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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2022
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,
20222021
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$5,582 $— $— $4,347 $— $— 
Receive-fixed33,276 — — 40,686 — — 
Total risk management derivatives designated as hedging instruments
38,858 — — 45,033 — — 
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed97,808 — — 56,817 — — 
Receive-fixed99,799 1 (4,525)56,874 — (1,131)
Basis41,250 25 — 250 152 — 
Foreign currency300 — (98)336 25 (34)
Swaptions:(1)
Pay-fixed5,286 204 (18)4,341 52 (2)
Receive-fixed2,136 7 (45)1,091 10 (21)
Total risk management derivatives not designated as hedging instruments246,579 237 (4,686)119,709 239 (1,188)
Netting adjustment(2)
— (154)4,662 — (237)1,173 
Total risk management derivatives portfolio
285,437 83 (24)164,742 2 (15)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans
2,596 4 (8)13,192 17 (5)
Forward contracts to purchase mortgage-related securities
17,808 50 (57)58,021 83 (34)
Forward contracts to sell mortgage-related securities
35,302 35 (13)111,173 69 (158)
Total mortgage commitment derivatives
55,706 89 (78)182,386 169 (197)
Credit enhancement derivatives23,784 3 (66)19,256 — (21)
Derivatives at fair value$364,927 $175 $(168)$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 $4.5 billion and $966 million as of December 31, 2022 and 2021, respectively. Cash collateral received was $5 million and $30 million as of December 31, 2022 and 2021, 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,
202220212020
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed$5,541 $2,207 $(2,764)
Receive-fixed(4,788)(1,783)2,226 
Basis(143)(51)43 
Foreign currency(87)(26)23 
Swaptions:
Pay-fixed142 38 (146)
Receive-fixed(19)(217)595 
Futures(1)1 (76)
Net contractual interest income (expense) on interest-rate swaps(265)16 (261)
Total risk management derivatives fair value gains (losses), net380 185 (360)
Mortgage commitment derivatives fair value gains (losses), net2,708 551 (2,654)
Credit enhancement derivatives fair value gains (losses), net(97)(178)182 
Total derivatives fair value gains (losses), net$2,991 $558 $(2,832)
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,
20222021
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 consolidated statements of operations and comprehensive income
$117,813 $(90,798)$98,930 $(70,084)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items
$(790)$— $140 $— 
Discontinued hedge-related basis adjustment amortization
28 — (6)— 
Derivatives designated as hedging instruments
785 — (145)— 
Interest accruals on derivative hedging instruments
13 — (12)— 
Debt of Fannie Mae and related interest-rate contracts:
Hedged items
— 3,978 — 1,370 
Discontinued hedge-related basis adjustment amortization
— (524)— (89)
Derivatives designated as hedging instruments
— (3,321)— (1,308)
Interest accruals on derivative hedging instruments
— (240)— 223 
Gains (losses) recognized in net interest income on fair value hedging relationships
$36 $(107)$(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 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 December 31, 2022.
As of December 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
$293,788 $(628)$(628)$98,377 $5,187 
Debt of Fannie Mae(73,790)4,713 4,713 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.