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Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

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, 2020
	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		$	—	$	3,462		$	68		$	—	$	3,530
Other agency		—		4,167			—			—		4,167
Private-label and other mortgage securities		—		350			94			—		444
Non-mortgage-related securities:
U.S. Treasury securities		44,727		—			—			—		44,727
Other securities		—		73			—			—		73
Total trading securities		44,727		8,052			162			—		52,941
Available-for-sale securities:
Mortgage-related securities:
Fannie Mae		—		1,317			188			—		1,505
Other agency		—		190			—			—		190
Alt-A and subprime private-label securities		—		7			—			—		7
Mortgage revenue bonds		—		—			296			—		296
Other		—		7			284			—		291
Total available-for-sale securities		—		1,521			768			—		2,289
Mortgage loans		—		7,063			638			—		7,701
Other assets:
Risk management derivatives:
Swaps		—		1,370			210			—		1,580
Swaptions		—		626			—			—		626
Netting adjustment		—		—			—			(2,137)		(2,137)
Mortgage commitment derivatives		—		2,665			—			—		2,665
Credit enhancement derivatives		—		—			37			—		37
Total other assets		—		4,661			247			(2,137)		2,771
Total assets at fair value		$	44,727	$	21,297		$	1,815		$	(2,137)	$	65,702

Liabilities:
Long-term debt:
Of Fannie Mae:

Senior floating		$	—	$	4,320		$	432		$	—	$	4,752
Total of Fannie Mae		—		4,320			432			—		4,752
Of consolidated trusts		—		22,772			83			—		22,855
Total long-term debt		—		27,092			515			—		27,607
Other liabilities:
Risk management derivatives:
Swaps		—		2,334			1			—		2,335
Swaptions		—		458			—			—		458
Netting adjustment		—		—			—			(2,607)		(2,607)
Mortgage commitment derivatives		—		3,594			—			—		3,594
Credit enhancement derivatives		—		—			29			—		29
Total other liabilities		—		6,386			30			(2,607)		3,809
Total liabilities at fair value		$	—	$	33,478		$	545		$	(2,607)	$	31,416


	Fair Value Measurements as of December 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		$	—	$	3,379		$	45		$	—	$	3,424
Other agency		—		4,489			1			—		4,490
Private-label and other mortgage securities		—		629			—			—		629
Non-mortgage-related securities:
U.S. Treasury securities		39,501		—			—			—		39,501
Other securities		—		79			—			—		79
Total trading securities		39,501		8,576			46			—		48,123
Available-for-sale securities:
Mortgage-related securities:
Fannie Mae		—		1,349			171			—		1,520
Other agency		—		198			—			—		198
Alt-A and subprime private-label securities		—		57			—			—		57
Mortgage revenue bonds		—		—			315			—		315
Other		—		8			306			—		314
Total available-for-sale securities		—		1,612			792			—		2,404
Mortgage loans		—		7,137			688			—		7,825
Other assets:
Risk management derivatives:
Swaps		—		1,071			159			—		1,230
Swaptions		—		124			—			—		124
Netting adjustment		—		—			—			(1,288)		(1,288)
Mortgage commitment derivatives		—		165			—			—		165
Credit enhancement derivatives		—		—			40			—		40
Total other assets		—		1,360			199			(1,288)		271
Total assets at fair value		$	39,501	$	18,685		$	1,725		$	(1,288)	$	58,623

Liabilities:
Long-term debt:
Of Fannie Mae:

Senior floating		$	—	$	5,289		$	398		$	—	$	5,687
Total of Fannie Mae		—		5,289			398			—		5,687
Of consolidated trusts		—		21,805			75			—		21,880
Total long-term debt		—		27,094			473			—		27,567
Other liabilities:
Risk management derivatives:
Swaps		—		1,346			1			—		1,347
Swaptions		—		440			11			—		451
Netting adjustment		—		—			—			(1,694)		(1,694)
Mortgage commitment derivatives		—		306			—			—		306
Credit enhancement derivatives		—		—			25			—		25
Total other liabilities		—		2,092			37			(1,694)		435
Total liabilities at fair value		$	—	$	29,186		$	510		$	(1,694)	$	28,002

⁽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 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, 2020
			Total Gains (Losses) (Realized/Unrealized)																														Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2020⁽⁴⁾⁽⁵⁾	Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2020⁽¹⁾
	Balance, December 31, 2019		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, 2020
	(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae	$	45	$	(9)		$	—	$	—		$	—		$	—		$	—		$	(11)		$	43		$	68		$	(10)	$	—
Other agency	1		—			—		—			—			—			—			(1)			—			—			—		—
Private-label and other mortgage securities	—		—			—		—			—			—			—			—			94			94			—		—
Total trading securities	$	46	$	(9)	⁽⁵⁾⁽⁶⁾	$	—	$	—		$	—		$	—		$	—		$	(12)		$	137		$	162		$	(10)	$	—

Available-for-sale securities:
Mortgage-related:
Fannie Mae	$	171	$	—		$	4	$	—		$	—		$	—		$	(1)		$	—		$	14		$	188		$	—	$	3

Mortgage revenue bonds	315		(3)			2		74			(74)			—			(18)			—			—			296			—		4
Other	306		(11)			(1)		268			(268)			—			(10)			—			—			284			—		(1)
Total available-for-sale securities	$	792	$	(14)	⁽⁶⁾⁽⁷⁾	$	5	$	342		$	(342)		$	—		$	(29)		$	—		$	14		$	768		$	—	$	6

Mortgage loans	$	688	$	(24)	⁽⁵⁾⁽⁶⁾	$	—	$	—		$	—		$	—		$	(29)		$	(23)		$	26		$	638		$	(26)	$	—
Net derivatives	162		41		⁽⁵⁾	—		—			—			—			(4)			18			—			217			44		—
Long-term debt:
Of Fannie Mae:
Senior floating	(398)		(34)		⁽⁵⁾	—		—			—			—			—			—			—			(432)			(34)		—
Of consolidated trusts	(75)		4		⁽⁵⁾⁽⁶⁾	—		—			—			—			3			—			(15)			(83)			4		—
Total long-term debt	$	(473)	$	(30)		$	—	$	—		$	—		$	—		$	3		$	—		$	(15)		$	(515)		$	(30)	$	—


	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⁽⁴⁾⁽⁵⁾		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	⁽⁵⁾⁽⁶⁾	$	—	$	—		$	—		$	—		$	(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	⁽⁶⁾⁽⁷⁾	$	(1)	$	—		$	—		$	—		$	(18)		$	(41)		$	85		$	984		$	—	$	(2)


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

⁽¹⁾Gains (losses) included in other comprehensive loss are included in “Changes in unrealized gains on available-for-sale 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⁾Amount represents temporary changes in fair value. Amortization, accretion and the impairment of credit losses are not considered unrealized and are not included in this amount.

⁽⁵⁾Gains (losses) are included in “Fair value losses, net” in our condensed consolidated statements of operations and comprehensive income.

⁽⁶⁾Gains (losses) are included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income.

⁽⁷⁾Gains (losses) are included in “Investment gains (losses), 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, 2020
	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⁽³⁾	$	68	Various
Private-label securities and other mortgage securities	94		Various
Total trading securities	$	162

Available-for-sale securities:
Mortgage-related securities:
Agency⁽³⁾	$	113	Consensus
	75		Various
Total agency	188

Mortgage revenue bonds	211		Single Vendor	Spreads (bps)	32.5	-	376.0	97.5
	85		Various
Total mortgage revenue bonds	296
Other	248		Discounted Cash Flow	Spreads (bps)	620.0				620.0



	36		Various
Total other	284
Total available-for-sale securities	$	768
Net derivatives	$	209	Dealer Mark
	8		Various
Total net derivatives	$	217


	Fair Value Measurements as of December 31, 2019
	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⁽³⁾	$	46	Various
Available-for-sale securities:
Mortgage-related securities:
Agency⁽³⁾	$	107	Consensus
	64		Various
Total agency	171






Mortgage revenue bonds	222		Single Vendor	Spreads(bps)	23.0	-	205.1	76.1
	93		Various
Total mortgage revenue bonds	315
Other	267		Discounted Cash Flow	Spreads(bps)	300.0				300.0



	39		Various
Total other	306
Total available-for-sale securities	$	792
Net derivatives	$	147	Dealer Mark
	15		Various
Total net derivatives	$	162

⁽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.

⁽³⁾Includes Fannie Mae and Freddie Mac securities.

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, 2020		December 31, 2019
	(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans held for sale, at lower of cost or fair value	Consensus	$	1,767	$	471
	Single Vendor	1,886		605

Total mortgage loans held for sale, at lower of cost or fair value		3,653		1,076

Single-family mortgage loans held for investment, at amortized cost	Internal Model	1,491		555


Multifamily mortgage loans held for investment, at amortized cost	Asset Manager Estimate	—		24
	Various	52		16
Total multifamily mortgage loans held for investment, at amortized cost		52		40
Acquired property, net:⁽¹⁾
Single-family	Accepted Offers	106		101
	Appraisals	356		362
	Walk Forwards	189		240
	Internal Model	113		164
	Various	52		51
Total single-family		816		918
Multifamily	Various	7		9

Total nonrecurring assets at fair value		$	6,019	$	2,598

(1)The most commonly used techniques in our valuation of acquired property are a proprietary home price model and third-party valuations (both current and walk forward). Based on the number of properties measured as of March 31, 2020, these methodologies comprised approximately 81% of our valuations, while accepted offers comprised approximately 14% of our valuations. Based on the number of properties measured as of December 31, 2019, these methodologies comprised approximately 85% of our valuations, while accepted offers comprised approximately 12% 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, 2020
	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	$	128,708	$	116,308	$	12,400	$	—	$	—	$	128,708
Federal funds sold and securities purchased under agreements to resell or similar arrangements	7,775		—		7,775		—		—		7,775
Trading securities	52,941		44,727		8,052		162		—		52,941
Available-for-sale securities	2,289		—		1,521		768		—		2,289
Mortgage loans held for sale	8,103		—		86		8,402		—		8,488



Mortgage loans held for investment, net of allowance for loan losses	3,354,707		—		3,395,898		118,612		—		3,514,510
Advances to lenders	8,971		—		8,969		2		—		8,971
Derivative assets at fair value	2,771		—		4,661		247		(2,137)		2,771
Guaranty assets and buy-ups	127		—		—		271		—		271
Total financial assets	$	3,566,392	$	161,035	$	3,439,362	$	128,464	$	(2,137)	$	3,726,724

Financial liabilities:

Short-term debt:
Of Fannie Mae	$	58,337	$	—	$	58,388	$	—	$	—	$	58,388

Long-term debt:
Of Fannie Mae	170,121		—		176,634		2,215		—		178,849
Of consolidated trusts	3,334,098		—		3,440,638		31,767		—		3,472,405
Derivative liabilities at fair value	3,809		—		6,386		30		(2,607)		3,809
Guaranty obligations	141		—		—		99		—		99
Total financial liabilities	$	3,566,506	$	—	$	3,682,046	$	34,111	$	(2,607)	$	3,713,550


	As of December 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	$	61,407	$	50,057	$	11,350	$	—	$	—	$	61,407
Federal funds sold and securities purchased under agreements to resell or similar arrangements	13,578		—		13,578		—		—		13,578
Trading securities	48,123		39,501		8,576		46		—		48,123
Available-for-sale securities	2,404		—		1,612		792		—		2,404
Mortgage loans held for sale	6,773		—		229		7,054		—		7,283



Mortgage loans held for investment, net of allowance for loan losses	3,327,389		—		3,270,535		127,650		—		3,398,185
Advances to lenders	6,453		—		6,451		2		—		6,453
Derivative assets at fair value	271		—		1,360		199		(1,288)		271
Guaranty assets and buy-ups	142		—		—		305		—		305
Total financial assets	$	3,466,540	$	89,558	$	3,313,691	$	136,048	$	(1,288)	$	3,538,009

Financial liabilities:
Federal funds purchased and securities sold under agreements to repurchase	$	478	$	—	$	478	$	—	$	—	$	478
Short-term debt:
Of Fannie Mae	26,662		—		26,667		—		—		26,667

Long-term debt:
Of Fannie Mae	155,585		—		164,144		401		—		164,545
Of consolidated trusts	3,285,139		—		3,312,763		31,827		—		3,344,590
Derivative liabilities at fair value	435		—		2,092		37		(1,694)		435
Guaranty obligations	154		—		—		97		—		97
Total financial liabilities	$	3,468,453	$	—	$	3,506,144	$	32,362	$	(1,694)	$	3,536,812

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, 2020																December 31, 2019
	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		$	7,701	$	4,752		$	22,855		$	7,825	$	5,687		$	21,880
Unpaid principal balance		7,261		4,860			20,219			7,514		5,200			19,653

(1)Includes nonaccrual loans with a fair value of $121 million and $129 million as of March 31, 2020 and December 31, 2019, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of March 31, 2020 and December 31, 2019 was $20 million and $11 million, respectively. Includes loans that are 90 days or more past due with a fair value of $73 million and $80 million as of March 31, 2020 and December 31, 2019, respectively. The difference between unpaid principal balance and the fair value of these 90 or more days past due loans as of March 31, 2020 and December 31, 2019 was $16 million and $10 million, respectively