Fair Value (Tables)

6 Months Ended

Jun. 30, 2016

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, 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		$	—		$	5,352		$	—		$	—			$	5,352
Freddie Mac		—			1,328			—			—				1,328
Ginnie Mae		—			542			—			—				542
Alt-A private-label securities		—			57			259			—				316
Subprime private-label securities		—			351			44			—				395
CMBS		—			1,389			—			—				1,389
Mortgage revenue bonds		—			—			193			—				193
Non-mortgage-related securities:
U.S. Treasury securities		29,652			—			—			—				29,652
Total trading securities		29,652			9,019			496			—				39,167
Available-for-sale securities:
Mortgage-related securities:
Fannie Mae		—			3,336			—			—				3,336
Freddie Mac		—			2,037			1			—				2,038
Ginnie Mae		—			66			—			—				66
Alt-A private-label securities		—			1,652			175			—				1,827
Subprime private-label securities		—			2,200			173			—				2,373
CMBS		—			1,023			—			—				1,023
Mortgage revenue bonds		—			—			2,029			—				2,029
Other		—			38			450			—				488
Total available-for-sale securities		—			10,352			2,828			—				13,180
Mortgage loans		—			12,133			1,280			—				13,413
Other assets:
Risk management derivatives:
Swaps		—			7,389			216			—				7,605
Swaptions		—			36			—			—				36
Other		—			—			27			—				27
Netting adjustment		—			—			—			(7,530		)		(7,530		)
Mortgage commitment derivatives		—			623			14			—				637
Total other assets		—			8,048			257			(7,530		)		775
Total assets at fair value		$	29,652		$	39,552		$	4,861		$	(7,530	)		$	66,535



	Fair Value Measurements as of June 30, 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		$	—		$	10,240		$	410		$	—		$	10,650
Total of Fannie Mae		—			10,240			410			—			10,650
Of consolidated trusts		—			32,472			326			—			32,798
Total long-term debt		—			42,712			736			—			43,448
Other liabilities:
Risk management derivatives:
Swaps		—			14,283			4			—			14,287
Swaptions		—			158			—			—			158
Other		—			—			1			—			1
Netting adjustment		—			—			—			(14,269		)	(14,269		)
Mortgage commitment derivatives		—			954			4			—			958
Total other liabilities		—			15,395			9			(14,269		)	1,135
Total liabilities at fair value		$	—		$	58,107		$	745		$	(14,269	)	$	44,583



	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

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⁽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, 2016
				Total Gains (Losses) (Realized/Unrealized)																												Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2016⁽⁵⁾⁽⁶⁾
	Balance, March 31, 2016			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, June 30, 2016
	(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae	$	25		$	—				$	—		$	—	$	—		$	—		$	(1	)	$	(24	)	$	—		$	—			$	—
Freddie Mac	1			—					—			—		—			—			—			(1		)	—			—				—
Alt-A private-label securities	245			24					—			—		—			—			(10		)	—			—			259				25
Subprime private-label securities	43			3					—			—		—			—			(2		)	—			—			44				2
Mortgage revenue bonds	363			17					—			—		(184		)	—			(3		)	—			—			193				6
Total trading securities	$	677		$	44		(6)(7)		$	—		$	—	$	(184	)	$	—		$	(16	)	$	(25	)	$	—		$	496			$	33
Available-for-sale securities:
Mortgage-related:
Fannie Mae	$	1		$	—				$	—		$	—	$	—		$	—		$	—		$	(1	)	$	—		$	—			$	—
Freddie Mac	2			—					—			—		—			—			—			(1		)	—			1				—
Alt-A private-label securities	177			—					2			—		—			—			(4		)	—			—			175				—
Subprime private-label securities	222			1					7			—		—			—			(57		)	—			—			173				—
Mortgage revenue bonds	2,564			76					18			—		(568		)	—			(61		)	—			—			2,029				—
Other	655			3					(1		)	—		(201		)	—			(6		)	—			—			450				—
Total available-for-sale securities	$	3,621		$	80		(7)(8)		$	26		$	—	$	(769	)	$	—		$	(128	)	$	(2	)	$	—		$	2,828			$	—
Mortgage loans	$	1,311		$	15		(6)(7)		$	—		$	25	$	—		$	—		$	(67	)	$	(19	)	$	15		$	1,280			$	10
Net derivatives	231			52			(6)		—			—		—			(3		)	(33		)	—			1			248				41
Long-term debt:
Of Fannie Mae:
Senior floating	$	(395	)	$	(15	)			$	—		$	—	$	—		$	—		$	—		$	—		$	—		$	(410	)		$	(15	)
Of consolidated trusts	(246		)	(7		)			—			—		—			(47		)	9			8			(43		)	(326		)		(7		)
Total long-term debt	$	(641	)	$	(22	)	(6)		$	—		$	—	$	—		$	(47	)	$	9		$	8		$	(43	)	$	(736	)		$	(22	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Six Months Ended June 30, 2016
				Total Gains (Losses) (Realized/Unrealized)																												Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 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, June 30, 2016
	(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae	$	—		$	—				$	—		$	—	$	—		$	—		$	(1	)	$	(24	)	$	25		$	—			$	—
Freddie Mac	—			—					—			—		—			—			—			(1		)	1			—				—
Alt-A private-label securities	305			(30		)			—			—		—			—			(16		)	—			—			259				(30		)
Subprime private-label securities	644			(34		)			—			—		(187		)	—			(16		)	(363		)	—			44				(10		)
Mortgage revenue bonds	449			29					—			—		(279		)	—			(6		)	—			—			193				10
Total trading securities	$	1,398		$	(35	)	(6)(7)		$	—		$	—	$	(466	)	$	—		$	(39	)	$	(388	)	$	26		$	496			$	(30	)
Available-for-sale securities:
Mortgage-related:
Fannie Mae	$	—		$	—				$	—		$	—	$	—		$	—		$	—		$	(1	)	$	1		$	—			$	—
Freddie Mac	4			—					—			—		—			—			—			(3		)	—			1				—
Alt-A private-label securities	1,041			12					(27		)	—		(291		)	—			(44		)	(516		)	—			175				—
Subprime private-label securities	3,281			92					(132		)	—		(584		)	—			(161		)	(2,323		)	—			173				—
Mortgage revenue bonds	2,701			80					48			—		(611		)	—			(189		)	—			—			2,029				—
Other	1,404			—					(26		)	—		(605		)	—			(39		)	(284		)	—			450				—
Total available-for-sale securities	$	8,431		$	184		(7)(8)		$	(137	)	$	—	$	(2,091	)	$	—		$	(433	)	$	(3,127	)	$	1		$	2,828			$	—
Mortgage loans	$	1,477		$	116		(6)(7)		$	—		$	25	$	(320	)	$	—		$	(139	)	$	(84	)	$	205		$	1,280			$	20
Net derivatives	157			232			(6)		—			—		—			(7		)	(133		)	(2		)	1			248				76
Long-term debt:
Of Fannie Mae:
Senior floating	$	(369	)	$	(41	)			$	—		$	—	$	—		$	—		$	—		$	—		$	—		$	(410	)		$	(41	)
Of consolidated trusts	(496		)	(75		)			—			—		—			(54		)	318			45			(64		)	(326		)		(8		)
Total long-term debt	$	(865	)	$	(116	)	(6)		$	—		$	—	$	—		$	(54	)	$	318		$	45		$	(64	)	$	(736	)		$	(49	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Three Months Ended June 30, 2015
				Total Gains (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 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, 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	$	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 Gains (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, 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, 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	$	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

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⁽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. 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 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, 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:
Alt-A private-label securities⁽²⁾	$	37	Single Vendor	Default Rate (%)	1.8			1.8
				Prepayment Speed (%)	3.1			3.1
				Severity (%)	72.0			72.0
				Spreads (bps)	335.5			335.5
	222		Consensus	Default Rate (%)	2.0	-	5.0	4.2
				Prepayment Speed (%)	3.0	-	8.0	6.7
				Severity (%)	50.0	-	95.0	83.3
				Spreads (bps)	280.0	-	493.4	437.8
Total Alt-A private-label securities	259
Subprime private-label securities⁽²⁾	44		Single Vendor	Default Rate (%)	5.0			5.0
				Prepayment Speed (%)	5.0			5.0
				Severity (%)	75.0			75.0
				Spreads (bps)	667.8			667.8
Total subprime private-label securities	44
Mortgage revenue bonds	185		Discounted Cash Flow	Spreads (bps)	27.5	-	321.4	317.3
	8		Other
Total mortgage revenue bonds	193
Total trading securities	$	496



	Fair Value Measurements as of June 30, 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⁽³⁾	$	1	Other
Alt-A private-label securities⁽²⁾	121		Consensus	Default Rate (%)	3.0	-	6.0	3.4
				Prepayment Speed (%)	5.0	-	8.0	5.2
				Severity (%)	60.0	-	80.0	61.6
				Spreads (bps)	302.5	-	342.0	330.2
	54		Discounted Cash Flow	Default Rate (%)	6.0			6.0
				Prepayment Speed (%)	8.0			8.0
				Severity (%)	65.0			65.0
				Spreads (bps)	301.6	-	367.0	355.2
Total Alt-A private-label securities	175
Subprime private-label securities⁽²⁾	123		Dealer Mark	Default Rate (%)	6.5	-	10.0	8.3
				Prepayment Speed (%)	5.0	-	6.0	5.5
				Severity (%)	85.0	-	95.0	90.0
				Spreads (bps)	330.0			330.0
	50		Other
Total subprime private-label securities	173
Mortgage revenue bonds	951		Single Vendor	Spreads (bps)	7.5	-	414.3	60.3
	970		Discounted Cash Flow	Spreads (bps)	7.5	-	442.8	286.8
	108		Other
Total mortgage revenue bonds	2,029
Other	87		Consensus	Default Rate (%)	0.5	-	3.5	3.5
				Prepayment Speed (%)	2.5	-	5.0	2.5
				Severity (%)	20.0	-	88.0	87.7
				Spreads (bps)	303.5	-	453.0	376.1
	357		Discounted Cash Flow	Default Rate (%)	0.8			0.8
				Prepayment Speed (%)	1.0			1.0
				Severity (%)	95.0			95.0
				Spreads (bps)	220.0	-	487.0	485.1
	6		Other
Total other	450
Total available-for-sale securities	$	2,828



	Fair Value Measurements as of June 30, 2016
	Fair Value			Significant Valuation Techniques	Significant Unobservable Inputs⁽¹⁾	Range⁽¹⁾			Weighted - Average⁽¹⁾
	(Dollars in millions)
Mortgage loans:
Single-family	$	572		Build-Up
	149			Consensus	Default Rate (%)	1.0	-	7.0	3.1
					Prepayment Speed (%)	3.0	-	23.3	7.3
					Severity (%)	44.0	-	95.0	70.5
					Spreads (bps)	245.0	-	310.0	259.7
	239			Consensus
	164			Other
Total single-family	1,124
Multifamily	156			Build-Up	Spreads (bps)	80.0	-	387.2	194.0
Total mortgage loans	$	1,280
Net derivatives	$	212		Dealer Mark
	36			Other
Total net derivatives	$	248
Long-term debt:
Of Fannie Mae:
Senior floating	$	(410	)	Discounted Cash Flow
Of consolidated trusts⁽⁴⁾	(125		)	Discounted Cash Flow	Default Rate (%)	2.0	-	7.0	4.9
					Prepayment Speed (%)	3.0	-	100.0	92.4
					Severity (%)	58.0	-	95.0	83.0
					Spreads (bps)	88.0	-	366.3	224.7
	(201		)	Other
Total of consolidated trusts	(326		)
Total long-term debt	$	(736	)



	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⁽²⁾	$	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
Total Alt-A private-label securities	305
Subprime private-label securities⁽²⁾	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⁽³⁾	$	4	Other
Alt-A private-label securities⁽²⁾	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⁽²⁾	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⁾	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 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	June 30, 2016			December 31, 2015
			(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans held for sale, at lower of cost or fair value	Consensus		$	1,919		$	3,651
	Single Vendor		32			336
	Other		3			4
Total mortgage loans held for sale, at lower of cost or fair value			1,954			3,991
Single-family mortgage loans held for investment, at amortized cost	Internal Model		3,640			6,379
Multifamily mortgage loans held for investment, at amortized cost	Broker Price Opinions		27			82
	Asset Manager Estimate		211			236
	Other		5			5
Total multifamily mortgage loans held for investment, at amortized cost			243			323
Acquired property, net:
Single-family	Accepted Offers		443			541
	Appraisals		728			1,117
	Walk Forwards		307			433
	Internal Model		476			986
	Other		60			134
Total single-family			2,014			3,211
Multifamily	Other		9			—
Other assets	Other		12			30
Total nonrecurring assets at fair value			$	7,872		$	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 June 30, 2016
	Carrying Value		Quoted Prices 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	$	61,316	$	42,196	$	19,120	$	—	$	—		$	61,316
Federal funds sold and securities purchased under agreements to resell or similar arrangements	22,325		—		22,325		—		—			22,325
Trading securities	39,167		29,652		9,019		496		—			39,167
Available-for-sale securities	13,180		—		10,352		2,828		—			13,180
Mortgage loans held for sale	4,277		—		401		4,268					4,669
Mortgage loans held for investment, net of allowance for loan losses:
Of Fannie Mae	201,243		—		29,508		183,942		—			213,450
Of consolidated trusts	2,824,349		—		2,676,296		231,183		—			2,907,479
Mortgage loans held for investment	3,025,592		—		2,705,804		415,125		—			3,120,929
Advances to lenders	5,288		—		4,915		365		—			5,280
Derivative assets at fair value	775		—		8,048		257		(7,530		)	775
Guaranty assets and buy-ups	141		—		—		454		—			454
Total financial assets	$	3,172,061	$	71,848	$	2,779,984	$	423,793	$	(7,530	)	$	3,268,095

Financial liabilities:
Federal funds purchased and securities sold under agreements to repurchase	$	115	$	—	$	115	$	—	$	—		$	115
Short-term debt:
Of Fannie Mae	60,495		—		60,520		—		—			60,520
Of consolidated trusts	742		—		—		742		—			742
Long-term debt:
Of Fannie Mae	301,923		—		315,023		881		—			315,904
Of consolidated trusts	2,848,744		—		2,901,213		40,138		—			2,941,351
Derivative liabilities at fair value	1,135		—		15,395		9		(14,269		)	1,135
Guaranty obligations	276		—		—		890		—			890
Total financial liabilities	$	3,213,430	$	—	$	3,292,266	$	42,660	$	(14,269	)	$	3,320,657



	As of December 31, 2015
	Carrying Value		Quoted Prices 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
		June 30, 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		$	13,413		$	10,650		$	32,798		$	14,075		$	11,133		$	23,609
Unpaid principal balance		12,690			10,511			29,365			13,661			11,263			21,604

__________

⁽¹⁾

Includes nonaccrual loans with a fair value of $152 million and $238 million as of June 30, 2016 and December 31, 2015, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of June 30, 2016 and December 31, 2015 was $32 million and $59 million, respectively. Includes loans that are 90 days or more past due with a fair value of $162 million and $256 million as of June 30, 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 June 30, 2016 and December 31, 2015 was $25 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 gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.



	For the Three Months Ended June 30,
	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	$	19		$	(169	)		$	(150	)	$	49			$	88		$	137
Other changes in fair value	126			(144		)		(18		)	(217		)		227			10
Fair value gains (losses), net	$	145		$	(313	)		$	(168	)	$	(168	)		$	315		$	147



	For the Six Months Ended June 30,
	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	$	32		$	(221	)		$	(189	)	$	37			$	(105	)		$	(68	)
Other changes in fair value	344			(446		)		(102		)	(50		)		39				(11		)
Fair value gains (losses), net	$	376		$	(667	)		$	(291	)	$	(13	)		$	(66	)		$	(79	)

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References + Details