Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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, 2022						As of December 31, 2021
	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	$	6,221	$	—	$	—		$	4,347		$	—	$	—
Receive-fixed	35,926		—		—			40,686			—		—

Total risk management derivatives designated as hedging instruments	42,147		—		—			45,033			—		—
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed	89,832		—		—			56,817			—		—
Receive-fixed	93,469		—		(4,683)			56,874			—		(1,131)
Basis	41,250		31		—			250			152		—
Foreign currency	277		—		(130)			336			25		(34)
Swaptions:(1)
Pay-fixed	5,286		203		(20)			4,341			52		(2)
Receive-fixed	2,136		5		(44)			1,091			10		(21)

Total risk management derivatives not designated as hedging instruments	232,250		239		(4,877)			119,709			239		(1,188)


Netting adjustment(2)	—		(163)		4,833			—			(237)		1,173
Total risk management derivatives portfolio	274,397		76		(44)			164,742			2		(15)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	5,774		4		(78)			13,192			17		(5)
Forward contracts to purchase mortgage-related securities	43,304		5		(732)			58,021			83		(34)
Forward contracts to sell mortgage-related securities	61,444		411		(4)			111,173			69		(158)
Total mortgage commitment derivatives	110,522		420		(814)			182,386			169		(197)
Credit enhancement derivatives	24,456		2		(65)			19,256			—		(21)
Derivatives at fair value	$	409,375	$	498	$	(923)		$	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 $4.7 billion and $966 million as of September 30, 2022 and December 31, 2021, respectively. Cash collateral received was $8 million and $30 million as of September 30, 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 September 30,				For the Nine Months Ended September 30,

	2022		2021		2022		2021
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	2,510	$	343	$	5,809	$	1,855
Receive-fixed	(1,903)		(209)		(5,269)		(1,307)
Basis	5		(12)		(126)		(39)
Foreign currency	(62)		(19)		(122)		(23)
Swaptions:
Pay-fixed	43		6		141		55
Receive-fixed	(6)		(14)		(19)		(223)
Futures	—		—		(1)		1
Net contractual interest expense on interest-rate swaps	(63)		(2)		(102)		(6)
Total risk management derivatives fair value gains, net	524		93		311		313
Mortgage commitment derivatives fair value gains (losses), net	517		(25)		2,933		504
Credit enhancement derivatives fair value losses, net	(32)		(55)		(83)		(163)
Total derivatives fair value gains, net	$	1,009	$	13	$	3,161	$	654

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,
	2022				2021				2022				2021
	Interest Income: Mortgage Loans		Interest Expense: Long-Term Debt		Interest Income: Mortgage Loans		Interest Expense: Long-Term Debt		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	$	30,114	$	(23,709)	$	24,798	$	(18,009)	$	86,338	$	(65,291)	$	73,083	$	(51,646)

Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items	$	(285)	$	—	$	(1)	$	—	$	(867)	$	—	$	69	$	—
Discontinued hedge related basis adjustment amortization	9		—		(3)		—		14		—		(3)		—


Derivatives designated as hedging instruments	269		—		(1)		—		833		—		(71)		—
Interest accruals on hedging instruments	7		—		(4)		—		(10)		—		(9)		—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items	—		1,477		—		195		—		3,848		—		1,000
Discontinued hedge-related basis adjustment amortization	—		(145)		—		(20)		—		(329)		—		(54)
Derivatives designated as hedging instruments	—		(1,289)		—		(191)		—		(3,381)		—		(982)
Interest accruals on derivative hedging instruments	—		(108)		—		65		—		(54)		—		178
Total effect of fair value hedges	$	—	$	(65)	$	(9)	$	49	$	(30)	$	84	$	(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, 2022 and December 31, 2021.


	As of September 30, 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	$	253,002	$	(719)	$	(719)	$	59,031	$	5,595

Debt of Fannie Mae	(73,711)		4,777		4,777		N/A		N/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/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.

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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-Publisher FASB
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+ Details