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Fair Value (Tables)
6 Months Ended
Jun. 30, 2015
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.
 
 
Fair Value Measurements as of June 30, 2015
 
 
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
 
$

 
 
 
$
5,079

 
 
 
$

 
 
 
$

 
 
 
$
5,079

 
Freddie Mac
 

 
 
 
1,537

 
 
 

 
 
 

 
 
 
1,537

 
Ginnie Mae
 

 
 
 
239

 
 
 

 
 
 

 
 
 
239

 
Alt-A private-label securities
 

 
 
 
150

 
 
 
325

 
 
 

 
 
 
475

 
Subprime private-label securities
 

 
 
 

 
 
 
718

 
 
 

 
 
 
718

 
CMBS
 

 
 
 
2,424

 
 
 

 
 
 

 
 
 
2,424

 
Mortgage revenue bonds
 

 
 
 

 
 
 
602

 
 
 

 
 
 
602

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
U.S. Treasury securities
 
23,790

 
 
 

 
 
 

 
 
 

 
 
 
23,790

 
Total trading securities
 
23,790

 
 
 
9,429

 
 
 
1,645

 
 
 

 
 
 
34,864

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
4,509

 
 
 
129

 
 
 

 
 
 
4,638

 
Freddie Mac
 

 
 
 
4,943

 
 
 
4

 
 
 

 
 
 
4,947

 
Ginnie Mae
 

 
 
 
435

 
 
 

 
 
 

 
 
 
435

 
Alt-A private-label securities
 

 
 
 
1,976

 
 
 
1,654

 
 
 

 
 
 
3,630

 
Subprime private-label securities
 

 
 
 

 
 
 
3,837

 
 
 

 
 
 
3,837

 
CMBS
 

 
 
 
1,344

 
 
 

 
 
 

 
 
 
1,344

 
Mortgage revenue bonds
 

 
 
 

 
 
 
3,171

 
 
 

 
 
 
3,171

 
Other
 

 
 
 
1

 
 
 
2,158

 
 
 

 
 
 
2,159

 
Total available-for-sale securities
 

 
 
 
13,208

 
 
 
10,953

 
 
 

 
 
 
24,161

 
Mortgage loans of consolidated trusts
 

 
 
 
13,386

 
 
 
1,595

 
 
 

 
 
 
14,981

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
5,134

 
 
 
122

 
 
 

 
 
 
5,256

 
Swaptions
 

 
 
 
53

 
 
 

 
 
 

 
 
 
53

 
Other
 

 
 
 

 
 
 
26

 
 
 

 
 
 
26

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(4,050
)
 
 
 
(4,050
)
 
Mortgage commitment derivatives
 

 
 
 
432

 
 
 
1

 
 
 

 
 
 
433

 
Total other assets
 

 
 
 
5,619

 
 
 
149

 
 
 
(4,050
)
 
 
 
1,718

 
Total assets at fair value
 
$
23,790

 
 
 
$
41,642

 
 
 
$
14,342

 
 
 
$
(4,050
)
 
 
 
$
75,724

 

 
 
Fair Value Measurements as of June 30, 2015
 
 
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
 
$

 
 
 
$
8,515

 
 
 
$
346

 
 
 
$

 
 
 
$
8,861

 
Total of Fannie Mae
 

 
 
 
8,515

 
 
 
346

 
 
 

 
 
 
8,861

 
Of consolidated trusts
 

 
 
 
22,392

 
 
 
493

 
 
 

 
 
 
22,885

 
Total long-term debt
 

 
 
 
30,907

 
 
 
839

 
 
 

 
 
 
31,746

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
7,692

 
 
 
120

 
 
 

 
 
 
7,812

 
Swaptions
 

 
 
 
334

 
 
 

 
 
 

 
 
 
334

 
Other
 

 
 
 

 
 
 
1

 
 
 

 
 
 
1

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(7,728
)
 
 
 
(7,728
)
 
Mortgage commitment derivatives
 

 
 
 
368

 
 
 
24

 
 
 

 
 
 
392

 
Total other liabilities
 

 
 
 
8,394

 
 
 
145

 
 
 
(7,728
)
 
 
 
811

 
Total liabilities at fair value
 
$

 
 
 
$
39,301

 
 
 
$
984

 
 
 
$
(7,728
)
 
 
 
$
32,557

 

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

 
 
 
$
4,635

 
 
 
$
305

 
 
 
$

 
 
 
$
4,940

 
Freddie Mac
 

 
 
 
1,369

 
 
 

 
 
 

 
 
 
1,369

 
Ginnie Mae
 

 
 
 
166

 
 
 

 
 
 

 
 
 
166

 
Alt-A private-label securities
 

 
 
 
323

 
 
 
597

 
 
 

 
 
 
920

 
Subprime private-label securities
 

 
 
 

 
 
 
1,307

 
 
 

 
 
 
1,307

 
CMBS
 

 
 
 
2,515

 
 
 

 
 
 

 
 
 
2,515

 
Mortgage revenue bonds
 

 
 
 

 
 
 
722

 
 
 

 
 
 
722

 
Other
 

 
 
 

 
 
 
99

 
 
 

 
 
 
99

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
19,466

 
 
 

 
 
 

 
 
 

 
 
 
19,466

 
Total trading securities
 
19,466

 
 
 
9,008

 
 
 
3,030

 
 
 

 
 
 
31,504

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

 
 
 
5,639

 
 
 

 
 
 

 
 
 
5,639

 
Freddie Mac
 

 
 
 
5,522

 
 
 
6

 
 
 

 
 
 
5,528

 
Ginnie Mae
 

 
 
 
476

 
 
 

 
 
 

 
 
 
476

 
Alt-A private-label securities
 

 
 
 
2,538

 
 
 
3,140

 
 
 

 
 
 
5,678

 
Subprime private-label securities
 

 
 
 

 
 
 
5,240

 
 
 

 
 
 
5,240

 
CMBS
 

 
 
 
1,397

 
 
 

 
 
 

 
 
 
1,397

 
Mortgage revenue bonds
 

 
 
 

 
 
 
4,023

 
 
 

 
 
 
4,023

 
Other
 

 
 
 
2

 
 
 
2,671

 
 
 

 
 
 
2,673

 
Total available-for-sale securities
 

 
 
 
15,574

 
 
 
15,080

 
 
 

 
 
 
30,654

 
Mortgage loans of consolidated trusts
 

 
 
 
13,796

 
 
 
1,833

 
 
 

 
 
 
15,629

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
6,085

 
 
 
150

 
 
 

 
 
 
6,235

 
Swaptions
 

 
 
 
153

 
 
 

 
 
 

 
 
 
153

 
Other
 

 
 
 

 
 
 
28

 
 
 

 
 
 
28

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(5,186
)
 
 
 
(5,186
)
 
Mortgage commitment derivatives
 

 
 
 
251

 
 
 
4

 
 
 

 
 
 
255

 
Total other assets
 

 
 
 
6,489

 
 
 
182

 
 
 
(5,186
)
 
 
 
1,485

 
Total assets at fair value
 
$
19,466

 
 
 
$
44,867

 
 
 
$
20,125

 
 
 
$
(5,186
)
 
 
 
$
79,272

 

 
 
Fair Value Measurements as of December 31, 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
 
$

 
 
 
$
6,040

 
 
 
$
363

 
 
 
$

 
 
 
$
6,403

 
Total of Fannie Mae
 

 
 
 
6,040

 
 
 
363

 
 
 

 
 
 
6,403

 
Of consolidated trusts
 

 
 
 
18,956

 
 
 
527

 
 
 

 
 
 
19,483

 
Total long-term debt
 

 
 
 
24,996

 
 
 
890

 
 
 

 
 
 
25,886

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
9,339

 
 
 
133

 
 
 

 
 
 
9,472

 
Swaptions
 

 
 
 
991

 
 
 

 
 
 

 
 
 
991

 
Other
 

 
 
 

 
 
 
1

 
 
 

 
 
 
1

 
 Netting adjustment
 

 
 
 

 
 
 

 
 
 
(10,194
)
 
 
 
(10,194
)
 
Mortgage commitment derivatives
 

 
 
 
341

 
 
 
3

 
 
 

 
 
 
344

 
Total other liabilities
 

 
 
 
10,671

 
 
 
137

 
 
 
(10,194
)
 
 
 
614

 
Total liabilities at fair value
 
$

 
 
 
$
35,667

 
 
 
$
1,027

 
 
 
$
(10,194
)
 
 
 
$
26,500

 
__________
(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 arrangements 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). 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. 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 June 30, 2015
 
 
 
Total Gains or (Losses) (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2015(5)(6)
 
Balance, March 31, 2015
 
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,
June 30, 2015
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
2

 
$

 
 
$

 
$

 
$
(2
)
 
$

 
$

 
$

 
$

 
$

 
 
$

 
  Alt-A private-label securities
572

 
36

 
 

 

 
(267
)
 

 
(16
)
 

 

 
325

 
 
45

 
Subprime private-label securities
876

 
42

 
 

 

 
(182
)
 

 
(18
)
 

 

 
718

 
 
97

 
Mortgage revenue bonds
742

 
(33
)
 
 

 

 
(106
)
 

 
(1
)
 

 

 
602

 
 
(36
)
 
    Other
94

 
6

 
 

 

 
(100
)
 

 

 

 

 

 
 
20

 
Total trading securities
$
2,286

 
$
51

(6)(7)
 
$

 
$

 
$
(657
)
 
$

 
$
(35
)
 
$

 
$

 
$
1,645

 
 
$
126

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
205

 
$

 
 
$

 
$
182

 
$
(269
)
 
$

 
$

 
$

 
$
11

 
$
129

 
 
$

 
Freddie Mac
5

 

 
 

 

 

 

 
(1
)
 

 

 
4

 
 

 
  Alt-A private-label securities
2,486

 
71

 
 
(38
)
 

 
(552
)
 

 
(85
)
 
(228
)
 

 
1,654

 
 

 
  Subprime private-label securities
4,608

 
265

 
 
(131
)
 

 
(760
)
 

 
(145
)
 

 

 
3,837

 
 

 
  Mortgage revenue bonds
3,560

 
17

 
 
(79
)
 

 
(154
)
 

 
(173
)
 

 

 
3,171

 
 

 
    Other
2,607

 
45

 
 
(55
)
 

 
(368
)
 

 
(71
)
 

 

 
2,158

 
 

 
Total available-for-sale securities
$
13,471

 
$
398

(7)(8)
 
$
(303
)
 
$
182

 
$
(2,103
)
 
$

 
$
(475
)
 
$
(228
)
 
$
11

 
$
10,953

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
1,810

 
$
4

(6)(7)
 
$

 
$
2

 
$

 
$

 
$
(99
)
 
$
(197
)
 
$
75

 
$
1,595

 
 
$
(6
)
 
Net derivatives
66

 
(126
)
(6)
 

 

 

 

 
64

 

 

 
4

 
 
(40
)
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(391
)
 
$
45

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$

 
$
(346
)
 
 
$
44

 
Of consolidated trusts
(547
)
 
5

 
 

 

 

 

 
16

 
59

 
(26
)
 
(493
)
 
 
8

 
Total long-term debt
$
(938
)
 
$
50

(6)
 
$

 
$

 
$

 
$

 
$
16

 
$
59

 
$
(26
)
 
$
(839
)
 
 
$
52

 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Six Months Ended June 30, 2015
 
 
 
Total (Losses) or Gains (Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2015(5)(6)
 
Balance, December 31, 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,
June 30, 2015
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
305

 
$
(27
)
 
 
$

 
$

 
$
(2
)
 
$

 
$

 
$
(278
)
 
$
2

 
$

 
 
$

 
  Alt-A private-label securities
597

 
44

 
 

 

 
(267
)
 

 
(33
)
 
(44
)
 
28

 
325

 
 
51

 
Subprime private-label securities
1,307

 
43

 
 

 

 
(580
)
 

 
(52
)
 

 

 
718

 
 
99

 
Mortgage revenue bonds
722

 
2

 
 

 

 
(118
)
 

 
(4
)
 

 

 
602

 
 
(1
)
 
    Other
99

 
4

 
 

 

 
(100
)
 

 
(3
)
 

 

 

 
 
19

 
Total trading securities
$
3,030

 
$
66

(6)(7)
 
$

 
$

 
$
(1,067
)
 
$

 
$
(92
)
 
$
(322
)
 
$
30

 
$
1,645

 
 
$
168

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

 
$

 
 
$

 
$
421

 
$
(303
)
 
$

 
$

 
$

 
$
11

 
$
129

 
 
$

 
Freddie Mac
6

 

 
 

 

 

 

 
(1
)
 
(1
)
 

 
4

 
 

 
  Alt-A private-label securities
3,140

 
172

 
 
(116
)
 

 
(1,108
)
 

 
(209
)
 
(538
)
 
313

 
1,654

 
 

 
  Subprime private-label securities
5,240

 
445

 
 
(232
)
 

 
(1,325
)
 

 
(291
)
 

 

 
3,837

 
 

 
  Mortgage revenue bonds
4,023

 
40

 
 
(27
)
 

 
(316
)
 

 
(549
)
 

 

 
3,171

 
 

 
    Other
2,671

 
(93
)
 
 
85

 

 
(368
)
 

 
(137
)
 

 

 
2,158

 
 

 
Total available-for-sale securities
$
15,080

 
$
564

(7)(8)
 
$
(290
)
 
$
421

 
$
(3,420
)
 
$

 
$
(1,187
)
 
$
(539
)
 
$
324

 
$
10,953

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
1,833

 
$
38

(6)(7)
 
$

 
$
5

 
$

 
$

 
$
(176
)
 
$
(254
)
 
$
149

 
$
1,595

 
 
$
5

 
Net derivatives
45

 
(99
)
(6)
 

 

 

 

 
58

 

 

 
4

 
 
(23
)
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(363
)
 
$
17

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$

 
$
(346
)
 
 
$
16

 
Of consolidated trusts
(527
)
 
(8
)
 
 

 

 

 

 
25

 
109

 
(92
)
 
(493
)
 
 
(4
)
 
Total long-term debt
$
(890
)
 
$
9

(6)
 
$

 
$

 
$

 
$

 
$
25

 
$
109

 
$
(92
)
 
$
(839
)
 
 
$
12

 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Three Months Ended June 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 June 30, 2014(5)(6)
 
Balance, March 31,
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, June 30, 2014
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Alt-A private-label securities
$
655

 
$
84

 
$

 
$

 
$
(23
)
 
$

 
$
(22
)
 
$
(67
)
 
$
16

 
$
643

 
 
$
84

 
Subprime private-label securities
1,453

 
103

 

 

 
(241
)
 

 
(33
)
 

 

 
1,282

 
 
204

 
Mortgage revenue bonds
601

 
44

 

 

 

 

 
(2
)
 

 

 
643

 
 
44

 
    Other
102

 
4

 

 

 

 

 
(5
)
 

 

 
101

 
 
4

 
Total trading securities
$
2,811

 
$
235

(6)(7)
$

 
$

 
$
(264
)
 
$

 
$
(62
)
 
$
(67
)
 
$
16

 
$
2,669

 
 
$
336

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
5

 
$

 
$

 
$

 
$

 
$

 
$
(1
)
 
$
(4
)
 
$
2

 
$
2

 
 
$

 
Freddie Mac
8

 

 

 

 

 

 

 

 
1

 
9

 
 

 
  Alt-A private-label securities
3,570

 
103

 
(24
)
 

 
(320
)
 

 
(111
)
 
(265
)
 
764

 
3,717

 
 

 
  Subprime private-label securities
7,030

 
268

 
(38
)
 

 
(1,349
)
 

 
(206
)
 

 

6,965

5,705

 
 

 
  Mortgage revenue bonds
5,006

 
(7
)
 
87

 

 
(39
)
 

 
(487
)
 

 

 
4,560

 
 

 
    Other
2,844

 
3

 
54

 

 

 

 
(84
)
 

 

 
2,817

 
 

 
Total available-for-sale securities
$
18,463

 
$
367

(7)(8)
$
79

 
$

 
$
(1,708
)
 
$

 
$
(889
)
 
$
(269
)
 
$
767

 
$
16,810

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,608

 
$
102

(6)(7)
$

 
$
7

 
$

 
$

 
$
(85
)
 
$
(165
)
 
$
64

 
$
2,531

 
 
$
86

 
Net derivatives
(23
)
 
47

(6)

 

 

 

 
(4
)
 

 

 
20

 
41

41

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(310
)
 
$
(15
)
 
$

 
$

 
$

 
$

 
$

 
$

 
$

 
$
(325
)
 
 
$
(15
)
 
Of consolidated trusts
(506
)
 
(33
)
 

 

 

 
(1
)
 
17

 
47

 
(22
)
 
(498
)
 
 
(31
)
 
Total long-term debt
$
(816
)
 
$
(48
)
(6)
$

 
$

 
$

 
$
(1
)
 
$
17

 
$
47

 
$
(22
)
 
$
(823
)
 
 
$
(46
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Six Months Ended June 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 June 30, 2014(5)(6)
 
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, June 30, 2014
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
42

 
$
(1
)
 
$

 
$

 
$

 
$

 
$
(2
)
 
$
(39
)
 
$

 
$

 
 
$

 
Freddie Mac
2

 

 

 

 

 

 

 
(2
)
 

 

 
 

 
  Alt-A private-label securities
618

 
103

 

 

 
(23
)
 

 
(38
)
 
(143
)
 
126

 
643

 
 
101

 
Subprime private-label securities
1,448

 
179

 

 

 
(241
)
 

 
(104
)
 

 

 
1,282

 
 
280

 
Mortgage revenue bonds
565

 
84

 

 

 

 

 
(6
)
 

 

 
643

 
 
84

 
    Other
99

 
9

 

 

 

 

 
(7
)
 

 

 
101

 
 
9

 
Total trading securities
$
2,774

 
$
374

(6)(7)
$

 
$

 
$
(264
)
 
$

 
$
(157
)
 
$
(184
)
 
$
126

 
$
2,669

 
 
$
474

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

 
$

 
$

 
$

 
$

 
$

 
$
(1
)
 
$
(6
)
 
$
2

 
$
2

 
 
$

 
Freddie Mac
8

 

 

 

 

 

 

 

 
1

 
9

 
 

 
  Alt-A private-label securities
3,791

 
116

 
49

 

 
(320
)
 

 
(199
)
 
(874
)
 
1,154

 
3,717

 
 

 
  Subprime private-label securities
7,068

 
301

 
181

 

 
(1,349
)
 

 
(496
)
 

 

 
5,705

 
 

 
  Mortgage revenue bonds
5,253

 
(27
)
 
280

 

 
(58
)
 

 
(888
)
 

 

 
4,560

 
 

 
    Other
2,885

 
6

 
95

 

 

 

 
(169
)
 

 

 
2,817

 
 

 
Total available-for-sale securities
$
19,012

 
$
396

(7)(8)
$
605

 
$

 
$
(1,727
)
 
$

 
$
(1,753
)
 
$
(880
)
 
$
1,157

 
$
16,810

 
 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans of consolidated trusts
$
2,704

 
$
127

(6)(7)
$

 
$
31

 
$

 
$

 
$
(166
)
 
$
(313
)
 
$
148

 
$
2,531

 
 
$
94

 
Net derivatives
(40
)
 
77

(6)

 

 

 

 
(16
)
 
(1
)
 

 
20

 
 
54

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(955
)
 
$
(105
)
 
$

 
$

 
$

 
$
(750
)
 
$
20

 
$
1,465

 
$

 
$
(325
)
 
 
$
(59
)
 
Of consolidated trusts
(518
)
 
(34
)
 

 

 

 
(1
)
 
35

 
66

 
(46
)
 
(498
)
 
 
(32
)
 
Total long-term debt
$
(1,473
)
 
$
(139
)
(6)
$

 
$

 
$

 
$
(751
)
 
$
55

 
$
1,531

 
$
(46
)
 
$
(823
)
 
 
$
(91
)
 

__________
(1) 
Gains (losses) included in other comprehensive income are included in “Changes in unrealized gains on AFS 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 and credit risk sharing securities issued under our CAS series. Prices for these securities were obtained from multiple third-party vendors or dealers. Transfers out of Level 3 also occurred for mortgage loans of consolidated trusts for which unobservable inputs used in valuations became less significant. 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 OTTI are not considered unrealized and are not included in this amount.
(6) 
Gains (losses) are included in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.
(7) 
Gains (losses) are included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income.
(8) 
Gains (losses) are included in “Investment gains, net” in our condensed consolidated statements of operations and comprehensive income.
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.
 
 
Fair Value Measurements as of June 30, 2015
 
 
 
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:
 
 
 
 
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(2)
 
$
325

 
Discounted Cash Flow
 
Default Rate (%)
 
1.8
-
2.8
 
2.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.5
-
4.0
 
3.6

 
 
 
 
 
 
 
Severity (%)
 
50.0
-
95.0
 
80.7

 
 
 
 
 
 
 
Spreads (bps)
 
149.7
-
179.8
 
173.3

 
Total Alt-A private-label securities
 
325

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(2)
 
122

 
Single Vendor
 
Default Rate (%)
 
3.3
-
5.8
 
4.6

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.1
-
5.3
 
3.2

 
 
 
 
 
 
 
Severity (%)
 
64.6
-
90.0
 
79.0

 
 
 
 
 
 
 
Spreads (bps)
 
192.9

-
250.0
 
230.5

 
 
 
391

 
Consensus
 
Default Rate (%)
 
4.9
-
7.3
 
6.8

 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.7
-
4.0
 
2.3

 
 
 
 
 
 
 
Severity (%)
 
62.1
-
95.0
 
73.1

 
 
 
 
 
 
 
Spreads (bps)
 
148.5

-
250.0
 
238.3

 
 
 
125

 
Discounted Cash Flow
 
Default Rate (%)
 
4.4
 
4.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.0
 
2.0

 
 
 
 
 
 
 
Severity (%)
 
65.0
 
65.0

 
 
 
 
 
 
 
Spreads (bps)
 
139.2
 
139.2

 
 
 
80

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
718

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
583

 
Discounted Cash Flow
 
Spreads (bps)
 
47.4

-
331.5
 
221.4

 
 
 
19

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
602

 
 
 
 
 
 
 
 
 
 
 
Total trading securities
 
$
1,645

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements as of June 30, 2015
 
 
 
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(3)
 
$
129

 
Other
 
Spreads (bps)
 
76.0

-
359.0
 
120.7

 
 
 
4

 
Other
 
 
 
 
 
 
 
 
 
Total Agency
 
133

 
 
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(2)
 
1,059

 
Consensus
 
Default Rate (%)
 
0.0
-
8.1
 
2.5

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.5
-
70.2
 
12.4

 
 
 
 
 
 
 
Severity (%)
 
1.6
-
95.0
 
71.4

 
 
 
 
 
 
 
Spreads (bps)
 
133.1

-
225.0
 
213.8

 
 
 
304

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
291

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
1,654

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities (2)
 
571

 
Single Vendor
 
Default Rate (%)
 
2.3
-
12.8
 
7.3

 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.0
-
9.9
 
2.7

 
 
 
 
 
 
 
Severity (%)
 
66.8
-
95.0
 
86.4

 
 
 
 
 
 
 
Spreads (bps)
 
157.5

-
240.0
 
206.9

 
 
 
2,464

 
Consensus
 
Default Rate (%)
 
1.0
-
14.9
 
6.3

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.2
-
17.2
 
3.4

 
 
 
 
 
 
 
Severity (%)
 
17.9
-
95.0
 
81.2

 
 
 
 
 
 
 
Spreads (bps)
 
151.9

-
261.4
 
230.6

 
 
 
537

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
265

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
3,837

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
1,163

 
Single Vendor
 
Spreads (bps)
 
12.0

-
329.9
 
75.9

 
 
 
275

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
278

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
1,407

 
Discounted Cash Flow
 
Spreads (bps)
 
12.0

-
383.9
 
232.6

 
 
 
48

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
3,171

 
 
 
 
 
 
 
 
 
 
 
Other
 
853

 
Consensus
 
Default Rate (%)
 
0.0
-
9.5
 
3.8

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
14.0
 
4.4

 
 
 
 
 
 
 
Severity (%)
 
0.0
-
95.0
 
60.3

 
 
 
 
 
 
 
Spreads (bps)
 
150.0

-
481.3
 
306.5

 
 
 
443

 
Dealer Mark
 
Default Rate (%)
 
4.0
 
4.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
 
3.0

 
 
 
 
 
 
 
Severity (%)
 
85.0
 
85.0

 
 
 
 
 
 
 
Spreads (bps)
 
246.5

-
464.4
 
292.2

 
 
 
594

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
5.0
 
0.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
14.0
 
0.0

 
 
 
 
 
 
 
Severity (%)
 
0.0
-
100.0
 
1.1

 
 
 
 
 
 
 
Spreads (bps)
 
225.0

-
770.0
 
333.2

 
 
 
268

 
Other
 
 
 
 
 
 
 
 
 
Total other
 
2,158

 
 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
 
$
10,953

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements as of June 30, 2015
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Mortgage loans of consolidated trusts:
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 
$
861

 
Build-Up
 
Default Rate (%)
 
0.0
-
99.7
 
15.7
 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.9
-
99.7
 
15.4
 
 
 
 
 
 
 
Severity (%)
 
0.0
-
100.0
 
24.4
 
 
 
369

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
152

 
Discounted Cash Flow
 
Default Rate (%)
 
2.6
-
12.0
 
5.7
 
 
 
 
 
 
 
Prepayment Speed (%)
 
4.0
-
10.0
 
8.3
 
 
 
 
 
 
 
Severity (%)
 
62.5
-
87.5
 
78.1
 
 
 
 
 
 
 
Spreads (bps)
 
130.0

-
695.0
 
209.5
 
 
 
51

 
Other
 
 
 
 
 
 
 
 
 
Total single-family
 
1,433

 
 
 
 
 
 
 
 
 
 
 
Multifamily
 
162

 
Build-Up
 
Spreads (bps)
 
53.0

-
302.2
 
130.2
 
Total mortgage loans of consolidated trusts
 
$
1,595

 
 
 
 
 
 
 
 
 
 
 
Net derivatives
 
$
(95
)
 
Internal Model
 
 
 
 
 
 
 
 
 
 
 
122

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
(23
)
 
Other
 
 
 
 
 
 
 
 
 
Total net derivatives
 
$
4

 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$
(346
)
 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
Of consolidated trusts(4)
 
(284
)
 
Consensus
 
 
 
 
 
 
 
 
 
 
 
(113
)
 
Discounted Cash Flow
 
Default Rate (%)
 
2.6
-
12.0
 
4.6
 
 
 
 
 
 
 
Prepayment Speed (%)
 
4.0
-
100.0
 
33.8
 
 
 
 
 
 
 
Severity (%)
 
62.5
-
95.0
 
76.8
 
 
 
 
 
 
 
Spreads (bps)
 
103.1

-
695.0
 
206.4
 
 
 
(96
)
 
Other
 
 
 
 
 
 
 
 
 
Total of consolidated trusts
 
(493
)
 
 
 
 
 
 
 
 
 
 
 
Total long-term debt
 
$
(839
)
 
 
 
 
 
 
 
 
 
 
 

 
 
Fair Value Measurements as of December 31, 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(3)(4)
 
$
153

 
Single Vendor
 
Prepayment Speed (%)
 
100.0
 
100.0
 
 
 
 
 
 
 
Spreads (bps)
 
256.5
-
350.8
 
293.4
 
 
 
130

 
Consensus
 
Prepayment Speed (%)
 
100.0
 
100.0
 
 
 
 
 
 
 
Spreads (bps)
 
184.6
-
219.5
 
197.5
 
 
 
22

 
Other
 
 
 
 
 
 
 
 
 
Total Agency
 
305

 
 
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(2)
 
290

 
Single Vendor
 
Default Rate (%)
 
8.3
-
9.1
 
8.5
 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.9
-
3.2
 
3.1
 
 
 
 
 
 
 
Severity (%)
 
79.5
-
95.0
 
90.4
 
 
 
 
 
 
 
Spreads (bps)
 
267.2
-
308.2
 
279.4
 
 
 
66

 
Consensus
 
Default Rate (%)
 
5.4
 
5.4
 
 
 
 
 
 
 
Prepayment Speed (%)
 
7.0
 
7.0
 
 
 
 
 
 
 
Severity (%)
 
48.8
 
48.8
 
 
 
 
 
 
 
Spreads (bps)
 
264.8
 
264.8
 
 
 
151

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
90

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
597

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(2)
 
422

 
Consensus
 
Default Rate (%)
 
3.5
-
11.8
 
7.2
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.4
-
5.2
 
2.8
 
 
 
 
 
 
 
Severity (%)
 
72.1
-
95.0
 
85.9
 
 
 
 
 
 
 
Spreads (bps)
 
265.0
 
265.0
 
 
 
549

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
290

 
Discounted Cash Flow
 
Default Rate (%)
 
4.3
-
6.2
 
5.2
 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.3
-
4.2
 
3.3
 
 
 
 
 
 
 
Severity (%)
 
62.2
-
95.0
 
73.8
 
 
 
 
 
 
 
Spreads (bps)
 
265.0
-
382.1
 
283.7
 
 
 
46

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
1,307

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
161

 
Dealer Mark
 
Spreads (bps)
 
288.1
 
288.1
 
 
 
540

 
Discounted Cash Flow
 
Spreads (bps)
 
6.0
-
318.0
 
263.0
 
 
 
21

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
722

 
 
 
 
 
 
 
 
 
 
 
Other
 
99

 
Dealer Mark
 
 
 
 
 
 
 
Total trading securities
 
$
3,030

 
 
 
 
 
 
 
 
 
 
 


 
 
Fair Value Measurements as of December 31, 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(3)
 
$
6

 
Other
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(2)
 
322

 
Single Vendor
 
Default Rate (%)
 
0.2
-
13.1
 
4.6
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.2
-
20.5
 
8.2
 
 
 
 
 
 
 
Severity (%)
 
27.8
-
89.7
 
61.0
 
 
 
 
 
 
 
Spreads (bps)
 
190.0

-
315.0
 
264.9
 
 
 
493

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
1,187

 
Consensus
 
Default Rate (%)
 
0.4
-
31.2
 
5.1
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
48.9
 
11.0
 
 
 
 
 
 
 
Severity (%)
 
0.2
-
95.0
 
59.6
 
 
 
 
 
 
 
Spreads (bps)
 
183.8

-
240.0
 
236.7
 
 
 
691

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
403

 
Discounted Cash Flow
 
Default Rate (%)
 
5.0
-
11.5
 
7.0
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.5
-
8.4
 
3.4
 
 
 
 
 
 
 
Severity (%)
 
35.1
-
92.4
 
54.2
 
 
 
 
 
 
 
Spreads (bps)
 
188.0

-
340.0
 
243.4
 
 
 
44

 
Other
 
 
 
 
 
 
 
 
 
Total Alt-A private-label securities
 
3,140

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(2)
 
383

 
Single Vendor
 
Default Rate (%)
 
2.1
-
8.3
 
5.5
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.5
-
3.3
 
2.1
 
 
 
 
 
 
 
Severity (%)
 
65.4
-
95.0
 
78.5
 
 
 
 
 
 
 
Spreads (bps)
 
215.0

-
262.0
 
230.0
 
 
 
2,722

 
Consensus
 
Default Rate (%)
 
1.5
-
37.4
 
6.3
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
17.7
 
2.6
 
 
 
 
 
 
 
Severity (%)
 
1.5
-
95.0
 
84.4
 
 
 
 
 
 
 
Spreads (bps)
 
155.0

-
265.0
 
220.0
 
 
 
1,755

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
317

 
Discounted Cash Flow
 
Default Rate (%)
 
3.0
-
12.3
 
7.0
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.1
-
9.0
 
4.1
 
 
 
 
 
 
 
Severity (%)
 
28.9
-
91.8
 
81.2
 
 
 
 
 
 
 
Spreads (bps)
 
155.0

-
895.0
 
250.5
 
 
 
63

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
5,240

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
1,504

 
Single Vendor
 
Spreads (bps)
 
(11.5
)
-
361.5
 
52.7
 
 
 
418

 
Single Vendor
 
 
 
 
 
 
 
 
 
 
 
510

 
Dealer Mark
 
Spreads (bps)
 
222.8

-
322.1
 
265.9
 
 
 
1,581

 
Discounted Cash Flow
 
Spreads (bps)
 
(11.5
)
-
620.2
 
251.4
 
 
 
10

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
4,023

 
 
 
 
 
 
 
 
 
 
 
Other
 
337

 
Single Vendor
 
Default Rate (%)
 
1.7
-
5.0
 
4.4
 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
9.3
 
3.8
 
 
 
 
 
 
 
Severity (%)
 
4.0
-
94.6
 
69.6
 
 
 
 
 
 
 
Spreads (bps)
 
263.1

-
427.2
 
291.5
 
 
 
720

 
Consensus
 
Default Rate (%)
 
0.1
-
6.6
 
3.9
 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
30.4
 
4.8
 
 
 
 
 
 
 
Severity (%)
 
0.4
-
95.0
 
62.4
 
 
 
 
 
 
 
Spreads (bps)
 
215.0

-
481.4
 
320.6
 
 
 
1,215

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
399

 
Other
 
 
 
 
 
 
 
 
 
Total other
 
2,671

 
 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
 
$
15,080

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements as of December 31, 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
 
$
934

 
Build-Up
 
Default Rate (%)
 
0.0

-
99.0
 
14.9

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.6

-
99.8
 
16.3

 
 
 
 
 
 
 
Severity (%)
 
3.4
-
100.0
 
23.7

 
 
 
279

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
402

 
Discounted Cash Flow
 
Default Rate (%)
 
2.7
-
13.1
 
5.5

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1
-
13.5
 
7.5

 
 
 
 
 
 
 
Severity (%)
 
35.5
-
95.0
 
61.3

 
 
 
 
 
 
 
Spreads (bps)
 
155.0

-
665.0
 
227.4

 
 
 
39

 
Other
 
 
 
 
 
 
 
 
 
Total single-family
 
1,654

 
 
 
 
 
 
 
 
 
 
 
Multifamily
 
179

 
Build-Up
 
Spreads (bps)
 
59.0

-
323.4
 
137.3

 
Total mortgage loans of consolidated trusts
 
$
1,833

 
 
 
 
 
 
 
 
 
 
 
Net derivatives
 
$
(107
)
 
Internal Model
 
 
 
 
 
 
 
 
 
 
 
150

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
2

 
Other
 
 
 
 
 
 
 
 
 
Total net derivatives
 
$
45

 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$
(363
)
 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
Of consolidated trusts(4)
 
(219
)
 
Consensus
 
 
 
 
 
 
 
 
 
 
 
(205
)
 
Discounted Cash Flow
 
Default Rate (%)
 
2.7

-
11.9
 
4.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.1

-
100.0
 
33.4

 
 
 
 
 
 
 
Severity (%)
 
35.5

-
95.0
 
54.6

 
 
 
 
 
 
 
Spreads (bps)
 
88.0

-
665.0
 
249.4

 
 
 
(103
)
 
Other
 
 
 
 
 
 
 
 
 
Total of consolidated trusts
 
(527
)
 
 
 
 
 
 
 
 
 
 
 
Total long-term debt
 
$
(890
)
 
 
 
 
 
 
 
 
 
 
 
_________
(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) 
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.
(3) 
Includes Fannie Mae and Freddie Mac securities.
(4) 
Includes instruments for which the prepayment speed as disclosed represents the estimated annualized rate of prepayment after all prepayment penalty provisions have expired and also instruments for which prepayment speed as disclosed represents the estimated rate of prepayment over the remaining life of the instrument.
Level 3 Assets Measured on Nonrecurring Basis [Table Text Block]
. 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 (Level 3)
as of
 
Valuation Techniques
 
June 30, 2015
 
December 31, 2014
 
 
 
 
(Dollars in millions)
 
Nonrecurring fair value measurements:
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale, at lower of cost or fair value
Consensus
 
 
$
2,444

 
 
 
$
110

 
 
Build-Up
 
 
189

 
 
 

 
Total mortgage loans held for sale, at lower of cost or fair value
 
 
 
2,633

 
 
 
110

 
Single-family mortgage loans held for investment, at amortized cost:
 
 
 
 
 
 
 
 
 
Of Fannie Mae
Internal Model
 
 
9,879

 
 
 
16,654

 
Of consolidated trusts
Other
 
 
10

 
 
 
60

 
Total single-family mortgage loans held for investment, at amortized cost
 
 
 
9,889

 
 
 
16,714

 
Multifamily mortgage loans held for investment, at amortized cost
Broker Price Opinions
 
 
127

 
 
 
45

 
 
Asset Manager Estimate
 
 
353

 
 
 
580

 
 
Other
 
 
9

 
 
 

 
Total multifamily mortgage loans held for investment, at amortized cost
 
 
 
489

 
 
 
625

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
Single-family
Accepted Offers
 
 
697

 
 
 
864

 
 
Appraisals
 
 
1,130

 
 
 
1,509

 
 
Walk Forwards
 
 
618

 
 
 
1,173

 
 
Internal Model
 
 
712

 
 
 
1,045

 
 
Other
 
 
102

 
 
 
191

 
Total single-family
 
 
 
3,259

 
 
 
4,782

 
Multifamily
Broker Price Opinions
 
 
34

 
 
 
127

 
 
Other
 
 

 
 
 
13

 
Total multifamily
 
 
 
34

 
 
 
140

 
Other assets
Other
 
 
28

 
 
 
45

 
Total nonrecurring assets at fair value
 
 
 
$
16,332

 
 
 
$
22,416

 
Fair Value of Financial Instruments [Table Text Block]
The following table displays the carrying value and estimated fair value of our financial instruments. The fair value of financial instruments we disclose includes commitments to purchase multifamily and single-family mortgage loans 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 June 30, 2015
 
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
$
56,701

 
$
41,551

 
$
15,150

 
$

 
$

 
$
56,701

Federal funds sold and securities purchased under agreements to resell or similar arrangements
22,010

 

 
22,010

 

 

 
22,010

Trading securities
34,864

 
23,790

 
9,429

 
1,645

 

 
34,864

Available-for-sale securities
24,161

 

 
13,208

 
10,953

 

 
24,161

Mortgage loans held for sale
4,563

 

 
143

 
4,640

 

 
4,783

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
221,148

 

 
28,165

 
207,356

 

 
235,521

Of consolidated trusts
2,786,467

 

 
2,647,901

 
174,514

 

 
2,822,415

Mortgage loans held for investment
3,007,615

 

 
2,676,066

 
381,870

 

 
3,057,936

Advances to lenders
5,670

 

 
5,228

 
429

 

 
5,657

Derivative assets at fair value
1,718

 

 
5,619

 
149

 
(4,050
)
 
1,718

Guaranty assets and buy-ups
200

 

 

 
566

 

 
566

Total financial assets
$
3,157,502

 
$
65,341

 
$
2,746,853

 
$
400,252

 
$
(4,050
)
 
$
3,208,396

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
$
81,338

 
$

 
$
81,361

 
$

 
$

 
$
81,361

    Of consolidated trusts
1,409

 

 

 
1,409

 

 
1,409

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
343,747

 

 
354,566

 
955

 

 
355,521

    Of consolidated trusts
2,772,075

 

 
2,796,069

 
23,138

 

 
2,819,207

Derivative liabilities at fair value
811

 

 
8,394

 
145

 
(7,728
)
 
811

Guaranty obligations
355

 

 

 
1,332

 

 
1,332

Total financial liabilities
$
3,199,735

 
$

 
$
3,240,390

 
$
26,979

 
$
(7,728
)
 
$
3,259,641


 
As of December 31, 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
$
54,565

 
$
37,965

 
$
16,600

 
$

 
$

 
$
54,565

Federal funds sold and securities purchased under agreements to resell or similar arrangements
30,950

 

 
30,950

 

 

 
30,950

Trading securities
31,504

 
19,466

 
9,008

 
3,030

 

 
31,504

Available-for-sale securities
30,654

 

 
15,574

 
15,080

 

 
30,654

Mortgage loans held for sale
331

 

 
169

 
169

 

 
338

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
239,243

 

 
29,896

 
217,064

 

 
246,960

Of consolidated trusts
2,779,920

 

 
2,657,863

 
183,263

 

 
2,841,126

Mortgage loans held for investment
3,019,163

 

 
2,687,759

 
400,327

 

 
3,088,086

Advances to lenders
5,559

 

 
5,079

 
470

 

 
5,549

Derivative assets at fair value
1,485

 

 
6,489

 
182

 
(5,186
)
 
1,485

Guaranty assets and buy-ups
210

 

 

 
616

 

 
616

Total financial assets
$
3,174,421

 
$
57,431

 
$
2,771,628

 
$
419,874

 
$
(5,186
)
 
$
3,243,747

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
Federal funds purchased and securities sold under agreements to repurchase
$
50


$


$
50

 
$

 
$

 
$
50

Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
105,012

 

 
105,022

 

 

 
105,022

    Of consolidated trusts
1,560

 

 

 
1,560

 

 
1,560

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
355,431

 

 
367,703

 
982

 

 
368,685

    Of consolidated trusts
2,760,152

 

 
2,815,843

 
19,334

 

 
2,835,177

Derivative liabilities at fair value
614

 

 
10,671

 
137

 
(10,194
)
 
614

Guaranty obligations
382

 

 

 
1,579

 

 
1,579

Total financial liabilities
$
3,223,201

 
$

 
$
3,299,289

 
$
23,592

 
$
(10,194
)
 
$
3,312,687

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
 
 
 
June 30, 2015
 
 
 
December 31, 2014
 
 
Loans of Consolidated Trusts(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts
 
Loans of Consolidated Trusts(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts
 
 
(Dollars in millions)
 
Fair value
 
$
14,981

 
 
 
$
8,861

 
 
 
$
22,885

 
 
 
$
15,629

 
 
 
$
6,403

 
 
 
$
19,483

 
Unpaid principal balance
 
14,446

 
 
 
8,877

 
 
 
20,876

 
 
 
15,001

 
 
 
6,512

 
 
 
17,810

 
__________
(1) 
Includes nonaccrual loans with a fair value of $229 million and $240 million as of June 30, 2015 and December 31, 2014, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of June 30, 2015 and December 31, 2014 was $63 million and $75 million, respectively. Includes loans that are 90 days or more past due with a fair value of $250 million and $271 million as of June 30, 2015 and December 31, 2014, respectively. The difference between unpaid principal balance and the fair value of these 90 or more days past due loans as of June 30, 2015 and December 31, 2014 was $69 million and $78 million, respectively.
The following tables display 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 Months Ended June 30,
 
2015
 
2014
 
Loans
 
Long-Term Debt
 
Total Gains
 
Loans
 
Long-Term Debt
 
Total (Losses)Gains
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
49

 
 
$
88

 
 
 
$
137

 
 
$
16

 
 
$
(76
)
 
 
 
$
(60
)
Other changes in fair value
(217
)
 
 
227

 
 
 
10

 
 
371

 
 
(221
)
 
 
 
150

Fair value (losses) gains, net
$
(168
)
 
 
$
315

 
 
 
$
147

 
 
$
387

 
 
$
(297
)
 
 
 
$
90

 
For the Six Months Ended June 30,
 
2015
 
2014
 
Loans
 
Long-Term Debt
 
Total Losses
 
Loans
 
Long-Term Debt
 
Total (Losses)Gains
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
37

 
 
$
(105
)
 
 
 
$
(68
)
 
 
$
25

 
 
$
(127
)
 
 
 
$
(102
)
Other changes in fair value
(50
)
 
 
39

 
 
 
(11
)
 
 
494

 
 
(337
)
 
 
 
157

Fair value (losses) gains, net
$
(13
)
 
 
$
(66
)
 
 
 
$
(79
)
 
 
$
519

 
 
$
(464
)
 
 
 
$
55