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Fair Value (Tables)

9 Months Ended

Sep. 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 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 securities		48,634			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 securities		46,898			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.

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 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, 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, 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-related	235		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 derivatives	12		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, 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, 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-related	263		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, 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, 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-related	289		(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, 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, 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-related	322		(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 derivatives	131		(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.

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 September 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)	$	24	Various


Available-for-sale securities:

Agency(3)	212		Consensus









Other mortgage-related	91		Discounted Cash Flow	Spreads (bps)	488.0	-	518.0	503.6
	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 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	September 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	$	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 Model	684		1,636


Multifamily mortgage loans held for investment, at amortized cost	Appraisal	6		3

	Broker Price Opinion	877		614
	Internal Model	133		27
Total multifamily mortgage loans held for investment, at amortized cost		1,016		644

Acquired property, net:
Single-family	Accepted Offer	22		17
	Appraisal	44		65
	Internal Model	193		215
	Walk Forward	78		91
	Various	17		12
Total single-family		354		400

Multifamily	Various	85		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 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	$	81,799	$	34,649		$	47,150		$	—		$	—		$	81,799
Securities purchased under agreements to resell	22,850		—			22,850			—			—			22,850
Trading securities	51,288		48,634			2,630			24			—			51,288
Available-for-sale securities	584		—			169			415			—			584
Mortgage loans held for sale	2,587		—			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 lenders	3,384		—			3,384			—			—			3,384
Derivative assets at fair value	149		—			417			53			(321)			149
Guaranty assets and buy-ups	75		—			—			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 Mae	111,407		—			109,706			551			—			110,257
Of consolidated trusts	4,106,110		—			3,421,692			248			—			3,421,940
Derivative liabilities at fair value	225		—			4,452			14			(4,241)			225
Guaranty obligations	81		—			—			71			—			71
Total financial liabilities	$	4,232,068	$	—		$	3,550,088		$	884		$	(4,241)		$	3,546,731


	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
	September 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		$	3,207		$	833		$	14,210		$	3,645		$	1,161		$	16,260
Unpaid principal balance		3,527			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.