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Fair Value
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Fair Value Fair Value
We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or nonrecurring basis.
Fair Value Measurement
Fair value measurement guidance defines fair value, establishes a framework for measuring fair value, and sets forth disclosures around fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. The guidance establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The hierarchy gives the highest priority, Level 1, to measurements based on unadjusted quoted prices in active markets for identical assets or liabilities. The next highest priority, Level 2, is given to measurements of assets and liabilities based on limited observable inputs or observable inputs for similar assets and liabilities. The lowest priority, Level 3, is given to measurements based on unobservable inputs.
We use valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. See “Note 15, Fair Value” in our 2022 Form 10-K for information on the valuation control processes and the valuation techniques we use for fair value measurement and disclosure as well as our basis for classifying these measurements as Level 1, Level 2 or Level 3 of the valuation hierarchy in more specific situations. If the inputs used to measure assets or liabilities at fair value change, it may also result in a change in classification between Levels 1, 2, and 3. We made no material changes to the valuation control processes or the valuation techniques for the nine months ended September 30, 2023.
Recurring Changes in Fair Value
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 September 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:
Cash equivalents, including restricted cash equivalents(2)
$494 $— $— $— $494 
Trading securities:
Mortgage-related— 2,610 24 — 2,634 
Non-mortgage-related(3)
48,634 20 — — 48,654 
Total trading securities48,634 2,630 24 — 51,288 
Available-for-sale securities:
Agency(4)
— 164 212 — 376 
Other mortgage-related— 5 203 — 208 
Total available-for-sale securities— 169 415 — 584 
Mortgage loans— 2,716 491 — 3,207 
Derivative assets— 417 53 (321)149 
Total assets at fair value$49,128 $5,932 $983 $(321)$55,722 
Liabilities:
Long-term debt:
Of Fannie Mae$— $593 $240 $— $833 
Of consolidated trusts— 14,141 69 — 14,210 
Total long-term debt— 14,734 309 — 15,043 
Derivative liabilities— 4,452 14 (4,241)225 
Total liabilities at fair value$— $19,186 $323 $(4,241)$15,268 
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:
Cash equivalents, including restricted cash equivalents(2)
$— $— $— $— $— 
Trading securities:
Mortgage-related— 3,164 47 — 3,211 
Non-mortgage-related(3)
46,898 20 — — 46,918 
Total trading securities46,898 3,184 47 — 50,129 
Available-for-sale securities:
Agency(4)
— 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)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.
(4)Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae.
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 September 30, 2023
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2023(1)
Balance, June 30, 2023Included in Net Income
Included in Total OCI (Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, September 30, 2023
(Dollars in millions)
Trading securities:
Mortgage-related$28 $(4)
(5)(6)
$— $— $— $— $— $(4)$4 $24 $(4)$— 
Available-for-sale securities:
Agency
$356 $— $(19)$— $— $— $(8)$(117)$— $212 $— $(12)
Other mortgage-related235 1 — — — — (34)— 1 203 — — 
Total available-for-sale securities
$591 $1 
(6)(7)
$(19)$— $— $— $(42)$(117)$1 $415 $— $(12)
Mortgage loans
$510 $(2)
(5)(6)
$— $— $— $— $(19)$(15)$17 $491 $(4)$— 
Net derivatives12 28 
(5)
— — — — (1)— — 39 26 — 
Long-term debt:
Of Fannie Mae
$(256)$16 
(5)
$— $— $— $— $— $— $— $(240)$16 $— 
Of consolidated trusts
(125)1 
(5)(6)
— — — — 4 52 (1)(69)— — 
Total long-term debt
$(381)$17 $— $— $— $— $4 $52 $(1)$(309)$16 $— 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Nine Months Ended September 30, 2023
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2023(1)
Balance, December 31, 2022Included in Net Income
Included in Total OCI (Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, September 30, 2023
(Dollars in millions)
Trading securities:
Mortgage-related$47 $(12)
(5)(6)
$— $— $— $— $— $(15)$4 $24 $(9)$— 
Available-for-sale securities:
Agency
$371 $1 $(18)$— $— $— $(25)$(117)$— $212 $— $(10)
Other mortgage-related263 6 5 — — — (72)(1)2 203 — 4 
Total available-for-sale securities
$634 $7 
(6)(7)
$(13)$— $— $— $(97)$(118)$2 $415 $— $(6)
Mortgage loans
$543 $1 
(5)(6)
$— $— $— $— $(64)$(30)$41 $491 $(4)$— 
Net derivatives(37)60 
(5)
— — — — 16 — — 39 76 — 
Long-term debt:
Of Fannie Mae
$(242)$2 
(5)
$— $— $— $— $— $— $— $(240)$2 $— 
Of consolidated trusts
(136)1 
(5)(6)
— — — — 15 52 (1)(69)1 — 
Total long-term debt
$(378)$3 $— $— $— $— $15 $52 $(1)$(309)$3 $— 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Three Months Ended September 30, 2022
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2022(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022(1)
Balance, June 30, 2022Included in Net Income
Included in Total OCI (Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, September 30, 2022
(Dollars in millions)
Trading securities:
Mortgage-related$76 $(3)
(5)(6)
$— $— $— $— $— $(33)$— $40 $2 $— 
Available-for-sale securities:
Agency
$404 $1 $(1)$— $— $— $(11)$— $— $393 $— $(1)
Other mortgage-related289 (2)1 — — — (7)— — 281 — 2 
Total available-for-sale securities
$693 $(1)
(6)(7)
$— $— $— $— $(18)$— $— $674 $— $1 
Mortgage loans
$599 $(20)
(5)(6)
$— $— $— $— $(33)$(13)$12 $545 $(21)$— 
Net derivatives(7)(26)
(5)
— — — — 1 — — (32)(25)— 
Long-term debt:
Of Fannie Mae
$(253)$(1)
(5)
$— $— $— $— $— $— $— $(254)$(1)$— 
Of consolidated trusts
(152)4 
(5)(6)
— — — — 7 — — (141)3 — 
Total long-term debt
$(405)$3 $— $— $— $— $7 $— $— $(395)$2 $— 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Nine Months Ended September 30, 2022
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2022(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2022(1)
Balance, December 31, 2021Included in Net Income
Included in Total OCI (Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, September 30, 2022
(Dollars in millions)
Trading securities:
Mortgage-related$57 $(11)
(5)(6)
$— $— $— $— $(1)$(47)$42 $40 $(2)$— 
Available-for-sale securities:
Agency
$431 $2 $(5)$— $— $— $(35)$— $— $393 $— $(4)
Other mortgage-related322 (10)(1)— — — (29)(2)1 281 — — 
Total available-for-sale securities
$753 $(8)
(6)(7)
$(6)$— $— $— $(64)$(2)$1 $674 $— $(4)
Mortgage loans
$755 $(68)
(5)(6)
$— $— $(2)$— $(115)$(73)$48 $545 $(59)$— 
Net derivatives131 (183)
(5)
— — — — 20 — — (32)(163)— 
Long-term debt:
Of Fannie Mae
$(373)$119 
(5)
$— $— $— $— $— $— $— $(254)$119 $— 
Of consolidated trusts
(95)6 
(5)(6)
— — — (86)34 1 (1)(141)6 — 
Total long-term debt
$(468)$125 $— $— $— $(86)$34 $1 $(1)$(395)$125 $— 
(1)Gains (losses) included in “Other comprehensive 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.
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 September 30, 2023
Fair ValueSignificant Valuation Techniques
Significant Unobservable
Inputs(1)
Range(1)
Weighted - Average(1)(2)
(Dollars in millions)
Recurring fair value measurements:
Trading securities:
Mortgage-related(3)
$24 Various
Available-for-sale securities:
Agency(3)
212 Consensus
Other mortgage-related91 Discounted Cash FlowSpreads (bps)488.0 -518.0503.6
16 Single Vendor
96 Various
Total other mortgage-related
203 
Total available-for-sale securities$415 
Net derivatives$8 Dealer Mark
31 Discounted Cash Flow
Total net derivatives$39 
Fair Value Measurements as of December 31, 2022
Fair ValueSignificant 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-related142 Discounted Cash FlowSpreads (bps)531.0 -582.0557.7
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.
In our condensed consolidated balance sheets, certain assets and liabilities are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, when we evaluate loans for impairment). We held no Level 1 assets or liabilities that were measured at fair value on a nonrecurring basis as of September 30, 2023 or December 31, 2022. We held $204 million and $30 million in Level 2 assets as of September 30, 2023 and December 31, 2022, respectively, composed of mortgage loans held for sale that were impaired. We held no Level 2 or Level 3 liabilities that were measured at fair value on a nonrecurring basis as of September 30, 2023 or December 31, 2022.
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 TechniquesSeptember 30, 2023December 31, 2022
(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans:(1)
Mortgage loans held for sale, at lower of cost or fair valueConsensus$2,261 $1,571 
Single Vendor— 92 
Total mortgage loans held for sale, at lower of cost or fair value
2,261 1,663 
Single-family mortgage loans held for investment, at amortized cost
Internal Model684 1,636 
Multifamily mortgage loans held for investment, at amortized cost
Appraisal6 3 
Broker Price Opinion877 614 
Internal Model133 27 
Total multifamily mortgage loans held for investment, at amortized cost
1,016 644 
Acquired property, net:
Single-familyAccepted Offer22 17 
Appraisal44 65 
Internal Model193 215 
Walk Forward78 91 
Various17 12 
Total single-family354 400 
MultifamilyVarious85 119 
Total nonrecurring assets at fair value$4,400 $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 September 30, 2023
Carrying ValueQuoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs
(Level 3) 		Netting AdjustmentEstimated Fair Value
(Dollars in millions)
Financial assets:
Cash and cash equivalents, including restricted cash and cash equivalents
$81,799 $34,649 $47,150 $— $— $81,799 
Securities purchased under agreements to resell22,850 — 22,850 — — 22,850 
Trading securities51,288 48,634 2,630 24 — 51,288 
Available-for-sale securities584 — 169 415 — 584 
Mortgage loans held for sale2,587 — 588 2,062 — 2,650 
Mortgage loans held for investment, net of allowance for loan losses
4,131,301 — 3,346,542 123,867 — 3,470,409 
Advances to lenders3,384 — 3,384 — — 3,384 
Derivative assets at fair value149 — 417 53 (321)149 
Guaranty assets and buy-ups75 — — 168 — 168 
Total financial assets$4,294,017 $83,283 $3,423,730 $126,589 $(321)$3,633,281 
Financial liabilities:
Short-term debt:
Of Fannie Mae$14,245 $— $14,238 $— $— $14,238 
Long-term debt:
Of Fannie Mae111,407 — 109,706 551 — 110,257 
Of consolidated trusts4,106,110 — 3,421,692 248 — 3,421,940 
Derivative liabilities at fair value225 — 4,452 14 (4,241)225 
Guaranty obligations81 — — 71 — 71 
Total financial liabilities$4,232,068 $— $3,550,088 $884 $(4,241)$3,546,731 
As of December 31, 2022
Carrying ValueQuoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs
(Level 3)		Netting AdjustmentEstimated 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 resell14,565 — 14,565 — — 14,565 
Trading securities50,129 46,898 3,184 47 — 50,129 
Available-for-sale securities696 — 62 634 — 696 
Mortgage loans held for sale2,033 — 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 lenders1,502 — 1,502 — — 1,502 
Derivative assets at fair value175 — 300 29 (154)175 
Guaranty assets and buy-ups87 — — 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 Mae123,964 — 122,066 558 — 122,624 
Of consolidated trusts4,087,720 — 3,511,958 42,150 — 3,554,108 
Derivative liabilities at fair value168 — 4,764 66 (4,662)168 
Guaranty obligations94 — — 66 — 66 
Total financial liabilities$4,222,150 $— $3,648,996 $42,840 $(4,662)$3,687,174 
For a detailed description and classification of our financial instruments, see “Note 15, Fair Value” in our 2022 Form 10-K.
Fair Value Option
We elected the fair value option for loans and debt that contain embedded derivatives that would otherwise require bifurcation. Under the fair value option, we elected to carry these instruments at fair value instead of bifurcating the embedded derivative from such instruments.
Interest income for the mortgage loans is recorded in “Interest income: Mortgage loans” and interest expense for the debt instruments is recorded in “Interest expense: Long-term debt” in our condensed consolidated statements of operations and comprehensive income.
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
September 30, 2023December 31, 2022
Loans(1)
Long-Term Debt of Fannie MaeLong-Term Debt of Consolidated Trusts
Loans(1)
Long-Term Debt of Fannie MaeLong-Term Debt of Consolidated Trusts
(Dollars in millions)
Fair value$3,207 $833 $14,210 $3,645 $1,161 $16,260 
Unpaid principal balance3,527 828 14,823 3,835 1,145 16,311 
(1)Includes nonaccrual loans with a fair value of $32 million and $40 million as of September 30, 2023 and December 31, 2022, respectively. Includes loans that are 90 days or more past due with a fair value of $33 million and $48 million as of September 30, 2023 and December 31, 2022, respectively.
Changes in Fair Value under the Fair Value Option Election
We recorded losses of $117 million and $95 million for the three and nine months ended September 30, 2023, respectively, and losses of $209 million and $587 million for the three and nine months ended September 30, 2022, respectively, from changes in the fair value of loans recorded at fair value in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income.
We recorded gains of $406 million and $356 million for the three and nine months ended September 30, 2023, respectively, and gains of $787 million and $2.4 billion for the three and nine months ended September 30, 2022, respectively, from changes in the fair value of long-term debt recorded at fair value in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income.