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Fair Value (Tables)
3 Months Ended
Mar. 31, 2016
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 March 31, 2016
 
 
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
 
$

 
 
 
$
5,401

 
 
 
$
25

 
 
 
$

 
 
 
$
5,426

 
Freddie Mac
 

 
 
 
866

 
 
 
1

 
 
 

 
 
 
867

 
Ginnie Mae
 

 
 
 
434

 
 
 

 
 
 

 
 
 
434

 
Alt-A private-label securities
 

 
 
 
62

 
 
 
245

 
 
 

 
 
 
307

 
Subprime private-label securities
 

 
 
 
363

 
 
 
43

 
 
 

 
 
 
406

 
CMBS
 

 
 
 
1,451

 
 
 

 
 
 

 
 
 
1,451

 
Mortgage revenue bonds
 

 
 
 

 
 
 
363

 
 
 

 
 
 
363

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
U.S. Treasury securities
 
30,746

 
 
 

 
 
 

 
 
 

 
 
 
30,746

 
Total trading securities
 
30,746

 
 
 
8,577

 
 
 
677

 
 
 

 
 
 
40,000

 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Fannie Mae
 

 
 
 
3,912

 
 
 
1

 
 
 

 
 
 
3,913

 
Freddie Mac
 

 
 
 
3,699

 
 
 
2

 
 
 

 
 
 
3,701

 
Ginnie Mae
 

 
 
 
254

 
 
 

 
 
 

 
 
 
254

 
Alt-A private-label securities
 

 
 
 
1,743

 
 
 
177

 
 
 

 
 
 
1,920

 
Subprime private-label securities
 

 
 
 
2,322

 
 
 
222

 
 
 

 
 
 
2,544

 
CMBS
 

 
 
 
1,147

 
 
 

 
 
 

 
 
 
1,147

 
Mortgage revenue bonds
 

 
 
 

 
 
 
2,564

 
 
 

 
 
 
2,564

 
Other
 

 
 
 
285

 
 
 
655

 
 
 

 
 
 
940

 
Total available-for-sale securities
 

 
 
 
13,362

 
 
 
3,621

 
 
 

 
 
 
16,983

 
Mortgage loans
 

 
 
 
12,403

 
 
 
1,311

 
 
 

 
 
 
13,714

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
  

 
 
 
 
 
Swaps
 

 
 
 
6,648

 
 
 
192

 
 
 

 
 
 
6,840

 
Swaptions
 

 
 
 
47

 
 
 

 
 
 

 
 
 
47

 
Other
 

 
 
 

 
 
 
27

 
 
 

 
 
 
27

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(6,724
)
 
 
 
(6,724
)
 
Mortgage commitment derivatives
 

 
 
 
490

 
 
 
20

 
 
 

 
 
 
510

 
Total other assets
 

 
 
 
7,185

 
 
 
239

 
 
 
(6,724
)
 
 
 
700

 
Total assets at fair value
 
$
30,746

 
 
 
$
41,527

 
 
 
$
5,848

 
 
 
$
(6,724
)
 
 
 
$
71,397

 

 
 
Fair Value Measurements as of March 31, 2016
 
 
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
 
$

 
 
 
$
10,506

 
 
 
$
395

 
 
 
$

 
 
 
$
10,901

 
Total of Fannie Mae
 

 
 
 
10,506

 
 
 
395

 
 
 

 
 
 
10,901

 
Of consolidated trusts
 

 
 
 
28,317

 
 
 
246

 
 
 

 
 
 
28,563

 
Total long-term debt
 

 
 
 
38,823

 
 
 
641

 
 
 

 
 
 
39,464

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
12,931

 
 
 
6

 
 
 

 
 
 
12,937

 
Swaptions
 

 
 
 
171

 
 
 

 
 
 

 
 
 
171

 
Other
 

 
 
 

 
 
 
1

 
 
 

 
 
 
1

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(12,598
)
 
 
 
(12,598
)
 
Mortgage commitment derivatives
 

 
 
 
604

 
 
 
1

 
 
 

 
 
 
605

 
Total other liabilities
 

 
 
 
13,706

 
 
 
8

 
 
 
(12,598
)
 
 
 
1,116

 
Total liabilities at fair value
 
$

 
 
 
$
52,529

 
 
 
$
649

 
 
 
$
(12,598
)
 
 
 
$
40,580

 

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

 
 
 
$
4,813

 
 
 
$

 
 
 
$

 
 
 
$
4,813

 
Freddie Mac
 

 
 
 
1,314

 
 
 

 
 
 

 
 
 
1,314

 
Ginnie Mae
 

 
 
 
426

 
 
 

 
 
 

 
 
 
426

 
Alt-A private-label securities
 

 
 
 
131

 
 
 
305

 
 
 

 
 
 
436

 
Subprime private-label securities
 

 
 
 

 
 
 
644

 
 
 

 
 
 
644

 
CMBS
 

 
 
 
2,341

 
 
 

 
 
 

 
 
 
2,341

 
Mortgage revenue bonds
 

 
 
 

 
 
 
449

 
 
 

 
 
 
449

 
Non-mortgage-related securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
29,485

 
 
 

 
 
 

 
 
 

 
 
 
29,485

 
Total trading securities
 
29,485

 
 
 
9,025

 
 
 
1,398

 
 
 

 
 
 
39,908

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

 
 
 
4,221

 
 
 

 
 
 

 
 
 
4,221

 
Freddie Mac
 

 
 
 
4,295

 
 
 
4

 
 
 

 
 
 
4,299

 
Ginnie Mae
 

 
 
 
391

 
 
 

 
 
 

 
 
 
391

 
Alt-A private-label securities
 

 
 
 
1,637

 
 
 
1,041

 
 
 

 
 
 
2,678

 
Subprime private-label securities
 

 
 
 

 
 
 
3,281

 
 
 

 
 
 
3,281

 
CMBS
 

 
 
 
1,255

 
 
 

 
 
 

 
 
 
1,255

 
Mortgage revenue bonds
 

 
 
 

 
 
 
2,701

 
 
 

 
 
 
2,701

 
Other
 

 
 
 

 
 
 
1,404

 
 
 

 
 
 
1,404

 
Total available-for-sale securities
 

 
 
 
11,799

 
 
 
8,431

 
 
 

 
 
 
20,230

 
Mortgage loans
 

 
 
 
12,598

 
 
 
1,477

 
 
 

 
 
 
14,075

 
Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
4,541

 
 
 
156

 
 
 

 
 
 
4,697

 
Swaptions
 

 
 
 
53

 
 
 

 
 
 

 
 
 
53

 
Other
 

 
 
 

 
 
 
28

 
 
 

 
 
 
28

 
Netting adjustment
 

 
 
 

 
 
 

 
 
 
(4,024
)
 
 
 
(4,024
)
 
Mortgage commitment derivatives
 

 
 
 
135

 
 
 
5

 
 
 

 
 
 
140

 
Total other assets
 

 
 
 
4,729

 
 
 
189

 
 
 
(4,024
)
 
 
 
894

 
Total assets at fair value
 
$
29,485

 
 
 
$
38,151

 
 
 
$
11,495

 
 
 
$
(4,024
)
 
 
 
$
75,107

 

 
 
Fair Value Measurements as of December 31, 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
 
$

 
 
 
$
10,764

 
 
 
$
369

 
 
 
$

 
 
 
$
11,133

 
Total of Fannie Mae
 

 
 
 
10,764

 
 
 
369

 
 
 

 
 
 
11,133

 
Of consolidated trusts
 

 
 
 
23,113

 
 
 
496

 
 
 

 
 
 
23,609

 
Total long-term debt
 

 
 
 
33,877

 
 
 
865

 
 
 

 
 
 
34,742

 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 

 
 
 
8,697

 
 
 
20

 
 
 

 
 
 
8,717

 
Swaptions
 

 
 
 
197

 
 
 

 
 
 

 
 
 
197

 
Other
 

 
 
 

 
 
 
2

 
 
 

 
 
 
2

 
 Netting adjustment
 

 
 
 

 
 
 

 
 
 
(8,650
)
 
 
 
(8,650
)
 
Mortgage commitment derivatives
 

 
 
 
148

 
 
 
10

 
 
 

 
 
 
158

 
Total other liabilities
 

 
 
 
9,042

 
 
 
32

 
 
 
(8,650
)
 
 
 
424

 
Total liabilities at fair value
 
$

 
 
 
$
42,919

 
 
 
$
897

 
 
 
$
(8,650
)
 
 
 
$
35,166

 
__________
(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 March 31, 2016
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2016(5)(6)
 
Balance, December 31, 2015
 
Included in Net Income
 
Included in Total Other Comprehensive
Loss(1)
 
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into
Level 3(4)
 
Balance, March 31, 2016
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$

 
$

 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$
25

 
$
25

 
 
$

 
Freddie Mac

 

 
 

 
 

 

 

 

 

 
1

 
1

 
 

 
  Alt-A private-label securities
305

 
(54
)
 
 

 
 

 

 

 
(6
)
 

 

 
245

 
 
(55
)
 
Subprime private-label securities
644

 
(37
)
 
 

 
 

 
(187
)
 

 
(14
)
 
(363
)
 

 
43

 
 
(12
)
 
Mortgage revenue bonds
449

 
12

 
 

 
 

 
(95
)
 

 
(3
)
 

 

 
363

 
 
10

 
Total trading securities
$
1,398

 
$
(79
)
(6)(7)
 
$

 
 
$

 
$
(282
)
 
$

 
$
(23
)
 
$
(363
)
 
$
26

 
$
677

 
 
$
(57
)
 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$

 
$

 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$
1

 
$
1

 
 
$

 
Freddie Mac
4

 

 
 

 
 

 

 

 

 
(2
)
 

 
2

 
 

 
  Alt-A private-label securities
1,041

 
12

 
 
(29
)
 
 

 
(291
)
 

 
(40
)
 
(516
)
 

 
177

 
 

 
  Subprime private-label securities
3,281

 
91

 
 
(139
)
 
 

 
(584
)
 

 
(104
)
 
(2,323
)
 

 
222

 
 

 
  Mortgage revenue bonds
2,701

 
4

 
 
30

 
 

 
(43
)
 

 
(128
)
 

 

 
2,564

 
 

 
    Other
1,404

 
(3
)
 
 
(25
)
 
 

 
(404
)
 

 
(33
)
 
(284
)
 

 
655

 
 

 
Total available-for-sale securities
$
8,431

 
$
104

(7)(8)
 
$
(163
)
 
 
$

 
$
(1,322
)
 
$

 
$
(305
)
 
$
(3,125
)
 
$
1

 
$
3,621

 
 
$

 
Mortgage loans
$
1,477

 
$
101

(6)(7)
 
$

 
 
$

 
$
(320
)
 
$

 
$
(72
)
 
$
(65
)
 
$
190

 
$
1,311

 
 
$
13

 
Net derivatives
157

 
180

(6)
 

 
 

 

 
(4
)
 
(100
)
 
(2
)
 

 
231

 
 
66

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(369
)
 
$
(26
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(395
)
 
 
$
(26
)
 
Of consolidated trusts
(496
)
 
(68
)
 
 

 
 

 

 
(7
)
 
309

 
37

 
(21
)
 
(246
)
 
 
(2
)
 
Total long-term debt
$
(865
)
 
$
(94
)
(6)
 
$

 
 
$

 
$

 
$
(7
)
 
$
309

 
$
37

 
$
(21
)
 
$
(641
)
 
 
$
(28
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
For the Three Months Ended March 31, 2015
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2015(5)(6)
 
Balance, December 31, 2014
 
Included in Net Income
 
Included in Total Other Comprehensive
Loss(1)
 
Purchases(2)
 
Sales(2)
 
Issues(3)
 
Settlements(3)
 
Transfers out of Level 3(4)
 
Transfers into
Level 3(4)
 
Balance, March 31, 2015
 
 
(Dollars in millions)
Trading securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-related:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fannie Mae
$
305

 
$
(27
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$
(278
)
 
$
2

 
$
2

 
 
$
(19
)
 
  Alt-A private-label securities
597

 
8

 
 

 
 

 

 

 
(17
)
 
(44
)
 
28

 
572

 
 
8

 
Subprime private-label securities
1,307

 
1

 
 

 
 

 
(398
)
 

 
(34
)
 

 

 
876

 
 
107

 
Mortgage revenue bonds
722

 
35

 
 

 
 

 
(12
)
 

 
(3
)
 

 

 
742

 
 
33

 
    Other
99

 
(2
)
 
 

 
 

 

 

 
(3
)
 

 

 
94

 
 
(2
)
 
Total trading securities
$
3,030

 
$
15

(6)(7)
 
$

 
 
$

 
$
(410
)
 
$

 
$
(57
)
 
$
(322
)
 
$
30

 
$
2,286

 
 
$
127

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

 
$

 
 
$

 
 
$
239

 
$
(34
)
 
$

 
$

 
$

 
$

 
$
205

 
 
$

 
Freddie Mac
6

 

 
 

 
 

 

 

 

 
(1
)
 

 
5

 
 

 
  Alt-A private-label securities
3,140

 
101

 
 
(78
)
 
 

 
(556
)
 

 
(124
)
 
(310
)
 
313

 
2,486

 
 

 
  Subprime private-label securities
5,240

 
180

 
 
(101
)
 
 

 
(565
)
 

 
(146
)
 

 

 
4,608

 
 

 
  Mortgage revenue bonds
4,023

 
23

 
 
52

 
 

 
(162
)
 

 
(376
)
 

 

 
3,560

 
 

 
    Other
2,671

 
(138
)
 
 
140

 
 

 

 

 
(66
)
 

 

 
2,607

 
 

 
Total available-for-sale securities
$
15,080

 
$
166

(7)(8)
 
$
13

 
 
$
239

 
$
(1,317
)
 
$

 
$
(712
)
 
$
(311
)
 
$
313

 
$
13,471

 
 
$

 
Mortgage loans
$
1,833

 
$
34

(6)(7)
 
$

 
 
$
3

 
$

 
$

 
$
(77
)
 
$
(57
)
 
$
74

 
$
1,810

 
 
$
19

 
Net derivatives
45

 
27

(6)
 

 
 

 

 

 
(6
)
 

 

 
66

 
 
39

 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
$
(363
)
 
$
(28
)
 
 
$

 
 
$

 
$

 
$

 
$

 
$

 
$

 
$
(391
)
 
 
$
(28
)
 
Of consolidated trusts
(527
)
 
(13
)
 
 

 
 

 

 

 
9

 
50

 
(66
)
 
(547
)
 
 
(12
)
 
Total long-term debt
$
(890
)
 
$
(41
)
(6)
 
$

 
 
$

 
$

 
$

 
$
9

 
$
50

 
$
(66
)
 
$
(938
)
 
 
$
(40
)
 

__________
(1) 
Gains (losses) included in other comprehensive loss are included in “Changes in unrealized gains on AFS securities, net of reclassification adjustments and taxes” in our 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 subprime loans. Prices for these securities were available from multiple third-party vendors and have demonstrated an increased and sustained level of observability over time. Transfers into Level 3 consisted primarily of private-label mortgage-related securities backed by Alt-A loans during the first quarter of 2015. Prices for these securities were based on inputs from a single source or inputs that were not readily observable during that time.
(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 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 March 31, 2016
 
 
 
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)
 
$
25

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
1

 
Other
 
 
 
 
 
 
 
 
 
Total Agency
 
26

 
 
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
60

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
185

 
Discounted Cash Flow
 
Default Rate (%)
 
0.9

-
4.0
 
3.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.0

-
6.0
 
5.3

 
 
 
 
 
 
 
Severity (%)
 
95.0
 
95.0

 
 
 
 
 
 
 
Spreads (bps)
 
339.2

-
644.8
 
587.7

 
Total Alt-A private-label securities
 
245

 
 
 
 
 
 
 
 
 
 
 
    Subprime private-label securities(3)
 
43

 
Discounted Cash Flow
 
Default Rate (%)
 
4.4
 
4.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
4.8
 
4.8

 
 
 
 
 
 
 
Severity (%)
 
56.0
 
56.0

 
 
 
 
 
 
 
Spreads (bps)
 
724.9
 
724.9

 
Total subprime private-label securities
 
43

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
353

 
Discounted Cash Flow
 
Spreads (bps)
 
23.5

-
348.6
 
319.0

 
 
 
10

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
363

 
 
 
 
 
 
 
 
 
 
 
Total trading securities
 
$
677

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements as of March 31, 2016
 
 
 
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)
 
$
3

 
Other
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
106

 
Consensus
 
Default Rate (%)
 
4.0
-
6.0
 
4.2

 
 
 
 
 
 
 
Prepayment Speed (%)
 
5.0
-
7.0
 
5.2

 
 
 
 
 
 
 
Severity (%)
 
50.0
-
70.0
 
55.5

 
 
 
 
 
 
 
Spreads (bps)
 
306.4

-
382.3
 
372.7

 
 
 
71

 
Discounted Cash Flow
 
Default Rate (%)
 
3.5
-
6.0
 
4.5

 
 
 
 
 
 
 
Prepayment Speed (%)
 
4.0
-
7.5
 
5.4

 
 
 
 
 
 
 
Severity (%)
 
41.0
-
56.0
 
50.1

 
 
 
 
 
 
 
Spreads (bps)
 
311.3

-
406.0
 
384.7

 
Total Alt-A private-label securities
 
177

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities (3)
 
170

 
Consensus
 
Default Rate (%)
 
5.0
-
7.0
 
6.0

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
4.0
 
3.5

 
 
 
 
 
 
 
Severity (%)
 
88.0
-
95.0
 
91.5

 
 
 
 
 
 
 
Spreads (bps)
 
431.9

-
480.3
 
455.8

 
 
 
52

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
222

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
988

 
Single Vendor
 
Spreads (bps)
 
3.5

-
395.6
 
57.8

 
 
 
1,420

 
Discounted Cash Flow
 
Spreads (bps)
 
3.5

-
424.6
 
313.0

 
 
 
156

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
2,564

 
 
 
 
 
 
 
 
 
 
 
Other
 
97

 
Consensus
 
Default Rate (%)
 
3.5
 
3.5

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.5
-
3.0
 
2.8

 
 
 
 
 
 
 
Severity (%)
 
88.0
 
88.0

 
 
 
 
 
 
 
Spreads (bps)
 
358.1

-
479.1
 
413.5

 
 
 
546

 
Discounted Cash Flow
 
Default Rate (%)
 
2.1
-
3.8
 
3.7

 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.8
-
6.0
 
5.9

 
 
 
 
 
 
 
Severity (%)
 
4.0
-
95.0
 
6.3

 
 
 
 
 
 
 
Spreads (bps)
 
235.0

-
487.0
 
475.5

 
 
 
12

 
Other
 
 
 
 
 
 
 
 
 
Total other
 
655

 
 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
 
$
3,621

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements as of March 31, 2016
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Mortgage loans:
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 
$
120

 
Build-Up
 
Default Rate (%)
 
0.0
-
98.7
 
36.7
 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.6
-
100.0
 
10.8
 
 
 
 
 
 
 
Severity (%)
 
0.0
-
100.0
 
40.0
 
 
 
602

 
Build-Up
 
 
 
 
 
 
 
 
 
 
 
105

 
Consensus
 
Default Rate (%)
 
0.5
-
4.9
 
2.3
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.0
-
13.8
 
5.8
 
 
 
 
 
 
 
Severity (%)
 
20.0
-
95.0
 
74.4
 
 
 
 
 
 
 
Spreads (bps)
 
268.7

-
345.0
 
278.1
 
 
 
261

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
72

 
Other
 
 
 
 
 
 
 
 
 
Total single-family
 
1,160

 
 
 
 
 
 
 
 
 
 
 
Multifamily
 
151

 
Build-Up
 
Spreads (bps)
 
70.0

-
364.2
 
179.9
 
Total mortgage loans
 
$
1,311

 
 
 
 
 
 
 
 
 
 
 
Net derivatives
 
$
187

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
44

 
Other
 
 
 
 
 
 
 
 
 
Total net derivatives
 
$
231

 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$
(395
)
 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
Of consolidated trusts(4)
 
(118
)
 
Consensus
 
 
 
 
 
 
 
 
 
 
 
(128
)
 
Other
 
 
 
 
 
 
 
 
 
Total of consolidated trusts
 
(246
)
 
 
 
 
 
 
 
 
 
 
 
Total long-term debt
 
$
(641
)
 
 
 
 
 
 
 
 
 
 
 

 
 
Fair Value Measurements as of December 31, 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(3)
 
$
305

 
Consensus
 
Default Rate (%)
 
1.3
-
4.9
 
3.6
 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.2
-
4.5
 
3.7
 
 
 
 
 
 
 
Severity (%)
 
20.5
-
95.0
 
69.3
 
 
 
 
 
 
 
Spreads (bps)
 
219.0
-
263.3
 
253.1
 
Subprime private-label securities(3)
 
526

 
Consensus
 
Default Rate (%)
 
4.2
-
8.4
 
5.9
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.4
-
5.3
 
3.3
 
 
 
 
 
 
 
Severity (%)
 
55.9
-
95.0
 
73.7
 
 
 
 
 
 
 
Spreads (bps)
 
285.0
 
285.0
 
 
 
73

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
45

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
644

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
437

 
Discounted Cash Flow
 
Spreads (bps)
 
1.5
-
376.2
 
298.9
 
 
 
12

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
449

 
 
 
 
 
 
 
 
 
 
 
Total trading securities
 
$
1,398

 
 
 
 
 
 
 
 
 
 
 


 
 
Fair Value Measurements as of December 31, 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(2)
 
$
4

 
Other
 
 
 
 
 
 
 
 
 
Alt-A private-label securities(3)
 
671

 
Consensus
 
Default Rate (%)
 
0.5
-
40.7
 
3.4
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.7
-
72.6
 
13.5
 
 
 
 
 
 
 
Severity (%)
 
1.4
-
95.0
 
58.5
 
 
 
 
 
 
 
Spreads (bps)
 
225.6

-
280.4
 
260.0
 
 
 
201

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
169

 
Discounted Cash Flow
 
Default Rate (%)
 
4.0
-
5.0
 
4.8
 
 
 
 
 
 
 
Prepayment Speed (%)
 
4.0
-
7.5
 
6.4
 
 
 
 
 
 
 
Severity (%)
 
50.0
-
64.0
 
59.2
 
 
 
 
 
 
 
Spreads (bps)
 
260.0

-
369.4
 
296.5
 
Total Alt-A private-label securities
 
1,041

 
 
 
 
 
 
 
 
 
 
 
Subprime private-label securities(3)
 
343

 
Single Vendor
 
Default Rate (%)
 
2.5
-
7.5
 
4.8
 
 
 
 
 
 
 
Prepayment Speed (%)
 
1.9
-
5.7
 
3.3
 
 
 
 
 
 
 
Severity (%)
 
67.6
-
85.7
 
72.7
 
 
 
 
 
 
 
Spreads (bps)
 
285.0

-
340.0
 
299.6
 
 
 
1,848

 
Consensus
 
Default Rate (%)
 
0.5
-
11.3
 
5.9
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.5
-
11.2
 
3.8
 
 
 
 
 
 
 
Severity (%)
 
20.0
-
95.0
 
79.0
 
 
 
 
 
 
 
Spreads (bps)
 
255.0

-
285.0
 
283.3
 
 
 
945

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
145

 
Other
 
 
 
 
 
 
 
 
 
Total subprime private-label securities
 
3,281

 
 
 
 
 
 
 
 
 
 
 
Mortgage revenue bonds
 
991

 
Single Vendor
 
Spreads (bps)
 
(33.1
)
-
386.8
 
37.9
 
 
 
1,462

 
Discounted Cash Flow
 
Spreads (bps)
 
(15.8
)
-
379.1
 
283.8
 
 
 
248

 
Other
 
 
 
 
 
 
 
 
 
Total mortgage revenue bonds
 
2,701

 
 
 
 
 
 
 
 
 
 
 
Other
 
683

 
Consensus
 
Default Rate (%)
 
0.5
-
4.6
 
3.4
 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.5
-
15.5
 
4.7
 
 
 
 
 
 
 
Severity (%)
 
6.6
-
95.0
 
65.7
 
 
 
 
 
 
 
Spreads (bps)
 
200.0

-
454.4
 
315.6
 
 
 
520

 
Discounted Cash Flow
 
Default Rate (%)
 
0.0
-
1.8
 
0.0
 
 
 
 
 
 
 
Prepayment Speed (%)
 
0.0
-
0.5
 
0.0
 
 
 
 
 
 
 
Severity (%)
 
95.0
 
95.0
 
 
 
 
 
 
 
Spreads (bps)
 
260.0

-
350.0
 
323.6
 
 
 
201

 
Other
 
 
 
 
 
 
 
 
 
Total other
 
1,404

 
 
 
 
 
 
 
 
 
 
 
Total available-for-sale securities
 
$
8,431

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements as of December 31, 2015
 
 
 
Fair Value
 
Significant Valuation Techniques
 
Significant Unobservable Inputs(1)
 
Range(1)
 
Weighted - Average(1)
 
 
 
(Dollars in millions)
 
Mortgage loans:
 
 
 
 
 
 
 
 
 
 
 
 
 
Single-family
 
$
127

 
Build-Up
 
Default Rate (%)
 
0.0
-
99.2
 
34.8

 
 
 
 
 
 
 
Prepayment Speed (%)
 
3.0
-
100.0
 
10.4

 
 
 
 
 
 
 
Severity (%)
 
0.0
-
100.0
 
39.9

 
 
 
632

 
Build-Up
 
 
 
 
 
 
 
 
 
 
 
234

 
Consensus
 
Default Rate (%)
 
0.5
-
5.0
 
3.7

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.5
-
26.0
 
6.4

 
 
 
 
 
 
 
Severity (%)
 
20.0
-
89.1
 
69.0
 
 
 
 
 
 
 
Spreads (bps)
 
255.0
-
277.6
 
264.6

 
 
 
274

 
Consensus
 
 
 
 
 
 
 
 
 
 
 
54

 
Other
 
 
 
 
 
 
 
 
 
Total single-family
 
1,321

 
 
 
 
 
 
 
 
 
 
 
Multifamily
 
156

 
Build-Up
 
Spreads (bps)
 
70.0
-
327.2
 
158.8

 
Total mortgage loans
 
$
1,477

 
 
 
 
 
 
 
 
 
 
 
Net derivatives
 
$
17

 
Internal Model
 
 
 
 
 
 
 
 
 
 
 
136

 
Dealer Mark
 
 
 
 
 
 
 
 
 
 
 
4

 
Other
 
 
 
 
 
 
 
 
 
Total net derivatives
 
$
157

 
 
 
 
 
 
 
 
 
 
 
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae:
 
 
 
 
 
 
 
 
 
 
 
 
 
Senior floating
 
$
(369
)
 
Discounted Cash Flow
 
 
 
 
 
 
 
 
 
Of consolidated trusts(4)
 
(181
)
 
Consensus
 
Default Rate (%)
 
0.5
-
3.8
 
3.4

 
 
 
 
 
 
 
Prepayment Speed (%)
 
2.5
-
26.0
 
5.6

 
 
 
 
 
 
 
Severity (%)
 
20.0
-
80.6
 
67.8
 
 
 
 
 
 
 
Spreads (bps)
 
255.0
-
270.0
 
265.8

 
 
 
(149
)
 
Consensus
 
 
 
 
 
 
 
 
 
 
 
(166
)
 
Other
 
 
 
 
 
 
 
 
 
Total of consolidated trusts
 
(496
)
 
 
 
 
 
 
 
 
 
 
 
Total long-term debt
 
$
(865
)
 
 
 
 
 
 
 
 
 
 
 
_________
(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.
(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 following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis. 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) of Assets Held as of
 
Valuation Techniques
 
March 31, 2016
 
December 31, 2015
 
 
 
 
(Dollars in millions)
 
Nonrecurring fair value measurements:
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale, at lower of cost or fair value
Consensus
 
 
$
1,976

 
 
 
$
3,651

 
 
Single Vendor
 
 
38

 
 
 
336

 
 
Other
 
 
5

 
 
 
4

 
Total mortgage loans held for sale, at lower of cost or fair value
 
 
 
2,019

 
 
 
3,991

 
Single-family mortgage loans held for investment, at amortized cost
Internal Model
 
 
4,469

 
 
 
6,379

 
Multifamily mortgage loans held for investment, at amortized cost
Broker Price Opinions
 
 
19

 
 
 
82

 
 
Asset Manager Estimate
 
 
215

 
 
 
236

 
 
Other
 
 
16

 
 
 
5

 
Total multifamily mortgage loans held for investment, at amortized cost
 
 
 
250

 
 
 
323

 
Acquired property, net:
 
 
 
 
 
 
 
 
 
Single-family
Accepted Offers
 
 
557

 
 
 
541

 
 
Appraisals
 
 
750

 
 
 
1,117

 
 
Walk Forwards
 
 
369

 
 
 
433

 
 
Internal Model
 
 
701

 
 
 
986

 
 
Other
 
 
126

 
 
 
134

 
Total single-family
 
 
 
2,503

 
 
 
3,211

 
Other assets
Other
 
 
11

 
 
 
30

 
Total nonrecurring assets at fair value
 
 
 
$
9,252

 
 
 
$
13,934

 
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 all non-financial instruments; therefore, 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 March 31, 2016
 
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
$
52,789

 
$
37,889

 
$
14,900

 
$

 
$

 
$
52,789

Federal funds sold and securities purchased under agreements to resell or similar arrangements
17,550

 

 
17,550

 

 

 
17,550

Trading securities
40,000

 
30,746

 
8,577

 
677

 

 
40,000

Available-for-sale securities
16,983

 

 
13,362

 
3,621

 

 
16,983

Mortgage loans held for sale
4,639

 

 
150

 
4,864

 

 
5,014

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
204,130

 

 
26,826

 
190,363

 

 
217,189

Of consolidated trusts
2,816,178

 

 
2,660,824

 
220,665

 

 
2,881,489

Mortgage loans held for investment
3,020,308

 

 
2,687,650

 
411,028

 

 
3,098,678

Advances to lenders
4,722

 

 
4,333

 
379

 

 
4,712

Derivative assets at fair value
700

 

 
7,185

 
239

 
(6,724
)
 
700

Guaranty assets and buy-ups
176

 

 

 
513

 

 
513

Total financial assets
$
3,157,867

 
$
68,635

 
$
2,753,707

 
$
421,321

 
$
(6,724
)
 
$
3,236,939

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
Federal funds purchased and securities sold under agreements to repurchase
$
26

 
$

 
$
26

 
$

 
$

 
$
26

Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
60,417

 

 
60,433

 

 

 
60,433

    Of consolidated trusts
822

 

 

 
822

 

 
822

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
310,402

 

 
322,565

 
903

 

 
323,468

    Of consolidated trusts
2,828,129

 

 
2,873,051

 
31,112

 

 
2,904,163

Derivative liabilities at fair value
1,116

 

 
13,706

 
8

 
(12,598
)
 
1,116

Guaranty obligations
320

 

 

 
998

 

 
998

Total financial liabilities
$
3,201,232

 
$

 
$
3,269,781

 
$
33,843

 
$
(12,598
)
 
$
3,291,026


 
As of December 31, 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
$
45,553

 
$
34,953

 
$
10,600

 
$

 
$

 
$
45,553

Federal funds sold and securities purchased under agreements to resell or similar arrangements
27,350

 

 
27,350

 

 

 
27,350

Trading securities
39,908

 
29,485

 
9,025

 
1,398

 

 
39,908

Available-for-sale securities
20,230

 

 
11,799

 
8,431

 

 
20,230

Mortgage loans held for sale
5,361

 

 
157

 
5,541

 

 
5,698

Mortgage loans held for investment, net of allowance for loan losses:
 
 
 
 
 
 
 
 
 
 
 
Of Fannie Mae
206,544

 

 
26,544

 
193,670

 

 
220,214

Of consolidated trusts
2,807,739

 

 
2,675,982

 
157,685

 

 
2,833,667

Mortgage loans held for investment
3,014,283

 

 
2,702,526

 
351,355

 

 
3,053,881

Advances to lenders
4,308

 

 
3,902

 
394

 

 
4,296

Derivative assets at fair value
894

 

 
4,729

 
189

 
(4,024
)
 
894

Guaranty assets and buy-ups
184

 

 

 
544

 

 
544

Total financial assets
$
3,158,071

 
$
64,438

 
$
2,770,088

 
$
367,852

 
$
(4,024
)
 
$
3,198,354

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
Federal funds purchased and securities sold under agreements to repurchase
$
62


$


$
62

 
$

 
$

 
$
62

Short-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
71,007

 

 
71,006

 

 

 
71,006

    Of consolidated trusts
943

 

 

 
944

 

 
944

Long-term debt:
 
 
 
 
 
 
 
 
 
 
 
    Of Fannie Mae
315,128

 

 
324,248

 
898

 

 
325,146

    Of consolidated trusts
2,810,593

 

 
2,819,733

 
27,175

 

 
2,846,908

Derivative liabilities at fair value
424

 

 
9,042

 
32

 
(8,650
)
 
424

Guaranty obligations
329

 

 

 
1,012

 

 
1,012

Total financial liabilities
$
3,198,486

 
$

 
$
3,224,091

 
$
30,061

 
$
(8,650
)
 
$
3,245,502

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
 
 
 
March 31, 2016
 
 
 
December 31, 2015
 
 
Loans(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts
 
Loans(1)
 
Long-Term Debt of Fannie Mae
 
Long-Term Debt of Consolidated Trusts
 
 
(Dollars in millions)
 
Fair value
 
$
13,714

 
 
 
$
10,901

 
 
 
$
28,563

 
 
 
$
14,075

 
 
 
$
11,133

 
 
 
$
23,609

 
Unpaid principal balance
 
13,087

 
 
 
10,945

 
 
 
25,685

 
 
 
13,661

 
 
 
11,263

 
 
 
21,604

 
__________
(1) 
Includes nonaccrual loans with a fair value of $149 million and $238 million as of March 31, 2016 and December 31, 2015, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of March 31, 2016 and December 31, 2015 was $31 million and $59 million, respectively. Includes loans that are 90 days or more past due with a fair value of $174 million and $256 million as of March 31, 2016 and December 31, 2015, respectively. The difference between unpaid principal balance and the fair value of these 90 or more days past due loans as of March 31, 2016 and December 31, 2015 was $26 million and $52 million, 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, net” in our condensed consolidated statements of operations and comprehensive income.
 
For the Three Months Ended March 31,
 
2016
 
2015
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
Loans
 
Long-Term Debt
 
Total Gains (Losses)
 
(Dollars in millions)
Changes in instrument-specific credit risk
$
13

 
 
$
(52
)
 
 
 
$
(39
)
 
 
$
(12
)
 
 
$
(193
)
 
 
 
$
(205
)
Other changes in fair value
218

 
 
(302
)
 
 
 
(84
)
 
 
167

 
 
(188
)
 
 
 
(21
)
Fair value gains (losses), net
$
231

 
 
$
(354
)
 
 
 
$
(123
)
 
 
$
155

 
 
$
(381
)
 
 
 
$
(226
)