XML 76 R44.htm IDEA: XBRL DOCUMENT

Fair Value (Tables)

3 Months Ended

Mar. 31, 2019

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, 2019
	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		$	—		$	1,516		$	67		$	—			$	1,583
Other agency		—			3,158			—			—				3,158
Private-label and other mortgage securities		—			1,054			—			—				1,054
Non-mortgage-related securities:
U.S. Treasury securities		35,020			—			—			—				35,020
Other securities		—			84			—			—				84
Total trading securities		35,020			5,812			67			—				40,899
Available-for-sale securities:
Mortgage-related securities:
Fannie Mae		—			1,553			199			—				1,752
Other agency		—			242			—			—				242
Alt-A and subprime private-label securities		—			429			23			—				452
Mortgage revenue bonds		—			—			425			—				425
Other		—			6			337			—				343
Total available-for-sale securities		—			2,230			984			—				3,214
Mortgage loans		—			7,818			934			—				8,752
Other assets:
Risk management derivatives:
Swaps		—			1,633			134			—				1,767
Swaptions		—			97			—			—				97
Netting adjustment		—			—			—			(1,781		)		(1,781		)
Mortgage commitment derivatives		—			399			40			—				439
Credit enhancement derivatives		—			—			62			—				62
Total other assets		—			2,129			236			(1,781		)		584
Total assets at fair value		$	35,020		$	17,989		$	2,221		$	(1,781	)		$	53,449



	Fair Value Measurements as of March 31, 2019
	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		$	—		$	6,306		$	376		$	—			$	6,682
Total of Fannie Mae		—			6,306			376			—				6,682
Of consolidated trusts		—			22,826			224			—				23,050
Total long-term debt		—			29,132			600			—				29,732
Other liabilities:
Risk management derivatives:
Swaps		—			1,891			1			—				1,892
Swaptions		—			332			—			—				332
Netting adjustment		—			—			—			(2,126		)		(2,126		)
Mortgage commitment derivatives		—			663			3			—				666
Credit enhancement derivatives		—			—			29			—				29
Total other liabilities		—			2,886			33			(2,126		)		793
Total liabilities at fair value		$	—		$	32,018		$	633		$	(2,126	)		$	30,525



	Fair Value Measurements as of December 31, 2018
	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:
Cash equivalents⁽²⁾		$	748		$	—		$	—		$	—			$	748
Trading securities:
Mortgage-related securities:
Fannie Mae		—			1,435			32			—				1,467
Other agency		—			3,503			—			—				3,503
Private-label and other mortgage securities		—			1,305			1			—				1,306
Non-mortgage-related securities:
U.S. Treasury securities		35,502			—			—			—				35,502
Other Securities		—			89			—			—				89
Total trading securities		35,502			6,332			33			—				41,867
Available-for-sale securities:
Mortgage-related securities:
Fannie Mae		—			1,645			152			—				1,797
Other agency		—			256			—			—				256
Alt-A and subprime private-label securities		—			568			24			—				592
Mortgage revenue bonds		—			—			434			—				434
Other		—			8			342			—				350
Total available-for-sale securities		—			2,477			952			—				3,429
Mortgage loans		—			7,985			937			—				8,922
Other assets:
Risk management derivatives:
Swaps		—			1,962			115			—				2,077
Swaptions		—			211			—			—				211
Netting adjustment		—			—			—			(2,266		)		(2,266		)
Mortgage commitment derivatives		—			342			37			—				379
Credit enhancement derivatives		—			—			57			—				57
Total other assets		—			2,515			209			(2,266		)		458
Total assets at fair value		$	36,250		$	19,309		$	2,131		$	(2,266	)		$	55,424



	Fair Value Measurements as of December 31, 2018
	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		$	—		$	6,475		$	351		$	—			$	6,826
Total of Fannie Mae		—			6,475			351			—				6,826
Of consolidated trusts		—			23,552			201			—				23,753
Total long-term debt		—			30,027			552			—				30,579
Other liabilities:
Risk management derivatives:
Swaps		—			2,089			2			—				2,091
Swaptions		—			342			—			—				342
Netting adjustment		—			—			—			(2,315		)		(2,315		)
Mortgage commitment derivatives		—			646			2			—				648
Credit enhancement derivatives		—			—			11			—				11
Total other liabilities		—			3,077			15			(2,315		)		777
Total liabilities at fair value		$	—		$	33,104		$	567		$	(2,315	)		$	31,356


⁽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.

⁽²⁾

Cash equivalents are comprised of U.S. Treasuries that have a maturity at the date of acquisition of three months or less.

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 realized and unrealized gains and losses, recognized in our condensed consolidated statements of operations and comprehensive income for Level 3 assets and liabilities.



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Three Months Ended March 31, 2019
				Total Gains (Losses) (Realized/Unrealized)																									Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2019⁽⁵⁾⁽⁶⁾			Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2019⁽¹⁾
	Balance, December 31, 2018			Included in Net Income				Included in Total OCI Gain/(Loss)⁽¹⁾			Purchases⁽²⁾		Sales⁽²⁾		Issues⁽³⁾		Settlements⁽³⁾			Transfers out of Level 3			Transfers into Level 3			Balance, March 31, 2019
	(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae	$	32		$	2			$	—		$	—	$	—	$	—	$	—		$	—		$	33		$	67		$	2		$	—
Private-label and other mortgage securities	1			—				—			—		—		—		(1		)	—			—			—			—			—
Total trading securities	$	33		$	2		⁽⁶⁾⁽⁷⁾	$	—		$	—	$	—	$	—	$	(1	)	$	—		$	33		$	67		$	2		$	—

Available-for-sale securities:
Mortgage-related:
Fannie Mae	$	152		$	—			$	4		$	—	$	—	$	—	$	—		$	(41	)	$	84		$	199		$	—		$	2
Alt-A and subprime private-label securities	24			—				—			—		—		—		(1		)	—			—			23			—			—
Mortgage revenue bonds	434			—				—			—		—		—		(9		)	—			—			425			—			—
Other	342			7				(5		)	—		—		—		(8		)	—			1			337			—			(4		)
Total available-for-sale securities	$	952		$	7		⁽⁷⁾⁽⁸⁾	$	(1	)	$	—	$	—	$	—	$	(18	)	$	(41	)	$	85		$	984		$	—		$	(2	)

Mortgage loans	$	937		$	14		⁽⁶⁾⁽⁷⁾	$	—		$	—	$	—	$	—	$	(34	)	$	(28	)	$	45		$	934		$	11		$	—
Net derivatives	194			98			⁽⁶⁾	—			—		—		—		(89		)	—			—			203			44			—
Long-term debt:
Of Fannie Mae:
Senior floating	(351		)	(25		)		—			—		—		—		—			—			—			(376		)	(25		)	—
Of consolidated trusts	(201		)	(3		)		—			—		—		—		5			49			(74		)	(224		)	(1		)	—
Total long-term debt	$	(552	)	$	(28	)	⁽⁶⁾	$	—		$	—	$	—	$	—	$	5		$	49		$	(74	)	$	(600	)	$	(26	)	$	—



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Three Months Ended March 31, 2018
				Total Gains (Losses) (Realized/Unrealized)																										Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2018⁽⁵⁾⁽⁶⁾			Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2018⁽¹⁾
	Balance, December 31, 2017			Included in Net Income				Included in Total OCI (Loss)⁽¹⁾			Purchases⁽²⁾		Sales⁽²⁾			Issues⁽³⁾		Settlements⁽³⁾			Transfers out of Level 3⁽⁴⁾			Transfers into Level 3			Balance, March 31, 2018
	(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae	$	971		$	171			$	—		$	1	$	(1,060	)	$	—	$	—		$	—		$	—		$	83		$	1		$	—
Other agency	35			(1		)		—			—		—			—		(1		)	(33		)	—			—			—			—
Private-label and other mortgage securities	195			(85		)		—			—		—			—		(5		)	(104		)	—			1			—			—
Total trading securities	$	1,201		$	85		⁽⁶⁾⁽⁷⁾	$	—		$	1	$	(1,060	)	$	—	$	(6	)	$	(137	)	$	—		$	84		$	1		$	—

Available-for-sale securities:
Mortgage-related:
Fannie Mae	$	208		$	—			$	(4	)	$	—	$	—		$	—	$	(2	)	$	—		$	—		$	202		$	—		$	(3	)
Alt-A and subprime private-label securities	77			—				(45		)	—		—			—		(1		)	(4		)	—			27			—			1
Mortgage revenue bonds	671			11				(13		)	—		(11		)	—		(119		)	—			—			539			—			(8		)
Other	357			7				(2		)	—		—			—		(11		)	—			—			351			—			—
Total available-for-sale securities	$	1,313		$	18		⁽⁷⁾⁽⁸⁾	$	(64	)	$	—	$	(11	)	$	—	$	(133	)	$	(4	)	$	—		$	1,119		$	—		$	(10	)

Mortgage loans	$	1,116		$	17		⁽⁶⁾⁽⁷⁾	$	—		$	—	$	—		$	—	$	(48	)	$	(36	)	$	53		$	1,102		$	11		$	—
Net derivatives	134			(58		)	⁽⁶⁾	—			—		—			—		4			53			—			133			(22		)	—
Long-term debt:
Of Fannie Mae:
Senior floating	(376		)	19				—			—		—			—		—			—			—			(357		)	19			—
Of consolidated trusts	(582		)	3				—			—		—			1		10			154			(48		)	(462		)	1			—
Total long-term debt	$	(958	)	$	22		⁽⁶⁾	$	—		$	—	$	—		$	1	$	10		$	154		$	(48	)	$	(819	)	$	20		$	—


⁽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. For the three months ended March 31, 2018, includes the dissolution of a Fannie Mae-wrapped private-label securities trust.


⁽³⁾	Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.

⁽⁴⁾

Transfers out of Level 3 during the first quarter of 2018 consisted primarily of mortgage loans of consolidated trusts for which unobservable inputs used in valuations became less significant. Transfers out of Level 3 also included 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 demonstrated an increased and sustained level of observability over 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, excluding instruments for which we have elected the fair value option. Changes in these unobservable inputs can result in significantly higher or lower fair value measurements of these assets and liabilities as of the reporting date.



	Fair Value Measurements as of March 31, 2019
	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⁾	$	67	Various

Available-for-sale securities:
Mortgage-related securities:
Agency⁽²⁾	$	105	Consensus
	94		Various
Total agency	199
Alt-A and subprime private-label securities	23		Various
Mortgage revenue bonds	304		Single Vendor	Spreads (bps)	16.0	-	265.2	71.2
	121		Various
Total mortgage revenue bonds	425
Other	289		Discounted Cash Flow	Default Rate (%)	4.1			4.1
				Prepayment Speed (%)	4.6			4.6
				Severity (%)	95.0			95.0
				Spreads (bps)	68.2	-	290.0	289.4
	48		Various
Total other	337
Total available-for-sale securities	$	984
Net derivatives	$	132	Dealer Mark
	71		Various
Total net derivatives	$	203



	Fair Value Measurements as of December 31, 2018
	Fair Value		Significant Valuation Techniques	Significant Unobservable Inputs⁽¹⁾	Range⁽¹⁾				Weighted - Average⁽¹⁾⁽²⁾
	(Dollars in millions)
Recurring fair value measurements:
Trading securities:
Mortgage-related securities:
Agency⁽²⁾	$	32	Various
Private-label securities and other mortgage securities	1		Various
Total trading securities	$	33

Available-for-sale securities:
Mortgage-related securities:
Agency⁽²⁾	$	152	Various

Alt-A and subprime private-label securities	24		Various
Mortgage revenue bonds	349		Single Vendor	Spreads(bps)	(0.5	)	-	332.8	59.0
	85		Various
Total mortgage revenue bonds	434
Other	294		Discounted Cash Flow	Default Rate(%)	4.7				4.7
				Prepayment Speed(%)	8.2				8.2
				Severity(%)	70.0				70.0
				Spreads(bps)	75.4		-	390.0	389.1
	48		Various
Total other	342
Total available-for-sale securities	$	952
Net derivatives	$	113	Dealers Mark
	81		Various
Total net derivatives	$	194

⁽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⁾	Unobservable inputs were weighted by the relative fair value of the instruments.

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 as of
	Valuation Techniques	March 31, 2019		December 31, 2018

Nonrecurring fair value measurements:
Mortgage loans held for sale, at lower of cost or fair value	Consensus	$	1,487	$	631
	Single Vendor	828		1,119
	Various	1		—
Total mortgage loans held for sale, at lower of cost or fair value		2,316		1,750

Single-family mortgage loans held for investment, at amortized cost	Internal Model	609		818
Multifamily mortgage loans held for investment, at amortized cost	Asset Manager Estimate	153		102
	Various	10		40
Total multifamily mortgage loans held for investment, at amortized cost		163		142
Acquired property, net:⁽¹⁾
Single-family	Accepted Offers	153		151
	Appraisals	346		419
	Walk Forwards	158		181
	Internal Model	147		219
	Various	37		41
Total single-family		841		1,011
Multifamily	Various	5		50
Other assets	Various	—		—
Total nonrecurring assets at fair value		$	3,934	$	3,771

⁽¹⁾

The most commonly used techniques in our valuation of acquired property are proprietary home price model and third-party valuations (both current and walk forward). Based on the number of properties measured as of March 31, 2019, these methodologies comprised approximately 78% of our valuations, while accepted offers comprised approximately 18% of our valuations. Based on the number of properties measured as of December 31, 2018, these methodologies comprised approximately 82% of our valuations, while accepted offers comprised approximately 15% of our valuations.

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, 2019
	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	$	52,241	$	34,641	$	17,600	$	—	$	—		$	52,241
Federal funds sold and securities purchased under agreements to resell or similar arrangements	22,250		—		22,250		—		—			22,250
Trading securities	40,899		35,020		5,812		67		—			40,899
Available-for-sale securities	3,214		—		2,230		984		—			3,214
Mortgage loans held for sale	10,066		—		2,729		7,931		—			10,660
Mortgage loans held for investment, net of allowance for loan losses	3,249,699		—		2,982,238		275,207		—			3,257,445
Advances to lenders	4,246		—		4,244		2		—			4,246
Derivative assets at fair value	584		—		2,129		236		(1,781		)	584
Guaranty assets and buy-ups	159		—		—		370		—			370
Total financial assets	$	3,383,358	$	69,661	$	3,039,232	$	284,797	$	(1,781	)	$	3,391,909

Financial liabilities:
Short-term debt:
Of Fannie Mae	$	23,071	$	—	$	23,078	$	—	$	—		$	23,078
Long-term debt:
Of Fannie Mae	198,167		—		204,060		813		—			204,873
Of consolidated trusts	3,173,772		—		3,118,819		43,205		—			3,162,024
Derivative liabilities at fair value	793		—		2,886		33		(2,126		)	793
Guaranty obligations	170		—		—		107		—			107
Total financial liabilities	$	3,395,973	$	—	$	3,348,843	$	44,158	$	(2,126	)	$	3,390,875



	As of December 31, 2018
	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	$	49,423	$	34,073	$	15,350	$	—	$	—		$	49,423
Federal funds sold and securities purchased under agreements to resell or similar arrangements	32,938		—		32,938		—		—			32,938
Trading securities	41,867		35,502		6,332		33		—			41,867
Available-for-sale securities	3,429		—		2,477		952		—			3,429
Mortgage loans held for sale	7,701		—		238		7,856		—			8,094
Mortgage loans held for investment, net of allowance for loan losses	3,241,694		—		2,990,104		216,404		—			3,206,508
Advances to lenders	3,356		—		3,354		2		—			3,356
Derivative assets at fair value	458		—		2,515		209		(2,266		)	458
Guaranty assets and buy-ups	147		—		—		356		—			356
Total financial assets	$	3,381,013	$	69,575	$	3,053,308	$	225,812	$	(2,266	)	$	3,346,429

Financial liabilities:
Short-term debt:
Of Fannie Mae	$	24,896	$	—	$	24,901	$	—	$	—		$	24,901
Long-term debt:
Of Fannie Mae	207,178		—		211,403		771		—			212,174
Of consolidated trusts	3,159,846		—		3,064,239		39,043		—			3,103,282
Derivative liabilities at fair value	777		—		3,077		15		(2,315		)	777
Guaranty obligations	160		—		—		121		—			121
Total financial liabilities	$	3,392,857	$	—	$	3,303,620	$	39,950	$	(2,315	)	$	3,341,255

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, 2019									December 31, 2018
	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		$	8,752		$	6,682		$	23,050		$	8,922		$	6,826		$	23,753
Unpaid principal balance		8,578			6,050			21,216			8,832			6,241			22,080

⁽¹⁾

Includes nonaccrual loans with a fair value of $145 million and $161 million as of March 31, 2019 and December 31, 2018, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of March 31, 2019 and December 31, 2018 was $16 million and $19 million, respectively. Includes loans that are 90 days or more past due with a fair value of $95 million and $102 million as of March 31, 2019 and December 31, 2018, respectively. The difference between unpaid principal balance and the fair value of these 90 or more days past due loans as of March 31, 2019 and December 31, 2018 was $12 million and $14 million, respectively.