Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional and Fair Value Position [Table Text Block]

The following table displays the notional amount and estimated fair value of our asset and liability derivative instruments, including derivative instruments designated as hedges.

	As of March 31, 2021								As of December 31, 2020
	Asset Derivatives				Liability Derivatives				Asset Derivatives				Liability Derivatives
	Notional Amount		Estimated Fair Value		Notional Amount		Estimated Fair Value		Notional Amount		Estimated Fair Value		Notional Amount		Estimated Fair Value
	(Dollars in millions)
Risk management derivatives designated as fair value hedges:
Swaps:
Pay-fixed	$	2,804	$	—	$	75	$	(7)	$	—	$	—	$	—	$	—
Receive-fixed	39,754		2		—		—		—		—		—		—
Accrued interest receivable	—		1		—		—		—		—		—		—
Total risk management derivatives designated as hedges	42,558		3		75		(7)		—		—		—		—
Risk management derivatives not designated as fair value hedges:
Swaps:
Pay-fixed	68,674		—		9,636		(482)		88,361		—		11,461		(595)
Receive-fixed	45,635		167		46,039		(1,035)		92,315		233		33,919		(123)
Basis	250		146		—		—		250		192		—		—
Foreign currency	238		43		241		(52)		237		57		239		(58)
Swaptions:
Pay-fixed	5,690		124		375		(16)		5,530		37		2,025		(118)
Receive-fixed	1,455		96		1,110		(42)		3,355		346		700		(16)
Futures(1)	1,602		—		—		—		64,398		—		—		—
Total gross risk management derivatives	123,544		576		57,401		(1,627)		254,446		865		48,344		(910)
Accrued interest receivable (payable)	—		91		—		(86)		—		97		—		(105)
Total risk management derivatives not designated as hedges	123,544		667		57,401		(1,713)		254,446		962		48,344		(1,015)
Netting adjustment(2)	—		(655)		—		1,632		—		(905)		—		995
Total risk management derivatives portfolio	166,102		15		57,476		(88)		254,446		57		48,344		(20)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	9,456		5		22,709		(237)		35,292		145		51		—
Forward contracts to purchase mortgage-related securities	26,155		57		145,335		(1,689)		144,215		844		607		—
Forward contracts to sell mortgage-related securities	220,063		2,534		31,765		(46)		199		—		227,828		(1,426)
Total mortgage commitment derivatives	255,674		2,596		199,809		(1,972)		179,706		989		228,486		(1,426)
Credit enhancement derivatives	14,079		61		10,410		(46)		16,829		179		11,368		(49)
Derivatives at fair value	$	435,855	$	2,672	$	267,695	$	(2,106)	$	450,981	$	1,225	$	288,198	$	(1,495)

(1)Futures have no ascribable fair value because the positions are settled daily.

(2)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. Cash collateral posted was $1.0 billion and $658 million as of March 31, 2021 and December 31, 2020, respectively. Cash collateral received was $35 million and $568 million as of March 31, 2021 and December 31, 2020, respectively.

Fair Value Gain (Loss), Net [Table Text Block]

The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives.

		For the Three Months Ended March 31,
		2021		2020
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed		$	2,207	$	(4,029)
Receive-fixed		(1,855)		3,343
Basis		(46)		56
Foreign currency		(8)		(38)
Swaptions:
Pay-fixed		107		(148)
Receive-fixed		(239)		632
Futures		1		(71)
Net contractual interest expense on interest-rate swaps		(11)		(106)
Total risk management derivatives fair value gains (losses), net		156		(361)
Mortgage commitment derivatives fair value gains (losses), net		1,082		(993)
Credit enhancement derivatives fair value losses, net		(90)		(11)
Total derivatives fair value gains (losses), net		$	1,148	$	(1,365)

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following table displays the effect of fair value hedge accounting on our condensed consolidated statements of operations and comprehensive income, including gains and losses recognized on fair value hedging relationships.

	For the Three Months Ended March 31, 2021
	Interest Income: Mortgage Loans		Interest Expense: Long-Term Debt
	(Dollars in millions)
Total amounts presented in our condensed consolidated statements of operations and comprehensive income	$	23,353	$	(16,817)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items	(36)		—
Derivatives designated as hedging instruments	36		—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items	—		1,195
Discontinued hedge-related basis adjustment amortization	—		(13)
Derivatives designated as hedging instruments	—		(1,214)
Interest accruals on derivative hedging instruments	—		54
Total effect of fair value hedges	$	—	$	22

Hedged Items in Fair Value Hedging Relationships

The following table displays the carrying amounts of the hedged items that have been in qualifying fair value hedges recorded in our condensed consolidated balance sheets, including the hedged item's cumulative basis adjustments and the closed portfolio balances under the last-of-layer method. The hedged item carrying amounts and total basis adjustments include both open and discontinued hedges. The amortized cost and designated UPB consists of open hedges only.

	As of March 31, 2021
	Carrying Amount Assets (Liabilities)		Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount				Closed Portfolio of Mortgage Loans Under Last-of-Layer Method
			Total Basis Adjustments(1)		Remaining Adjustments - Discontinued Hedge		Total Amortized Cost		Designated UPB
	(Dollars in millions)
Mortgage loans HFI	$	83,521	$	(36)	$	(36)	$	55,819	$	2,879
Debt of Fannie Mae	(55,345)		1,182		1,182		—		—

(1)    Based on the unamortized balance of the hedge-related cost basis.