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Fair Value
9 Months Ended
Sep. 30, 2020
Fair Value Disclosures [Abstract]  
Fair Value Fair Value
We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or nonrecurring basis.
Fair Value Measurement
Fair value measurement guidance defines fair value, establishes a framework for measuring fair value, and sets forth disclosures around fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. The guidance establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The hierarchy gives the highest priority, Level 1, to measurements based on unadjusted quoted prices in active markets for identical assets or liabilities. The next highest priority, Level 2, is given to measurements of assets and liabilities based on limited observable inputs or observable inputs for similar assets and liabilities. The lowest priority, Level 3, is given to measurements based on unobservable inputs.
Recurring Changes in Fair Value
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 September 30, 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:
Cash equivalents(2)
$3,443 $— $— $— $3,443 
Trading securities:
Mortgage-related securities:
Fannie Mae— 2,690 60 — 2,750 
Other agency— 3,517 — 3,518 
Private-label and other mortgage securities
— 158 — — 158 
Non-mortgage-related securities:
U.S. Treasury securities
135,972 — — — 135,972 
Other securities
— 74 — — 74 
Total trading securities135,972 6,439 61 — 142,472 
Available-for-sale securities:
Mortgage-related securities:
Fannie Mae— 1,061 222 — 1,283 
Other agency— 96 — — 96 
Alt-A and subprime private-label securities
— — 
Mortgage revenue bonds— — 255 — 255 
Other— 248 — 255 
Total available-for-sale securities— 1,168 727 — 1,895 
Mortgage loans— 6,090 878 — 6,968 
Other assets:
Risk management derivatives:
Swaps— 1,231 221 — 1,452 
Swaptions— 601 — — 601 
Netting adjustment— — — (2,037)(2,037)
Mortgage commitment derivatives— 563 — — 563 
Credit enhancement derivatives— — 459 — 459 
Total other assets— 2,395 680 (2,037)1,038 
Total assets at fair value$139,415 $16,092 $2,346 $(2,037)$155,816 
Liabilities:
Long-term debt:
Of Fannie Mae:
Senior floating
$— $3,551 $435 $— $3,986 
Total of Fannie Mae— 3,551 435 — 3,986 
Of consolidated trusts— 24,656 85 — 24,741 
Total long-term debt— 28,207 520 — 28,727 
Other liabilities:
Risk management derivatives:
Swaps— 1,659 — — 1,659 
Swaptions— 479 — — 479 
Netting adjustment— — — (2,053)(2,053)
Mortgage commitment derivatives— 842 — — 842 
Credit enhancement derivatives— — 38 — 38 
Total other liabilities— 2,980 38 (2,053)965 
Total liabilities at fair value$— $31,187 $558 $(2,053)$29,692 
Fair Value Measurements as of December 31, 2019
Quoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs
(Level 2)
Significant Unobservable Inputs
(Level 3)
Netting Adjustment(1)
Estimated Fair Value
(Dollars in millions)
Recurring fair value measurements:
Assets:
Trading securities:
Mortgage-related securities:
Fannie Mae$— $3,379 $45 $— $3,424 
Other agency— 4,489 — 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 securities39,501 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
— 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 $— $5,687 
Total of Fannie Mae— 5,289 398 — 5,687 
Of consolidated trusts— 21,805 75 — 21,880 
Total long-term debt— 27,094 473 — 27,567 
Other liabilities:
Risk management derivatives:
Swaps
— 1,346 — 1,347 
Swaptions
— 440 11 — 451 
Netting adjustment
— — — (1,694)(1,694)
Mortgage commitment derivatives— 306 — — 306 
Credit enhancement derivatives— — 25 — 25 
Total other liabilities— 2,092 37 (1,694)435 
Total liabilities at fair value$— $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.
(2)Cash equivalents are comprised of U.S. Treasuries that have a maturity at the date of acquisition of three months or less.
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 September 30, 2020
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30,
2020(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30,
2020(1)
Balance, June 30, 2020Included in Net Income
Included in Total OCI Gain/(Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, September 30, 2020
(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae
$38 $— $— $— $(1)$— $— $(3)$26 $60 $— $— 
Other agency
— — — — — — — — — — 
Private-label and other mortgage securities
98 (4)— — (94)— — — — — — — 
Total trading securities
$136 $(4)
(5)(6)
$— $— $(95)$— $— $(3)$27 $61 $— $— 
Available-for-sale securities:
Mortgage-related:
Fannie Mae
$446 $$$— $— $— $(9)$(218)$— $222 $— $— 
Alt-A and subprime private-label securities
— — — — — — — — — — 
Mortgage revenue bonds
278 — — — — — (23)— — 255 — — 
Other
254 — — — (16)— — 248 — 
Total available-for-sale securities
$980 $
(5)(6)
$$— $— $— $(48)$(218)$— $727 $— $
Mortgage loans
$797 $41 
(5)(6)
$— $— $(11)$— $(39)$(31)$121 $878 $36 $— 
Net derivatives
269 380 
(5)
— — — — (7)— — 642 372 — 
Long-term debt:
Of Fannie Mae:
Senior floating
(433)(3)
(5)
— — — — — — (435)(3)— 
Of consolidated trusts
(89)(1)
(5)(6)
— — — — (1)(85)(1)— 
Total long-term debt
$(522)$(4)$— $— $— $— $$$(1)$(520)$(4)$— 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Nine Months Ended September 30, 2020
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30,
2020(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30,
2020(1)
Balance, December 31, 2019Included in Net Income
Included in Total OCI Gain/(Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, September 30, 2020
(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae
$45 $(9)$— $— $(1)$— $— $(48)$73 $60 $(8)$— 
Other agency
— — — — — — (1)— — 
Private-label and other mortgage securities
— — — (94)— (3)— 94 — — — 
Total trading securities
$46 $(6)
(5)(6)
$— $— $(95)$— $(3)$(49)$168 $61 $(8)$— 
Available-for-sale securities:
Mortgage-related:
Fannie Mae
$171 $$$— $— $— $(12)$(218)$278 $222 $— $— 
Alt-A and subprime private-label securities
— — — — — — — — — — 
Mortgage revenue bonds
315 (3)74 (74)— (60)— — 255 — 
Other
306 (9)268 (268)— (53)— — 248 — 
Total available-for-sale securities
$792 $(11)
(6)(7)
$$342 $(342)$— $(125)$(218)$280 $727 $— $
Mortgage loans
$688 $32 
(5)(6)
$— $— $(11)$— $(93)$(75)$337 $878 $$— 
Net derivatives
162 470 
(5)
— — — — (8)18 — 642 468 — 
Long-term debt:
Of Fannie Mae:
Senior floating
(398)(61)
(5)
— — — — 24 — — (435)(61)— 
Of consolidated trusts
(75)— 
(5)(6)
— — — — 12 (24)(85)— 
Total long-term debt
$(473)$(61)$— $— $— $— $36 $$(24)$(520)$(60)$— 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Three Months Ended September 30, 2019
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30,
2019(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30,
2019(1)
Balance, June 30, 2019Included in Net Income
Included in Total OCI Gain/(Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, September 30, 2019
(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae
$74 $$— $77 $— $— $— $(31)$— $122 $$— 
Other agency
— — — — — — — — — — 
Total trading securities
$74 $
(5)(6)
$— $77 $— $— $— $(31)$$124 $$— 
Available-for-sale securities:
Mortgage-related:
Fannie Mae
$132 $— $$— $— $— $(1)$— $40 $174 $— $
Mortgage revenue bonds
364 (1)— — — (18)— — 346 — — 
Other
326 (1)(1)— — — (9)— — 315 — (2)
Total available-for-sale securities
$822 $— 
(6)(7)
$$— $— $— $(28)$— $40 $835 $— $
Mortgage loans
$770 $14 
(5)(6)
$— $— $(27)$— $(35)$(41)$45 $726 $10 $— 
Net derivatives
183 21 
(5)
— — — — (6)— — 198 15 — 
Long-term debt:
Of Fannie Mae:
Senior floating(398)(24)
(5)
— — — — — — — (422)(24)— 
Of consolidated trusts
(102)(3)
(5)(6)
— — — (2)20 (7)(88)(1)— 
Total long-term debt
$(500)$(27)$— $— $— $(2)$$20 $(7)$(510)$(25)$— 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Nine Months Ended September 30, 2019
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30,
2019(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30,
2019(1)
Balance, December 31, 2018Included in Net Income
Included in Total OCI Gain/(Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, September 30, 2019
(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae
$32 $$— $77 $(14)$— $(16)$(31)$69 $122 $$— 
Other agency
— — — — — — — — — — 
Private-label and other mortgage securities
— — — — — (1)— — — — — 
Total trading securities
$33 $
(5)(6)
$— $77 $(14)$— $(17)$(31)$71 $124 $$— 
Available-for-sale securities:
Mortgage-related:
Fannie Mae
$152 $— $$— $— $— $(8)$(103)$124 $174 $— $
Alt-A and subprime private-label securities
24 (5)— (23)— (1)— — — — — 
Mortgage revenue bonds
434 (2)— (4)— (83)— — 346 — (1)
Other
342 11 (11)— — — (26)(2)315 — (9)
Total available-for-sale securities
$952 $17 
(6)(7)
$(9)$— $(27)$— $(118)$(105)$125 $835 $— $(2)
Mortgage loans
$937 $45 
(5)(6)
$— $— $(40)$— $(105)$(228)$117 $726 $28 $— 
Net derivatives
194 139 
(5)
— — — — (126)(9)— 198 39 — 
Long-term debt:
Of Fannie Mae:
Senior floating(351)(71)
(5)
— — — — — — — (422)(71)— 
Of consolidated trusts
(201)(7)
(5)(6)
— — — (2)16 189 (83)(88)(3)— 
Total long-term debt
$(552)$(78)$— $— $— $(2)$16 $189 $(83)$(510)$(74)$— 
(1)Gains (losses) included in other comprehensive loss are included in “Changes in unrealized gains (losses) 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, net” in our condensed consolidated statements of operations and comprehensive income.
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 September 30, 2020
Fair ValueSignificant 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)
$61 Various
Available-for-sale securities:
Mortgage-related securities:
Agency(3)
124 Consensus
98 Various
Total agency
222 
Alt-A and subprime private-label securities
Various
Mortgage revenue bonds
177 Single VendorSpreads (bps)35.5 318.8100.0
78 Various
Total mortgage revenue bonds
255 
Other
216 Discounted Cash FlowSpreads (bps)406.0431.0418.8
32 Various
Total other
248 
Total available-for-sale securities$727 
Net derivatives$221 Dealer Mark
421 Discounted Cash Flow
Total net derivatives$642 
Fair Value Measurements as of December 31, 2019
Fair ValueSignificant 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 
Available-for-sale securities:
Mortgage-related securities:
Mortgage revenue bonds
222 Single VendorSpreads(bps)23.0 -205.176.1
93 Various
Total mortgage revenue bonds
315 
Other
267 Discounted Cash FlowSpreads(bps)300.0300.0
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.
In our condensed consolidated balance sheets, certain assets and liabilities are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, when we evaluate loans for impairment). We had no Level 1 assets or liabilities held as of September 30, 2020 or December 31, 2019 that were measured at fair value on a nonrecurring basis. We held $127 million and $274 million in Level 2 assets as of September 30, 2020 and December 31, 2019, respectively, comprised of mortgage loans held for sale and mortgage loans held for investment that were impaired. We had no Level 2 liabilities that were measured at fair value on a nonrecurring basis as of September 30, 2020 or December 31, 2019.
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 TechniquesSeptember 30, 2020December 31, 2019
(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans held for sale, at lower of cost or fair valueConsensus$1,113 $471 
Single Vendor767 605 
Total mortgage loans held for sale, at lower of cost or fair value
1,880 1,076 
 Single-family mortgage loans held for investment, at amortized cost
Internal Model855 555 
 Multifamily mortgage loans held for investment, at amortized cost
Asset Manager Estimate 24 
Various232 16 
Total multifamily mortgage loans held for investment, at amortized cost
232 40 
Acquired property, net:
Single-familyAccepted Offers60 101 
Appraisals115 362 
Walk Forwards111 240 
Internal Model55 164 
Various15 51 
Total single-family356 918 
MultifamilyVarious27 
Total nonrecurring assets at fair value$3,350 $2,598 
We use valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. See “Note 15, Fair Value” in our 2019 Form 10-K for information on the valuation control processes and the valuation techniques we use for fair value measurement and disclosure as well as our basis for classifying these measurements as Level 1, Level 2 or Level 3 of the valuation hierarchy in more specific situations. We made no material changes to the valuation control processes or the valuation techniques for the nine months ended September 30, 2020.
Fair Value of Financial Instruments
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 September 30, 2020
Carrying ValueQuoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs
(Level 3)
Netting AdjustmentEstimated Fair Value
(Dollars in millions)
Financial assets:
Cash and cash equivalents and restricted cash
$110,988 $96,588 $14,400 $— $— $110,988 
Federal funds sold and securities purchased under agreements to resell or similar arrangements
12,700 — 12,700 — — 12,700 
Trading securities
142,472 135,972 6,439 61 — 142,472 
Available-for-sale securities1,895 — 1,168 727 — 1,895 
Mortgage loans held for sale
8,312 — 679 8,297 — 8,976 
Mortgage loans held for investment, net of allowance for loan losses
3,539,031 — 3,414,104 257,448 — 3,671,552 
Advances to lenders
10,228 — 10,227 — 10,228 
Derivative assets at fair value
1,038 — 2,395 680 (2,037)1,038 
Guaranty assets and buy-ups115 — — 270 — 270 
Total financial assets
$3,826,779 $232,560 $3,462,112 $267,484 $(2,037)$3,960,119 
Financial liabilities:
Short-term debt:
Of Fannie Mae$23,526 $— $23,536 $— $— $23,536 
Long-term debt:
Of Fannie Mae265,897 — 277,190 878 — 278,068 
Of consolidated trusts3,530,381 — 3,648,508 31,618 — 3,680,126 
Derivative liabilities at fair value965 — 2,980 38 (2,053)965 
Guaranty obligations128 — — 78 — 78 
Total financial liabilities
$3,820,897 $— $3,952,214 $32,612 $(2,053)$3,982,773 
As of December 31, 2019
Carrying ValueQuoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs
(Level 3)
Netting AdjustmentEstimated 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 securities2,404 — 1,612 792 — 2,404 
Mortgage loans held for sale6,773 — 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 — 6,453 
Derivative liabilities at fair value271 — 1,360 199 (1,288)271 
Guaranty assets and buy-ups142 — — 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 Mae26,662 — 26,667 — — 26,667 
Long-term debt:
Of Fannie Mae155,585 — 164,144 401 — 164,545 
Of consolidated trusts3,285,139 — 3,312,763 31,827 — 3,344,590 
Derivative liabilities at fair value435 — 2,092 37 (1,694)435 
Guaranty obligations154 — — 97 — 97 
Total financial liabilities
$3,468,453 $— $3,506,144 $32,362 $(1,694)$3,536,812 
For a detailed description and classification of our financial instruments, see “Note 15, Fair Value” in our 2019 Form 10-K.
Fair Value Option
We elected the fair value option for loans and debt that contain embedded derivatives that would otherwise require bifurcation. Additionally, we elected the fair value option for our credit risk-sharing securities accounted for as debt of Fannie Mae issued under our CAS series prior to January 1, 2016. Under the fair value option, we elected to carry these instruments at fair value instead of bifurcating the embedded derivative from such instruments.
Interest income for the mortgage loans is recorded in “Interest income—Mortgage loans” and interest expense for the debt instruments is recorded in “Interest expense—Long-term debt” in our condensed consolidated statements of operations and comprehensive income.
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
September 30, 2020December 31, 2019
Loans(1)
Long-Term Debt of Fannie MaeLong-Term Debt of Consolidated Trusts
Loans(1)
Long-Term Debt of Fannie MaeLong-Term Debt of Consolidated Trusts
(Dollars in millions)
Fair value$6,968 $3,986 $24,741 $7,825 $5,687 $21,880 
Unpaid principal balance6,501 3,895 21,521 7,514 5,200 19,653 
(1)Includes nonaccrual loans with a fair value of $140 million and $129 million as of September 30, 2020 and December 31, 2019, respectively. The difference between unpaid principal balance and the fair value of these nonaccrual loans as of September 30, 2020 and December 31, 2019 was $9 million and $11 million, respectively. Includes loans that are 90 days or more past due with a fair value of $297 million and $80 million as of September 30, 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 September 30, 2020 and December 31, 2019 was $16 million and $10 million, respectively.
Changes in Fair Value under the Fair Value Option Election
We recorded gains of $107 million and $248 million for the three and nine months ended September 30, 2020, respectively, and gains of $95 million and $334 million for the three and nine months ended September 30, 2019, respectively, from changes in the fair value of loans recorded at fair value in “Fair value losses, net” in our condensed consolidated statements of operations and comprehensive income.
We recorded losses of $32 million and $344 million for the three and nine months ended September 30, 2020 respectively, and losses of $245 million and $797 million for the three and nine months ended September 30, 2019, respectively, from changes in the fair value of long-term debt recorded at fair value in “Fair value losses, net” in our condensed consolidated statements of operations and comprehensive income.