Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional and Fair Value Position

The following table displays the notional amount and estimated fair value of our asset and liability derivative instruments.

	As of December 31,
	2021						2020
	Notional Amount		Estimated Fair Value				Notional Amount		Estimated Fair Value
			Asset Derivatives		Liability Derivatives				Asset Derivatives		Liability Derivatives
	(Dollars in millions)
Risk management derivatives designated as hedging instruments:
Swaps:(1)
Pay-fixed	$	4,347	$	—	$	—	$	—	$	—	$	—
Receive-fixed	40,686		—		—		—		—		—
Total risk management derivatives designated as hedging instruments	45,033		—		—		—		—		—
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed	56,817		—		—		99,822		3		(684)
Receive-fixed	56,874		—		(1,131)		126,234		314		(137)
Basis	250		152		—		250		203		—
Foreign currency	336		25		(34)		476		59		(60)
Swaptions:(1)
Pay-fixed	4,341		52		(2)		7,555		37		(118)
Receive-fixed	1,091		10		(21)		4,055		346		(16)
Futures(1)	—		—		—		64,398		—		—
Total risk management derivatives not designated as hedging instruments	119,709		239		(1,188)		302,790		962		(1,015)
Netting adjustment(2)	—		(237)		1,173		—		(905)		995
Total risk management derivatives portfolio	164,742		2		(15)		302,790		57		(20)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	13,192		17		(5)		35,343		145		—
Forward contracts to purchase mortgage-related securities	58,021		83		(34)		144,822		844		—
Forward contracts to sell mortgage-related securities	111,173		69		(158)		228,027		—		(1,426)
Total mortgage commitment derivatives	182,386		169		(197)		408,192		989		(1,426)
Credit enhancement derivatives	19,256		—		(21)		28,197		179		(49)
Derivatives at fair value	$	366,384	$	171	$	(233)	$	739,179	$	1,225	$	(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 $966 million and $658 million as of December 31, 2021 and 2020, respectively. Cash collateral received was $30 million and $568 million as of December 31, 2021 and 2020, respectively.

Schedule of Derivative 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 Year Ended December 31,
	2021		2020		2019
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	2,207	$	(2,764)	$	(3,964)
Receive-fixed	(1,783)		2,226		3,685
Basis	(51)		43		46
Foreign currency	(26)		23		24
Swaptions:
Pay-fixed	38		(146)		(380)
Receive-fixed	(217)		595		117
Futures	1		(76)		273
Net contractual interest expense on interest-rate swaps	16		(261)		(833)
Total risk management derivatives fair value gains (losses), net	185		(360)		(1,032)
Mortgage commitment derivatives fair value gains (losses), net	551		(2,654)		(1,043)
Credit enhancement derivatives fair value gains (losses), net	(178)		182		(35)
Total derivatives fair value gains (losses), net	$	558	$	(2,832)	$	(2,110)

Schedule of Effect of Fair Value Hedge Accounting

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

		For the Year Ended December 31,
		2021
		Interest Income: Mortgage Loans		Interest Expense: Long-Term Debt
	(Dollars in millions)
Total amounts presented in our consolidated statement of operations and comprehensive income		$	98,930	$	(70,084)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items		$	140	$	—
Discontinued hedge-related basis adjustment amortization		(6)		—
Derivatives designated as hedging instruments		(145)		—
Interest accruals on derivative hedging instruments		(12)		—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items		—		1,370
Discontinued hedge-related basis adjustment amortization		—		(89)
Derivatives designated as hedging instruments		—		(1,308)
Interest accruals on derivative hedging instruments		—		223
Gains (losses) recognized in net interest income on fair value hedging relationships		$	(23)	$	196

The following table displays the carrying amounts of the hedged items that have been in qualifying fair value hedges recorded in our consolidated balance sheet, 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 December 31, 2021.

	As of December 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)(2)		Remaining Adjustments - Discontinued Hedge		Total Amortized Cost		Designated UPB
	(Dollars in millions)
Mortgage loans HFI	$	174,080	$	134	$	134	$	56,786	$	4,389
Debt of Fannie Mae	(72,174)		1,281		1,281		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.