Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional and Fair Value Position

The following table displays the notional amount and estimated fair value of our asset and liability derivative

instruments.

	As of December 31,
	2023			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	$9,954	$—	$—	$5,582	$—	$—
Receive-fixed	28,587	—	—	33,276	—	—
Total risk management derivatives designated as hedging instruments	38,541	—	—	38,858	—	—
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed	136,648	—	—	97,808	—	—
Receive-fixed	115,288	76	(3,085)	99,799	1	(4,525)
Basis	250	44	—	41,250	25	—
Foreign currency	316	—	(66)	300	—	(98)
Swaptions:(1)
Pay-fixed	5,816	195	(12)	5,286	204	(18)
Receive-fixed	2,666	13	(60)	2,136	7	(45)
Futures(1)	32	—	—	—	—	—
Total risk management derivatives not designated as hedging instruments	261,016	328	(3,223)	246,579	237	(4,686)
Netting adjustment(2)	—	(283)	3,200	—	(154)	4,662
Total risk management derivatives portfolio	299,557	45	(23)	285,437	83	(24)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	2,734	14	—	2,596	4	(8)
Forward contracts to purchase mortgage- related securities	14,264	98	(2)	17,808	50	(57)
Forward contracts to sell mortgage-related securities	43,942	—	(102)	35,302	35	(13)
Total mortgage commitment derivatives	60,940	112	(104)	55,706	89	(78)
Credit enhancement derivatives	27,624	45	(13)	23,784	3	(66)
Derivatives at fair value	$388,121	$202	$(140)	$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 $2.9 billion and $4.5

billion as of December 31, 2023 and 2022, respectively. Cash collateral received was $5 million as of December 31, 2023 and 2022

Schedule of Derivative 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 Year Ended December 31,
	2023	2022	2021
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$(1,441)	$5,541	$2,207
Receive-fixed	2,441	(4,788)	(1,783)
Basis	39	(143)	(51)
Foreign currency	32	(87)	(26)
Swaptions:
Pay-fixed	(2)	142	38
Receive-fixed	(10)	(19)	(217)
Futures	—	(1)	1
Net contractual interest income (expense) on interest-rate swaps	(711)	(265)	16
Total risk management derivatives fair value gains, net	348	380	185
Mortgage commitment derivatives fair value gains, net	120	2,708	551
Credit enhancement derivatives fair value gains (losses), net	46	(97)	(178)
Total derivatives fair value gains, net	$514	$2,991	$558

Schedule of Effect of Fair Value Hedge Accounting

The following table displays the effect of fair value hedge accounting on our consolidated statement of operations and

comprehensive income, including gains and losses recognized on fair value hedging relationships.

		For the Year Ended December 31,
		2023		2022
		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 consolidated statements of operations and comprehensive income		$133,234	$(110,269)	$117,813	$(90,798)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items		$398	$—	$(790)	$—
Discontinued hedge-related basis adjustment amortization		56	—	28	—
Derivatives designated as hedging instruments		(430)	—	785	—
Interest accruals on derivative hedging instruments		155	—	13	—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items		—	(128)	—	3,978
Discontinued hedge-related basis adjustment amortization		—	(834)	—	(524)
Derivatives designated as hedging instruments		—	682	—	(3,321)
Interest accruals on derivative hedging instruments		—	(888)	—	(240)
Gains (losses) recognized in net interest income on fair value hedging relationships		$179	$(1,168)	$36	$(107)

The following table displays the carrying amounts of the hedged items that have been in qualifying fair value hedges

recorded in our 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 December 31, 2023.

	As of December 31, 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	$449,137	$(174)	$(174)	$218,419	$9,955
Debt of Fannie Mae	(59,462)	3,751	3,751	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.