Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2023

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 June 30, 2023						As of December 31, 2022
	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	$	3,371	$	—	$	—		$	5,582		$	—	$	—
Receive-fixed	27,319		—		—			33,276			—		—

Total risk management derivatives designated as hedging instruments	30,690		—		—			38,858			—		—
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed	134,023		—		—			97,808			—		—
Receive-fixed	171,397		43		(4,099)			99,799			1		(4,525)
Basis	250		36		—			41,250			25		—
Foreign currency	315		—		(88)			300			—		(98)
Swaptions:(1)
Pay-fixed	5,816		176		(12)			5,286			204		(18)
Receive-fixed	2,666		9		(51)			2,136			7		(45)
Futures(1)	13		—		—			—			—		—
Total risk management derivatives not designated as hedging instruments	314,480		264		(4,250)			246,579			237		(4,686)


Netting adjustment(2)	—		(218)		4,227			—			(154)		4,662
Total risk management derivatives portfolio	345,170		46		(23)			285,437			83		(24)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	4,495		1		(14)			2,596			4		(8)
Forward contracts to purchase mortgage-related securities	24,325		19		(88)			17,808			50		(57)
Forward contracts to sell mortgage-related securities	47,712		32		(102)			35,302			35		(13)
Total mortgage commitment derivatives	76,532		52		(204)			55,706			89		(78)
Credit enhancement derivatives	26,364		47		(70)			23,784			3		(66)
Derivatives at fair value	$	448,066	$	145	$	(297)		$	364,927		$	175	$	(168)

(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 $4.0 billion and $4.5 billion as of June 30, 2023 and December 31, 2022, respectively. Cash collateral received was $26 million and $5 million as of June 30, 2023 and December 31, 2022, 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 June 30,				For the Six Months Ended June 30,
	2023		2022		2023		2022
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	1,858	$	1,174	$	268	$	3,299
Receive-fixed	(1,010)		(1,106)		562		(3,366)
Basis	15		(63)		28		(131)
Foreign currency	2		(36)		10		(60)
Swaptions:
Pay-fixed	12		54		(21)		98
Receive-fixed	(2)		(10)		(3)		(13)
Futures	1		(1)		1		(1)
Net contractual interest expense on interest-rate swaps	(128)		(28)		(306)		(39)
Total risk management derivatives fair value gains (losses), net	748		(16)		539		(213)
Mortgage commitment derivatives fair value gains, net	198		844		84		2,416
Credit enhancement derivatives fair value gains (losses), net	29		(29)		14		(51)
Total derivatives fair value gains, net	$	975	$	799	$	637	$	2,152

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 June 30,								For the Six Months Ended June 30,
	2023				2022				2023				2022
	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	$	32,655	$	(27,122)	$	29,082	$	(21,642)	$	64,792	$	(53,787)	$	56,224	$	(41,582)

Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items	$	(144)	$	—	$	(344)	$	—	$	33	$	—	$	(582)	$	—
Discontinued hedge related basis adjustment amortization	9		—		5		—		20		—		5		—


Derivatives designated as hedging instruments	132		—		337		—		(82)		—		564		—
Interest accruals on hedging instruments	27		—		(9)		—		53		—		(17)		—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items	—		669		—		748		—		430		—		2,371
Discontinued hedge-related basis adjustment amortization	—		(199)		—		(119)		—		(395)		—		(184)
Derivatives designated as hedging instruments	—		(503)		—		(568)		—		(71)		—		(2,092)
Interest accruals on derivative hedging instruments	—		(293)		—		7		—		(522)		—		54
Total effect of fair value hedges	$	24	$	(326)	$	(11)	$	68	$	24	$	(558)	$	(30)	$	149

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 portfolio 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 June 30, 2023 and December 31, 2022.


	As of June 30, 2023
	Carrying Amount Assets (Liabilities)		Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount				Closed Portfolio of Mortgage Loans Under Portfolio Layer Method
			Total Basis Adjustments(1)(2)		Remaining Adjustments - Discontinued Hedge		Total Amortized Cost		Designated UPB
	(Dollars in millions)
Mortgage loans HFI	$	356,930	$	(575)	$	(575)	$	171,706	$	3,186

Debt of Fannie Mae	(70,459)		4,747		4,747		N/A		N/A


	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 Portfolio 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/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.

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