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Fair Value (Tables)

6 Months Ended

Jun. 30, 2023

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, 2023
	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		$	—		$	2,330		$	28		$	—		$	2,358



Non-mortgage-related(2)		48,207			20			—			—			48,227
Total trading securities		48,207			2,350			28			—			50,585
Available-for-sale securities:



Agency(3)		—			49			356			—			405



Other mortgage-related		—			6			235			—			241
Total available-for-sale securities		—			55			591			—			646
Mortgage loans		—			2,923			510			—			3,433
Derivative assets		—			281			82			(218)			145








Total assets at fair value		$	48,207		$	5,609		$	1,211		$	(218)		$	54,809

Liabilities:
Long-term debt:


Of Fannie Mae		$	—		$	628		$	256		$	—		$	884

Of consolidated trusts		—			15,047			125			—			15,172
Total long-term debt		—			15,675			381			—			16,056
Derivative liabilities		—			4,454			70			(4,227)			297








Total liabilities at fair value		$	—		$	20,129		$	451		$	(4,227)		$	16,353


	Fair Value Measurements as of December 31, 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		$	—		$	3,164		$	47		$	—		$	3,211



Non-mortgage-related(2)		46,898			20			—			—			46,918
Total trading securities		46,898			3,184			47			—			50,129
Available-for-sale securities:



Agency(3)		—			55			371			—			426



Other mortgage-related		—			7			263			—			270
Total available-for-sale securities		—			62			634			—			696
Mortgage loans		—			3,102			543			—			3,645
Derivative assets		—			300			29			(154)			175








Total assets at fair value		$	46,898		$	6,648		$	1,253		$	(154)		$	54,645

Liabilities:
Long-term debt:


Of Fannie Mae		$	—		$	919		$	242		$	—		$	1,161

Of consolidated trusts		—			16,124			136			—			16,260
Total long-term debt		—			17,043			378			—			17,421
Derivative liabilities		—			4,764			66			(4,662)			168








Total liabilities at fair value		$	—		$	21,807		$	444		$	(4,662)		$	17,589

(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)Primarily includes U.S. Treasury securities.

(3)Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae.

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, 2023
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2023(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2023(1)
	Balance, March 31, 2023		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, 2023
	(Dollars in millions)
Trading securities:




Mortgage-related	$	32	$	(2)	(5)(6)	$	—	$	—	$	—	$	—	$	—	$	(2)	$	—	$	28	$	(1)	$	—


Available-for-sale securities:


Agency	$	362	$	1		$	2	$	—	$	—	$	—	$	(9)	$	—	$	—	$	356	$	—	$	2



Other mortgage-related	260		3			1		—		—		—		(28)		(1)		—		235		—		1
Total available-for-sale securities	$	622	$	4	(6)(7)	$	3	$	—	$	—	$	—	$	(37)	$	(1)	$	—	$	591	$	—	$	3

Mortgage loans	$	526	$	(4)	(5)(6)	$	—	$	—	$	—	$	—	$	(20)	$	(6)	$	14	$	510	$	(5)	$	—

Net derivatives	(38)		38		(5)	—		—		—		—		12		—		—		12		51		—

Long-term debt:
Of Fannie Mae	$	(250)	$	(6)	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(256)	$	(6)	$	—
Of consolidated trusts	(133)		2		(5)(6)	—		—		—		—		6		—		—		(125)		2		—
Total long-term debt	$	(383)	$	(4)		$	—	$	—	$	—	$	—	$	6	$	—	$	—	$	(381)	$	(4)	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Six Months Ended June 30, 2023
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2023(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2023(1)
	Balance, December 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, 2023
	(Dollars in millions)
Trading securities:




Mortgage-related	$	47	$	(8)	(5)(6)	$	—	$	—	$	—	$	—	$	—	$	(11)	$	—	$	28	$	(5)	$	—


Available-for-sale securities:


Agency	$	371	$	1		$	1	$	—	$	—	$	—	$	(17)	$	—	$	—	$	356	$	—	$	1



Other mortgage-related	263		5			5		—		—		—		(38)		(1)		1		235		—		3
Total available-for-sale securities	$	634	$	6	(6)(7)	$	6	$	—	$	—	$	—	$	(55)	$	(1)	$	1	$	591	$	—	$	4

Mortgage loans	$	543	$	3	(5)(6)	$	—	$	—	$	—	$	—	$	(45)	$	(15)	$	24	$	510	$	1	$	—

Net derivatives	(37)		32		(5)	—		—		—		—		17		—		—		12		49		—

Long-term debt:
Of Fannie Mae	$	(242)	$	(14)	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(256)	$	(14)	$	—
Of consolidated trusts	(136)		—		(5)(6)	—		—		—		—		11		—		—		(125)		—		—
Total long-term debt	$	(378)	$	(14)		$	—	$	—	$	—	$	—	$	11	$	—	$	—	$	(381)	$	(14)	$	—


	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	$	47	$	(2)	(5)(6)	$	—	$	—	$	—	$	—	$	(1)	$	(5)	$	37	$	76	$	(1)	$	—


Available-for-sale securities:


Agency	$	418	$	—		$	—	$	—	$	—	$	—	$	(14)	$	—	$	—	$	404	$	—	$	(1)



Other mortgage-related	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	$	57	$	(8)	(5)(6)	$	—	$	—	$	—	$	—	$	(1)	$	(14)	$	42	$	76	$	(3)	$	—


Available-for-sale securities:


Agency	$	431	$	1		$	(4)	$	—	$	—	$	—	$	(24)	$	—	$	—	$	404	$	—	$	(3)



Other mortgage-related	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	$	—

(1)Gains (losses) included in “Other comprehensive income (loss)” 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, 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, 2023
	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(3)	$	28	Various


Available-for-sale securities:

Agency(3)	356		Consensus









Other mortgage-related	116		Discounted Cash Flow	Spreads (bps)	498.0	-	528.0	513.6
	91		Single Vendor
	28		Various
Total other mortgage-related	235
Total available-for-sale securities	$	591

Net derivatives	$	36	Dealer Mark
	(24)		Discounted Cash Flow
Total net derivatives	$	12


	Fair Value Measurements as of December 31, 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(3)	$	47	Various

Available-for-sale securities:

Agency(3)	371		Consensus













Other mortgage-related	142		Discounted Cash Flow	Spreads (bps)	531.0	-	582.0	557.7
	96		Single Vendor
	25		Various
Total other mortgage-related	263
Total available-for-sale securities	$	634

Net derivatives	$	25	Dealer Mark
	(62)		Discounted Cash Flow
Total net derivatives	$	(37)

(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, 2023		December 31, 2022
		(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans:(1)
Mortgage loans held for sale, at lower of cost or fair value	Consensus	$	209	$	1,571
	Single Vendor	97		92

Total mortgage loans held for sale, at lower of cost or fair value		306		1,663

Single-family mortgage loans held for investment, at amortized cost	Internal Model	815		1,636


Multifamily mortgage loans held for investment, at amortized cost	Appraisal	49		3

	Broker Price Opinion	773		614
	Internal Model	183		27
Total multifamily mortgage loans held for investment, at amortized cost		1,005		644

Acquired property, net:
Single-family	Accepted Offer	22		17
	Appraisal	35		65
	Internal Model	202		215
	Walk Forward	94		91
	Various	13		12
Total single-family		366		400

Multifamily	Various	62		119

Total nonrecurring assets at fair value		$	2,554	$	4,462

(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, 2023
	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	$	79,435	$	36,235		$	43,200		$	—		$	—		$	79,435
Securities purchased under agreements to resell	33,050		—			33,050			—			—			33,050
Trading securities	50,585		48,207			2,350			28			—			50,585
Available-for-sale securities	646		—			55			591			—			646
Mortgage loans held for sale	513		—			31			495			—			526
Mortgage loans held for investment, net of allowance for loan losses	4,120,612		—			3,455,655			166,079			—			3,621,734
Advances to lenders	3,483		—			3,483			—			—			3,483
Derivative assets at fair value	145		—			281			82			(218)			145
Guaranty assets and buy-ups	78		—			—			162			—			162
Total financial assets	$	4,288,547	$	84,442		$	3,538,105		$	167,437		$	(218)		$	3,789,766

Financial liabilities:

Short-term debt:
Of Fannie Mae	$	15,628	$	—		$	15,619		$	—		$	—		$	15,619

Long-term debt:
Of Fannie Mae	122,068		—			121,057			574			—			121,631
Of consolidated trusts	4,094,654		—			3,533,579			39,567			—			3,573,146
Derivative liabilities at fair value	297		—			4,454			70			(4,227)			297
Guaranty obligations	85		—			—			65			—			65
Total financial liabilities	$	4,232,732	$	—		$	3,674,709		$	40,276		$	(4,227)		$	3,710,758


	As of December 31, 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	$	87,841	$	32,991		$	54,850		$	—			$	—	$	87,841
Securities purchased under agreements to resell	14,565		—			14,565			—				—		14,565
Trading securities	50,129		46,898			3,184			47				—		50,129
Available-for-sale securities	696		—			62			634				—		696
Mortgage loans held for sale	2,033		—			48			2,029				—		2,077
Mortgage loans held for investment, net of allowance for loan losses	4,112,403		—			3,437,979			171,857				—		3,609,836
Advances to lenders	1,502		—			1,502			—				—		1,502
Derivative assets at fair value	175		—			300			29				(154)		175
Guaranty assets and buy-ups	87		—			—			166				—		166
Total financial assets	$	4,269,431	$	79,889		$	3,512,490		$	174,762			$	(154)	$	3,766,987

Financial liabilities:

Short-term debt:
Of Fannie Mae	$	10,204	$	—		$	10,208		$	—			$	—	$	10,208

Long-term debt:
Of Fannie Mae	123,964		—			122,066			558				—		122,624
Of consolidated trusts	4,087,720		—			3,511,958			42,150				—		3,554,108
Derivative liabilities at fair value	168		—			4,764			66				(4,662)		168
Guaranty obligations	94		—			—			66				—		66
Total financial liabilities	$	4,222,150	$	—		$	3,648,996		$	42,840			$	(4,662)	$	3,687,174

Fair Value Option

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


	As of
	June 30, 2023									December 31, 2022
	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		$	3,433		$	884		$	15,172		$	3,645		$	1,161		$	16,260
Unpaid principal balance		3,625			860			15,324			3,835			1,145			16,311

(1)Includes nonaccrual loans with a fair value of $37 million and $40 million as of June 30, 2023 and December 31, 2022, respectively. Includes loans that are 90 days or more past due with a fair value of $36 million and $48 million as of June 30, 2023 and December 31, 2022, respectively.