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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2022
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 March 31, 2022As of December 31, 2021
Notional AmountEstimated Fair ValueNotional AmountEstimated Fair Value
Asset DerivativesLiability DerivativesAsset DerivativesLiability Derivatives
(Dollars in millions)
Risk management derivatives designated as hedging instruments:
Swaps:(1)
Pay-fixed$5,527 $— $— $4,347 $— $— 
Receive-fixed44,264 — (8)40,686 — — 
Total risk management derivatives designated as hedging instruments
49,791 — (8)45,033 — — 
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed67,940 — — 56,817 — — 
Receive-fixed63,074 — (2,850)56,874 — (1,131)
Basis24,750 82 — 250 152 — 
Foreign currency326 7 (37)336 25 (34)
Swaptions:(1)
Pay-fixed4,241 94 — 4,341 52 (2)
Receive-fixed1,091 8 (21)1,091 10 (21)
Total risk management derivatives not designated as hedging instruments161,422 191 (2,908)119,709 239 (1,188)
Netting adjustment(2)
— (109)2,881 — (237)1,173 
Total risk management derivatives portfolio
211,213 82 (35)164,742 2 (15)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans
12,107 23 (96)13,192 17 (5)
Forward contracts to purchase mortgage-related securities
70,751 64 (958)58,021 83 (34)
Forward contracts to sell mortgage-related securities
107,452 1,652 (87)111,173 69 (158)
Total mortgage commitment derivatives
190,310 1,739 (1,141)182,386 169 (197)
Credit enhancement derivatives21,620 3 (28)19,256 — (21)
Derivatives at fair value$423,143 $1,824 $(1,204)$366,384 $171 $(233)
(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 $2.8 billion and $966 million as of March 31, 2022 and December 31, 2021, respectively. Cash collateral received was $45 million and $30 million as of March 31, 2022 and December 31, 2021, 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 March 31,
20222021
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed$2,125 $2,207 
Receive-fixed(2,260)(1,855)
Basis(68)(46)
Foreign currency(24)(8)
Swaptions:
Pay-fixed44 107 
Receive-fixed(3)(239)
Futures— 1 
Net contractual interest expense on interest-rate swaps (11)(11)
Total risk management derivatives fair value gains (losses), net(197)156 
Mortgage commitment derivatives fair value gains, net1,572 1,082 
Credit enhancement derivatives fair value losses, net(22)(90)
Total derivatives fair value gains, net$1,353 $1,148 
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,
2022
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
$27,142 $(19,940)$23,353 $(16,817)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items
$(238)$— $(36)$— 
Discontinued hedge related basis adjustment amortization
— — — — 
Derivatives designated as hedging instruments
227 — 36 — 
Interest accruals on hedging instruments
(8)— — — 
Debt of Fannie Mae and related interest-rate contracts:
Hedged items
— 1,623 — 1,195 
Discontinued hedge-related basis adjustment amortization
— (65)— (13)
Derivatives designated as hedging instruments
— (1,524)— (1,214)
Interest accruals on derivative hedging instruments
— 47 — 54 
Total effect of fair value hedges
$(19)$81 $— $22 
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 March 31, 2022 and December 31, 2021.
As of March 31, 2022
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
$208,820 $(104)$(104)$62,004 $5,379 
Debt of Fannie Mae(76,619)2,838 2,838  N/AN/A
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/AN/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.