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Fair Value (Tables)

6 Months Ended

Jun. 30, 2022

The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair value option.


	Fair Value Measurements as of June 30, 2022
	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Netting Adjustment(1)			Estimated Fair Value
	(Dollars in millions)
Recurring fair value measurements:
Assets:

Trading securities:
Mortgage-related:
Fannie Mae		$	—		$	1,219		$	76		$	—		$	1,295
Other agency		—			2,508			—			—			2,508
Other securities		—			112			—			—			112



Non-mortgage-related securities(3)		60,883			13			—			—			60,896
Total trading securities		60,883			3,852			76			—			64,811
Available-for-sale securities:
Mortgage-related:
Fannie Mae		—			54			404			—			458
Other agency		—			10			—			—			10



Other securities		—			8			289			—			297
Total available-for-sale securities		—			72			693			—			765
Mortgage loans		—			3,472			599			—			4,071
Other assets:
Risk management derivatives:
Swaps		—			—			35			—			35
Swaptions		—			160			—			—			160
Netting adjustment		—			—			—			63			63
Mortgage commitment derivatives		—			631			—			—			631
Credit enhancement derivatives		—			—			3			—			3
Total other assets		—			791			38			63			892
Total assets at fair value		$	60,883		$	8,187		$	1,406		$	63		$	70,539

Liabilities:
Long-term debt:


Of Fannie Mae		$	—		$	1,613		$	253		$	—		$	1,866

Of consolidated trusts		—			18,266			152			—			18,418
Total long-term debt		—			19,879			405			—			20,284
Other liabilities:
Risk management derivatives:
Swaps		—			3,583			—			—			3,583
Swaptions		—			36			—			—			36
Netting adjustment		—			—			—			(3,540)			(3,540)
Mortgage commitment derivatives		—			498			—			—			498
Credit enhancement derivatives		—			—			45			—			45
Total other liabilities		—			4,117			45			(3,540)			622
Total liabilities at fair value		$	—		$	23,996		$	450		$	(3,540)		$	20,906


	Fair Value Measurements as of December 31, 2021
	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Netting Adjustment(1)			Estimated Fair Value
		(Dollars in millions)
Recurring fair value measurements:
Assets:
Cash equivalents, including restricted cash equivalents(2)		$	250		$	—		$	—		$	—		$	250
Trading securities:
Mortgage-related:
Fannie Mae		—			1,519			57			—			1,576
Other agency		—			2,893			—			—			2,893
Other securities		—			137			—			—			137



Non-mortgage-related securities(3)		83,581			19			—			—			83,600
Total trading securities		83,581			4,568			57			—			88,206
Available-for-sale securities:
Mortgage-related:
Fannie Mae		—			64			431			—			495
Other agency		—			12			—			—			12



Other securities		—			8			322			—			330
Total available-for-sale securities		—			84			753			—			837
Mortgage loans		—			4,209			755			—			4,964
Other assets:
Risk management derivatives:
Swaps		—			25			152			—			177
Swaptions		—			62			—			—			62
Netting adjustment		—			—			—			(237)			(237)
Mortgage commitment derivatives		—			169			—			—			169

Total other assets		—			256			152			(237)			171
Total assets at fair value		$	83,831		$	9,117		$	1,717		$	(237)		$	94,428

Liabilities:
Long-term debt:


Of Fannie Mae		$	—		$	2,008		$	373		$	—		$	2,381

Of consolidated trusts		—			21,640			95			—			21,735
Total long-term debt		—			23,648			468			—			24,116
Other liabilities:
Risk management derivatives:
Swaps		—			1,165			—			—			1,165
Swaptions		—			23			—			—			23
Netting adjustment		—			—			—			(1,173)			(1,173)
Mortgage commitment derivatives		—			197			—			—			197
Credit enhancement derivatives		—			—			21			—			21
Total other liabilities		—			1,385			21			(1,173)			233
Total liabilities at fair value		$	—		$	25,033		$	489		$	(1,173)		$	24,349

(1)Derivative contracts are reported on a gross basis by level. 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.

(2)Cash equivalents and restricted cash equivalents are composed of U.S. Treasuries that have a maturity at the date of acquisition of three months or less.

(3)Primarily includes U.S. Treasury securities.

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

The following tables display a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3). The tables also display gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized in our condensed consolidated statements of operations and comprehensive income for Level 3 assets and liabilities.


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Three Months Ended June 30, 2022
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022(1)
	Balance, March 31, 2022		Included in Net Income			Included in Total OCI (Loss)(1)		Purchases(2)		Sales(2)		Issues(3)		Settlements(3)		Transfers out of Level 3		Transfers into Level 3		Balance, June 30, 2022
	(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae	$	47	$	(2)		$	—	$	—	$	—	$	—	$	(1)	$	(5)	$	37	$	76	$	(1)	$	—


Total trading securities	$	47	$	(2)	(5)(6)	$	—	$	—	$	—	$	—	$	(1)	$	(5)	$	37	$	76	$	(1)	$	—

Available-for-sale securities:
Mortgage-related:
Fannie Mae	$	418	$	—		$	—	$	—	$	—	$	—	$	(14)	$	—	$	—	$	404	$	—	$	(1)



Other securities	309		—			(1)		—		—		—		(19)		—		—		289		—		(1)
Total available-for-sale securities	$	727	$	—	(6)(7)	$	(1)	$	—	$	—	$	—	$	(33)	$	—	$	—	$	693	$	—	$	(2)

Mortgage loans	$	668	$	(23)	(5)(6)	$	—	$	—	$	(2)	$	—	$	(41)	$	(16)	$	13	$	599	$	(23)	$	—
Net derivatives	57		(75)		(5)	—		—		—		—		11		—		—		(7)		(64)		—

Long-term debt:

Of Fannie Mae	$	(307)	$	54	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(253)	$	54	$	—
Of consolidated trusts	(161)		—		(5)(6)	—		—		—		—		9		—		—		(152)		1		—
Total long-term debt	$	(468)	$	54		$	—	$	—	$	—	$	—	$	9	$	—	$	—	$	(405)	$	55	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Six Months Ended June 30, 2022
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2022(1)
	Balance, December 31, 2021		Included in Net Income			Included in Total OCI (Loss)(1)		Purchases(2)		Sales(2)		Issues(3)		Settlements(3)		Transfers out of Level 3		Transfers into Level 3		Balance, June 30, 2022
	(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae	$	57	$	(8)		$	—	$	—	$	—	$	—	$	(1)	$	(14)	$	42	$	76	$	(3)	$	—


Total trading securities	$	57	$	(8)	(5)(6)	$	—	$	—	$	—	$	—	$	(1)	$	(14)	$	42	$	76	$	(3)	$	—

Available-for-sale securities:
Mortgage-related:
Fannie Mae	$	431	$	1		$	(4)	$	—	$	—	$	—	$	(24)	$	—	$	—	$	404	$	—	$	(3)



Other securities	322		(8)			(2)		—		—		—		(22)		(2)		1		289		—		(2)
Total available-for-sale securities	$	753	$	(7)	(6)(7)	$	(6)	$	—	$	—	$	—	$	(46)	$	(2)	$	1	$	693	$	—	$	(5)

Mortgage loans	$	755	$	(48)	(5)(6)	$	—	$	—	$	(2)	$	—	$	(82)	$	(60)	$	36	$	599	$	(42)	$	—
Net derivatives	131		(157)		(5)	—		—		—		—		19		—		—		(7)		(138)		—

Long-term debt:
Of Fannie Mae	$	(373)	$	120	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(253)	$	120	$	—
Of consolidated trusts	(95)		2		(5)(6)	—		—		—		(86)		27		1		(1)		(152)		3		—
Total long-term debt	$	(468)	$	122		$	—	$	—	$	—	$	(86)	$	27	$	1	$	(1)	$	(405)	$	123	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Three Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021(1)
	Balance, March 31, 2021		Included in Net Income			Included in Total OCI (Loss)(1)		Purchases(2)		Sales(2)		Issues(3)		Settlements(3)		Transfers out of Level 3		Transfers into Level 3		Balance, June 30, 2021
	(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae	$	109	$	(4)		$	—	$	3	$	—	$	—	$	—	$	(32)	$	65	$	141	$	1	$	—


Total trading securities	$	109	$	(4)	(5)(6)	$	—	$	3	$	—	$	—	$	—	$	(32)	$	65	$	141	$	1	$	—

Available-for-sale securities:
Mortgage-related:
Fannie Mae	$	189	$	1		$	5	$	—	$	—	$	—	$	(4)	$	(107)	$	—	$	84	$	—	$	3



Other securities	422		4			(1)		—		—		—		(57)		—		—		368		—		1
Total available-for-sale securities	$	611	$	5	(6)(7)	$	4	$	—	$	—	$	—	$	(61)	$	(107)	$	—	$	452	$	—	$	4

Mortgage loans	$	820	$	21	(5)(6)	$	—	$	85	$	(44)	$	—	$	(53)	$	(29)	$	32	$	832	$	22	$	—
Net derivatives	166		7		(5)	—		—		—		—		21		—		—		194		28		—

Long-term debt:
Of Fannie Mae	$	(382)	$	(15)	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(397)	$	(15)	$	—
Of consolidated trusts	(58)		—		(5)(6)	—		—		—		—		4		—		(1)		(55)		—		—
Total long-term debt	$	(440)	$	(15)		$	—	$	—	$	—	$	—	$	4	$	—	$	(1)	$	(452)	$	(15)	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Six Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2021(1)
	Balance, December 31, 2020		Included in Net Income			Included in Total OCI (Loss)(1)		Purchases(2)		Sales(2)		Issues(3)		Settlements(3)		Transfers out of Level 3		Transfers into Level 3		Balance, June 30, 2021
	(Dollars in millions)
Trading securities:
Mortgage-related:
Fannie Mae	$	94	$	(5)		$	—	$	3	$	—	$	—	$	—	$	(39)	$	88	$	141	$	2	$	—
Other agency	1		—			—		—		—		—		—		(1)		—		—		—		—

Total trading securities	$	95	$	(5)	(5)(6)	$	—	$	3	$	—	$	—	$	—	$	(40)	$	88	$	141	$	2	$	—

Available-for-sale securities:
Mortgage-related:
Fannie Mae	$	195	$	1		$	2	$	—	$	—	$	—	$	(7)	$	(107)	$	—	$	84	$	—	$	3



Other securities	453		7			—		—		—		—		(92)		—		—		368		—		4
Total available-for-sale securities	$	648	$	8	(6)(7)	$	2	$	—	$	—	$	—	$	(99)	$	(107)	$	—	$	452	$	—	$	7

Mortgage loans	$	861	$	29	(5)(6)	$	—	$	85	$	(44)	$	—	$	(100)	$	(52)	$	53	$	832	$	28	$	—
Net derivatives	333		(125)		(5)	—		—		—		—		(14)		—		—		194		(139)		—

Long-term debt:
Of Fannie Mae	$	(416)	$	19	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(397)	$	19	$	—
Of consolidated trusts	(83)		1		(5)(6)	—		—		—		—		8		20		(1)		(55)		—		—
Total long-term debt	$	(499)	$	20		$	—	$	—	$	—	$	—	$	8	$	20	$	(1)	$	(452)	$	19	$	—

(1)Gains (losses) included in “Other comprehensive loss” are included in “Changes in unrealized losses on available-for-sale securities, net of reclassification adjustments and taxes” in our condensed consolidated statements of operations and comprehensive income.

(2)Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts.

(3)Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts.

(4)Amount represents temporary changes in fair value. Amortization, accretion and the impairment of credit losses are not considered unrealized and are not included in this amount.

(5)Gains (losses) are included in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.

(6)Gains (losses) included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income includes amortization of cost basis adjustments.

(7)Gains (losses) are included in “Investment gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.

Level 3 Assets Measured on Nonrecurring Basis

The following tables display valuation techniques and the range and the weighted average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis, excluding instruments for which we have elected the fair value option. Changes in these unobservable inputs can result in significantly higher or lower fair value measurements of these assets and liabilities as of the reporting date.


	Fair Value Measurements as of June 30, 2022
	Fair Value		Significant Valuation Techniques	Significant Unobservable Inputs(1)	Range(1)			Weighted - Average(1)(2)
	(Dollars in millions)
Recurring fair value measurements:
Trading securities:
Mortgage-related securities:
Agency(3)	$	76	Various



Available-for-sale securities:
Mortgage-related securities:
Agency(3)	367		Consensus
	37		Various

Total agency	404






Other securities	153		Discounted Cash Flow	Spreads (bps)	258.0	-	565.0	549.9
	91		Single Vendor
	45		Various
Total other	289
Total available-for-sale securities	$	693

Net derivatives	$	35	Dealer Mark
	(42)		Discounted Cash Flow
Total net derivatives	$	(7)


	Fair Value Measurements as of December 31, 2021
	Fair Value		Significant Valuation Techniques	Significant Unobservable Inputs(1)	Range(1)			Weighted - Average(1)(2)
	(Dollars in millions)
Recurring fair value measurements:
Trading securities:
Mortgage-related securities:
Agency(3)	$	57	Various

Available-for-sale securities:
Mortgage-related securities:
Agency(3)	379		Consensus
	52		Various
Total agency	431











Other securities	175		Discounted Cash Flow	Spreads (bps)	409.0	-	443.0	422.0
	94		Single Vendor	Spreads (bps)	9.3	-	49.4	27.2
	53		Various
Total other	322
Total available-for-sale securities	$	753

Net derivatives	$	152	Dealer Mark
	(21)		Discounted Cash Flow
Total net derivatives	$	131

(1)Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the security level using discounted cash flows.

(2)Unobservable inputs were weighted by the relative fair value of the instruments.

(3)Includes Fannie Mae and Freddie Mac securities.

The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis.


		Fair Value Measurements as of
	Valuation Techniques	June 30, 2022		December 31, 2021
		(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans:(1)
Mortgage loans held for sale, at lower of cost or fair value	Consensus	$	1,818	$	201
	Single Vendor	951		1,383

Total mortgage loans held for sale, at lower of cost or fair value		2,769		1,584

Single-family mortgage loans held for investment, at amortized cost	Internal Model	1,072		867


Multifamily mortgage loans held for investment, at amortized cost	Appraisal	8		37

	Broker Price Opinion	50		118
	Internal Model	7		23
Total multifamily mortgage loans held for investment, at amortized cost		65		178

Acquired property, net:
Single-family	Accepted Offer	14		13
	Appraisal	73		73
	Internal Model	85		75
	Walk Forward	55		37
	Various	4		11
Total single-family		231		209

Multifamily	Various	16		34

Total nonrecurring assets at fair value		$	4,153	$	2,872

(1)When we measure impairment, including recoveries, based on the fair value of the loan or the underlying collateral and impairment is recorded on any component of the mortgage loan, including accrued interest receivable and amounts due from the borrower for advances of taxes and insurance, we present the entire fair value measurement amount with the corresponding mortgage loan.

Fair Value of Financial Instruments

The following table displays the carrying value and estimated fair value of our financial instruments. The fair value of financial instruments we disclose includes commitments to purchase multifamily and single-family mortgage loans that we do not record in our condensed consolidated balance sheets. The fair values of these commitments are included as “Mortgage loans held for investment, net of allowance for loan losses.” The disclosure excludes all non-financial instruments; therefore, the fair value of our financial assets and liabilities does not represent the underlying fair value of our total consolidated assets and liabilities.


	As of June 30, 2022
	Carrying Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Netting Adjustment			Estimated Fair Value
	(Dollars in millions)
Financial assets:
Cash and cash equivalents, including restricted cash and cash equivalents	$	75,942	$	42,142		$	33,800		$	—		$	—		$	75,942
Securities purchased under agreements to resell	15,391		—			15,391			—			—			15,391
Trading securities	64,811		60,883			3,852			76			—			64,811
Available-for-sale securities	765		—			72			693			—			765
Mortgage loans held for sale	4,579		—			643			4,200			—			4,843
Mortgage loans held for investment, net of allowance for loan losses	4,087,352		—			3,557,672			180,362			—			3,738,034
Advances to lenders	4,622		—			4,622			—			—			4,622
Derivative assets at fair value	892		—			791			38			63			892
Guaranty assets and buy-ups	85		—			—			173			—			173
Total financial assets	$	4,254,439	$	103,025		$	3,616,843		$	185,542		$	63		$	3,905,473

Financial liabilities:
Securities sold under agreements to repurchase	$	1,466	$	—		$	1,466		$	—		$	—		$	1,466
Short-term debt:
Of Fannie Mae	7,590		—			7,589			—			—			7,589

Long-term debt:
Of Fannie Mae	136,865		—			137,063			604			—			137,667
Of consolidated trusts	4,064,192		—			3,663,125			36,785			—			3,699,910
Derivative liabilities at fair value	622		—			4,117			45			(3,540)			622
Guaranty obligations	94		—			—			78			—			78
Total financial liabilities	$	4,210,829	$	—		$	3,813,360		$	37,512		$	(3,540)		$	3,847,332


	As of December 31, 2021
	Carrying Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Netting Adjustment	Estimated Fair Value
	(Dollars in millions)
Financial assets:
Cash and cash equivalents, including restricted cash and cash equivalents	$	108,631	$	64,531		$	44,100		$	—			$	—	$	108,631
Securities purchased under agreements to resell	20,743		—			20,743			—				—		20,743
Trading securities	88,206		83,581			4,568			57				—		88,206
Available-for-sale securities	837		—			84			753				—		837
Mortgage loans held for sale	5,134		—			178			5,307				—		5,485
Mortgage loans held for investment, net of allowance for loan losses	3,963,108		—			3,796,917			209,090				—		4,006,007
Advances to lenders	8,414		—			8,413			1				—		8,414
Derivative assets at fair value	171		—			256			152				(237)		171
Guaranty assets and buy-ups	92		—			—			207				—		207
Total financial assets	$	4,195,336	$	148,112		$	3,875,259		$	215,567			$	(237)	$	4,238,701

Financial liabilities:

Short-term debt:
Of Fannie Mae	$	2,795	$	—		$	2,795		$	—			$	—	$	2,795

Long-term debt:
Of Fannie Mae	198,097		—			205,142			799				—		205,941
Of consolidated trusts	3,957,299		—			3,951,537			32,644				—		3,984,181
Derivative liabilities at fair value	233		—			1,385			21				(1,173)		233
Guaranty obligations	101		—			—			101				—		101
Total financial liabilities	$	4,158,525	$	—		$	4,160,859		$	33,565			$	(1,173)	$	4,193,251

Fair Value Option

The following table displays the fair value and unpaid principal balance of the financial instruments for which we have made fair value elections.


	As of
	June 30, 2022									December 31, 2021
	Loans(1)			Long-Term Debt of Fannie Mae			Long-Term Debt of Consolidated Trusts			Loans(1)			Long-Term Debt of Fannie Mae			Long-Term Debt of Consolidated Trusts
	(Dollars in millions)
Fair value		$	4,071		$	1,866		$	18,418		$	4,964		$	2,381		$	21,735
Unpaid principal balance		4,119			1,833			17,677			4,601			2,197			19,314

(1)Includes nonaccrual loans with a fair value of $52 million and $86 million as of June 30, 2022 and December 31, 2021, respectively. Includes loans that are 90 days or more past due with a fair value of $72 million and $125 million as of June 30, 2022 and December 31, 2021, respectively.