Derivative Instruments (Tables)

9 Months Ended

Sep. 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 September 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	$	8,269	$	—	$	—		$	5,582		$	—	$	—
Receive-fixed	28,005		—		—			33,276			—		—

Total risk management derivatives designated as hedging instruments	36,274		—		—			38,858			—		—
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed	125,372		—		—			97,808			—		—
Receive-fixed	120,583		54		(4,097)			99,799			1		(4,525)
Basis	250		8		—			41,250			25		—
Foreign currency	303		—		(98)			300			—		(98)
Swaptions:(1)
Pay-fixed	5,816		294		(35)			5,286			204		(18)
Receive-fixed	2,666		18		(72)			2,136			7		(45)
Futures(1)	44		—		—			—			—		—
Total risk management derivatives not designated as hedging instruments	255,034		374		(4,302)			246,579			237		(4,686)


Netting adjustment(2)	—		(321)		4,241			—			(154)		4,662
Total risk management derivatives portfolio	291,308		53		(61)			285,437			83		(24)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	3,593		2		(16)			2,596			4		(8)
Forward contracts to purchase mortgage-related securities	17,550		2		(111)			17,808			50		(57)
Forward contracts to sell mortgage-related securities	39,062		47		(23)			35,302			35		(13)
Total mortgage commitment derivatives	60,205		51		(150)			55,706			89		(78)
Credit enhancement derivatives	26,467		45		(14)			23,784			3		(66)
Derivatives at fair value	$	377,980	$	149	$	(225)		$	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 September 30, 2023 and December 31, 2022, respectively. Cash collateral received was $47 million and $5 million as of September 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 September 30,				For the Nine Months Ended September 30,
	2023		2022		2023		2022
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	1,349	$	2,510	$	1,617	$	5,809
Receive-fixed	(1,040)		(1,903)		(478)		(5,269)
Basis	(22)		5		6		(126)
Foreign currency	(12)		(62)		(2)		(122)
Swaptions:
Pay-fixed	95		43		74		141
Receive-fixed	(13)		(6)		(16)		(19)
Futures	1		—		2		(1)
Net contractual interest expense on interest-rate swaps	(193)		(63)		(499)		(102)
Total risk management derivatives fair value gains, net	165		524		704		311
Mortgage commitment derivatives fair value gains, net	591		517		675		2,933
Credit enhancement derivatives fair value gains (losses), net	47		(32)		61		(83)
Total derivatives fair value gains, net	$	803	$	1,009	$	1,440	$	3,161

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,
	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	$	33,711	$	(27,994)	$	30,114	$	(23,709)	$	98,503	$	(81,781)	$	86,338	$	(65,291)

Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items	$	(544)	$	—	$	(285)	$	—	$	(511)	$	—	$	(867)	$	—
Discontinued hedge related basis adjustment amortization	14		—		9		—		34		—		14		—


Derivatives designated as hedging instruments	560		—		269		—		478		—		833		—
Interest accruals on hedging instruments	36		—		7		—		89		—		(10)		—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items	—		176		—		1,477		—		606		—		3,848
Discontinued hedge-related basis adjustment amortization	—		(223)		—		(145)		—		(618)		—		(329)
Derivatives designated as hedging instruments	—		(66)		—		(1,289)		—		(137)		—		(3,381)
Interest accruals on derivative hedging instruments	—		(191)		—		(108)		—		(713)		—		(54)
Total effect of fair value hedges	$	66	$	(304)	$	—	$	(65)	$	90	$	(862)	$	(30)	$	84

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 September 30, 2023 and December 31, 2022.


	As of September 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	$	407,336	$	(1,105)	$	(1,105)	$	228,502	$	7,658

Debt of Fannie Mae	(61,705)		4,701		4,701		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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