,229

 
 
 
14,440

 
 
 
1,290

 
 
 
13,988

 
__________
(1) 
Includes nonaccrual loans with a fair value of $215 million and $196 million as of September 30, 2014 and December 31, 2013, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of September 30, 2014 and December 31, 2013 was $67 million and $74 million, respectively. Includes loans that are 90 days or more past due with a fair value of $272 million and $288 million as of September 30, 2014 and December 31, 2013, respectively. The difference between unpaid principal balance and the fair value of these 90 or more days past due loans as of September 30, 2014 and December 31, 2013 was $74 million and $75 million, respectively.
(2) 
Includes interest-only debt instruments with no unpaid principal balance and a fair value of $120 million and $85 million as of September 30, 2014 and December 31, 2013, 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 (losses) gains, net” in our condensed consolidated statements of operations and comprehensive income for the three and nine months ended September 30, 2014 and 2013.
 
For the Three Months Ended September 30,
 
2014
 
2013
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
Loans
 
Long-Term Debt
 
Total (Losses) Gains
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
67

 
 
$
187

 
 
 
$
254

 
 
$
(94
)
 
 
$
1

 
 
 
$
(93
)
Other changes in fair value
(33
)
 
 
(27
)
 
 
 
(60
)
 
 
143

 
 
(138
)
 
 
 
5

Fair value (losses) gains, net
$
34

 
 
$
160

 
 
 
$
194

 
 
$
49

 
 
$
(137
)
 
 
 
$
(88
)

 
For the Nine Months Ended September 30,
 
2014
 
2013
 
Loans
 
Long-Term Debt
 
Total Gains
 
Loans
 
Long-Term Debt
 
Total Losses
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
92

 
 
$
60

 
 
 
$
152

 
 
$
(93
)
 
 
$
(2
)
 
 
 
$
(95
)
Other changes in fair value
461

 
 
(364
)
 
 
 
97

 
 
(563
)
 
 
267

 
 
 
(296
)
Fair value (losses) gains, net
$
553

 
 
$
(304
)
 
 
 
$
249

 
 
$
(656
)
 
 
$
265

 
 
 
$
(391
)