Derivative Instruments (Tables)

9 Months Ended

Sep. 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 September 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	$	2,575	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Receive-fixed	40,833		—		205		(2)		—		—		—		—
Total risk management derivatives designated as hedges	43,408		—		205		(2)		—		—		—		—
Risk management derivatives not designated as fair value hedges:
Swaps:(1)
Pay-fixed	71,189		—		300		—		88,361		—		11,461		(595)
Receive-fixed	26,348		1		44,273		(765)		92,315		233		33,919		(123)
Basis	250		154		—		—		250		192		—		—
Foreign currency	233		28		101		(35)		237		57		239		(58)
Swaptions:(1)
Pay-fixed	4,430		68		160		(1)		5,530		37		2,025		(118)
Receive-fixed	390		7		700		(24)		3,355		346		700		(16)
Futures(1)	30		—		—		—		64,398		—		—		—
Total gross risk management derivatives	102,870		258		45,534		(825)		254,446		865		48,344		(910)
Accrued interest receivable (payable)	—		78		—		(14)		—		97		—		(105)
Total risk management derivatives not designated as hedges	102,870		336		45,534		(839)		254,446		962		48,344		(1,015)
Netting adjustment(2)	—		(290)		—		838		—		(905)		—		995
Total risk management derivatives portfolio	146,278		46		45,739		(3)		254,446		57		48,344		(20)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	6,649		6		11,794		(71)		35,292		145		51		—
Forward contracts to purchase mortgage-related securities	11,360		22		73,742		(498)		144,215		844		607		—
Forward contracts to sell mortgage-related securities	115,159		735		20,606		(30)		199		—		227,828		(1,426)
Total mortgage commitment derivatives	133,168		763		106,142		(599)		179,706		989		228,486		(1,426)
Credit enhancement derivatives	10,093		—		8,167		(20)		16,829		179		11,368		(49)
Derivatives at fair value	$	289,539	$	809	$	160,048	$	(622)	$	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 $570 million and $658 million as of September 30, 2021 and December 31, 2020, respectively. Cash collateral received was $22 million and $568 million as of September 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 September 30,				For the Nine Months Ended September 30,
	2021		2020		2021		2020
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	343	$	634	$	1,855	$	(3,489)
Receive-fixed	(209)		(550)		(1,307)		2,984
Basis	(12)		(5)		(39)		68
Foreign currency	(19)		23		(23)		(11)
Swaptions:
Pay-fixed	6		2		55		(159)
Receive-fixed	(14)		(60)		(223)		597
Futures	—		—		1		(75)
Net contractual interest income (expense) on interest-rate swaps	(2)		(46)		(6)		(216)
Total risk management derivatives fair value gains (losses), net	93		(2)		313		(301)
Mortgage commitment derivatives fair value gains (losses), net	(25)		(672)		504		(2,327)
Credit enhancement derivatives fair value gains (losses), net	(55)		380		(163)		400
Total derivatives fair value gains (losses), net	$	13	$	(294)	$	654	$	(2,228)

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 September 30,				For the Nine Months Ended September 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	$	24,798	$	(18,009)	$	73,083	$	(51,646)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items	$	(1)	$	—	$	69	$	—
Discontinued hedge related basis adjustment amortization	(3)		—		(3)		—
Derivatives designated as hedging instruments	(1)		—		(71)		—
Interest accruals on hedging instruments	(4)		—		(9)		—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items	—		195		—		1,000
Discontinued hedge-related basis adjustment amortization	—		(20)		—		(54)
Derivatives designated as hedging instruments	—		(191)		—		(982)
Interest accruals on derivative hedging instruments	—		65		—		178
Total effect of fair value hedges	$	(9)	$	49	$	(14)	$	142

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 September 30, 2021.

	As of September 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	$	150,829	$	66	$	66	$	36,424	$	2,548
Debt of Fannie Mae	(72,497)		946		946		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.