Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional and Fair Value Position

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 June 30, 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(1):
Pay-fixed	$	1,695	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Receive-fixed	45,257		—		—		—		—		—		—		—
Total risk management derivatives designated as hedges	46,952		—		—		—		—		—		—		—
Risk management derivatives not designated as fair value hedges:
Swaps(1):
Pay-fixed	72,778		—		2,353		(59)		88,361		—		11,461		(595)
Receive-fixed	35,651		2		44,478		(694)		92,315		233		33,919		(123)
Basis	250		166		—		—		250		192		—		—
Foreign currency	239		43		104		(31)		237		57		239		(58)
Swaptions(1):
Pay-fixed	4,430		62		410		(18)		5,530		37		2,025		(118)
Receive-fixed	390		9		950		(28)		3,355		346		700		(16)
Futures(1)	—		—		—		—		64,398		—		—		—
Total gross risk management derivatives	113,738		282		48,295		(830)		254,446		865		48,344		(910)
Accrued interest receivable (payable)	—		83		—		(29)		—		97		—		(105)
Total risk management derivatives not designated as hedges	113,738		365		48,295		(859)		254,446		962		48,344		(1,015)
Netting adjustment(2)	—		(331)		—		849		—		(905)		—		995
Total risk management derivatives portfolio	160,690		34		48,295		(10)		254,446		57		48,344		(20)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	18,500		43		1,609		(2)		35,292		145		51		—
Forward contracts to purchase mortgage-related securities	76,309		254		28,596		(25)		144,215		844		607		—
Forward contracts to sell mortgage-related securities	19,017		14		140,605		(449)		199		—		227,828		(1,426)
Total mortgage commitment derivatives	113,826		311		170,810		(476)		179,706		989		228,486		(1,426)
Credit enhancement derivatives	11,680		50		9,099		(32)		16,829		179		11,368		(49)
Derivatives at fair value	$	286,196	$	395	$	228,204	$	(518)	$	450,981	$	1,225	$	288,198	$	(1,495)

(1)Centrally cleared derivatives 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 $556 million and $658 million as of June 30, 2021 and December 31, 2020, respectively. Cash collateral received was $38 million and $568 million as of June 30, 2021 and December 31, 2020, respectively.

Fair Value Gain (Loss), Net

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

	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2021		2020		2021		2020
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	(695)	$	(94)	$	1,512	$	(4,123)
Receive-fixed	757		191		(1,098)		3,534
Basis	19		17		(27)		73
Foreign currency	4		4		(4)		(34)
Swaptions:
Pay-fixed	(58)		(13)		49		(161)
Receive-fixed	30		25		(209)		657
Futures	—		(4)		1		(75)
Net contractual interest income (expense) on interest-rate swaps	7		(64)		(4)		(170)
Total risk management derivatives fair value gains (losses), net(1)	64		62		220		(299)
Mortgage commitment derivatives fair value gains (losses), net	(553)		(662)		529		(1,655)
Credit enhancement derivatives fair value gains (losses), net	(18)		31		(108)		20
Total derivatives fair value gains (losses), net	$	(507)	$	(569)	$	641	$	(1,934)

(1)    Adjusted for fair value gains (losses) and interest income (expense) presented in “net interest income” in 2021 for interest-rate swaps in designated fair value hedges.

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 June 30,				For the Six Months Ended June 30,
	2021				2021
	Interest Income: Mortgage Loans		Interest Expense: Long-Term Debt		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	$	24,932	$	(16,820)	$	48,285	$	(33,637)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items	$	106	$	—	$	70	$	—
Derivatives designated as hedging instruments	(106)		—		(70)		—
Interest accruals on hedging instruments	(5)		—		(5)		—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items	—		(390)		—		805
Discontinued hedge-related basis adjustment amortization	—		(21)		—		(34)
Derivatives designated as hedging instruments	—		423		—		(791)
Interest accruals on derivative hedging instruments	—		59		—		113
Total effect of fair value hedges	$	(5)	$	71	$	(5)	$	93

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 only of open hedges as of June 30, 2021.

	As of June 30, 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)(2)		Remaining Adjustments - Discontinued Hedge		Total Amortized Cost		Designated UPB
	(Dollars in millions)
Mortgage loans HFI	$	125,321	$	70	$	70	$	40,570	$	1,728
Debt of Fannie Mae	(62,688)		771		771		N/A		N/A

(1)    No basis adjustment associated with open hedges, as all hedges are designated at the close of business, with a one-day term.

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