Fair Value (Tables)

12 Months Ended

Dec. 31, 2023

The following tables display our assets and liabilities measured in our 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 December 31, 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
Recurring fair value measurements:	(Dollars in millions)
Assets:
Trading securities:
Mortgage-related		$—		$4,744		$26		$—		$4,770
Non-mortgage-related(2)		47,764		18		—		—		47,782
Total trading securities		47,764		4,762		26		—		52,552
Available-for-sale securities:
Agency(3)		—		46		331		—		377
Other mortgage-related		—		4		183		—		187
Total available-for-sale securities		—		50		514		—		564
Mortgage loans		—		2,838		477		—		3,315
Derivative assets		—		395		90		(283)		202
Total assets at fair value		$47,764		$8,045		$1,107		$(283)		$56,633

Liabilities:
Long-term debt:
Of Fannie Mae		$—		$493		$268		$—		$761
Of consolidated trusts		—		14,226		117		—		14,343
Total long-term debt		—		14,719		385		—		15,104
Derivative liabilities		—		3,327		13		(3,200)		140
Total liabilities at fair value		$—		$18,046		$398		$(3,200)		$15,244


	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
Recurring fair value measurements:	(Dollars in millions)
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 Input (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 consolidated statements of operations and

comprehensive income for Level 3 assets and liabilities.


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Year Ended December 31, 2023
		Total Gains (Losses) (Realized/Unrealized)											Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2023(4)(5)	Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of December 31, 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, December 31, 2023
	(Dollars in millions)
Trading securities:
Mortgage-related	$47	$(9)	(5)(6)		$—	$—	$—	$—	$(1)	$(20)	$9	$26	$(6)	$—

Available-for-sale securities:
Agency	$371	$—			$(10)	$—	$—	$—	$(29)	$(117)	$116	$331	$—	$(6)
Other mortgage- related	263	7			7	—	—	—	(95)	(1)	2	183	—	5
Total available-for- sale securities	$634	$7	(6)(7)		$(3)	$—	$—	$—	$(124)	$(118)	$118	$514	$—	$(1)

Mortgage loans	$543	$12	(5)(6)		$—	$—	$(1)	$—	$(79)	$(63)	$65	$477	$6	$—

Net derivatives	(37)	78	(5)		—	—	—	—	36	—	—	77	114	—

Long-term debt:
Of Fannie Mae	$(242)	$(26)	(5)		$—	$—	$—	$—	$—	$—	$—	$(268)	$(26)	$—
Of consolidated trusts	(136)	1	(5)(6)		—	—	—	—	17	53	(52)	(117)	1	—
Total long-term debt	$(378)	$(25)			$—	$—	$—	$—	$17	$53	$(52)	$(385)	$(25)	$—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Year Ended December 31, 2022
		Total Gains (Losses) (Realized/Unrealized)											Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2022(4)(5)	Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of December 31, 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, December 31, 2022
	(Dollars in millions)
Trading securities:
Mortgage-related	$57	$(8)	(5)(6)		$—	$—	$—	$—	$(1)	$(54)	$53	$47	$(6)	$—

Available-for-sale securities:
Agency	$431	$2			$(18)	$—	$—	$—	$(44)	$—	$—	$371	$—	$(14)
Other mortgage- related	322	(10)			(2)	—	—	—	(46)	(2)	1	263	—	(2)
Total available-for- sale securities	$753	$(8)	(6)(7)		$(20)	$—	$—	$—	$(90)	$(2)	$1	$634	$—	$(16)

Mortgage loans	$755	$(67)	(5)(6)		$—	$—	$(4)	$—	$(135)	$(82)	$76	$543	$(57)	$—

Net derivatives	131	(204)	(5)		—	—	—	—	36	—	—	(37)	(168)	—

Long-term debt:
Of Fannie Mae	$(373)	$131	(5)		$—	$—	$—	$—	$—	$—	$—	$(242)	$131	$—
Of consolidated trusts	(95)	6	(5)(6)		—	—	—	(86)	39	2	(2)	(136)	6	—
Total long-term debt	$(468)	$137			$—	$—	$—	$(86)	$39	$2	$(2)	$(378)	$137	$—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Year Ended December 31, 2021
		Total Gains (Losses) (Realized/Unrealized)											Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2021(4)(5)	Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of December 31, 2021(1)
	Balance, December 31, 2020	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, December 31, 2021
	(Dollars in millions)
Trading securities:
Mortgage-related	$95	$(24)	(5)(6)		$—	$18	$—	$—	$—	$(165)	$133	$57	$—	$—

Available-for-sale securities:
Agency	$195	$1			$(1)	$—	$—	$—	$(33)	$(107)	$376	$431	$—	$2
Other mortgage- related	453	13			(6)	—	—	—	(138)	—	—	322	—	(1)
Total available-for- sale securities	$648	$14	(6)(7)		$(7)	$—	$—	$—	$(171)	$(107)	$376	$753	$—	$1

Mortgage loans	$861	$31	(5)(6)		$—	$89	$(66)	$—	$(194)	$(86)	$120	$755	$26	$—

Net derivatives	333	(209)	(5)		—	—	—	—	7	—	—	131	(202)	—

Long-term debt:
Of Fannie Mae	$(416)	$43	(5)		$—	$—	$—	$—	$—	$—	$—	$(373)	$43	$—
Of consolidated trusts	(83)	(1)	(5)(6)		—	—	—	—	16	20	(47)	(95)	(2)	—
Total long-term debt	$(499)	$42			$—	$—	$—	$—	$16	$20	$(47)	$(468)	$41	$—

(1)Gains (losses) are included in “Other comprehensive loss” in our 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 consolidated statements of operations and comprehensive income.

(6)Gains (losses) included in “Net interest income” in our 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 consolidated statements of operations and comprehensive income.

Fair Value Measurement Inputs and Valuation Techniques

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 December 31, 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)

$26

Various

Available-for-sale securities:

Agency(3)

331

Consensus

Other mortgage-related

Discounted Cash Flow

Spreads (bps)

530.0

560.0

544.8

Single Vendor

100

Various

Total other mortgage-related

183

Total available-for-sale securities

$514

Net derivatives

$45

Dealer Mark

Discounted Cash Flow

Total net derivatives

$77

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

Single Vendor

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 December 31,
	Valuation Techniques	2023	2022
		(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans:(1)
Mortgage loans held for sale, at lower of cost or fair value	Consensus	$1,994	$1,571
	Single Vendor	—	92
Total mortgage loans held for sale, at lower of cost or fair value		1,994	1,663

Single-family mortgage loans held for investment, at amortized cost	Internal Model	407	1,636

Multifamily mortgage loans held for investment, at amortized cost	Appraisal	33	3
	Broker Price Opinion	769	614
	Internal Model	218	27
Total multifamily mortgage loans held for investment, at amortized cost		1,020	644

Acquired property, net:
Single-family	Accepted Offer	23	17
	Appraisal	43	65
	Internal Model	230	215
	Walk Forward	75	91
	Various	19	12
Total single-family		390	400

Multifamily	Various	182	119
Total nonrecurring assets at fair value		$3,993	$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.

The following is a description of 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.


Instruments	Valuation Techniques	Classification
U.S Treasury Securities and Futures	We classify securities whose values are based on quoted market prices in active markets for identical assets as Level 1 of the valuation hierarchy. These are comprised of US Treasury securities and futures which are classified as trading securities.	Level 1
Other Trading Securities and Available-for-Sale Securities	We classify securities in active markets as Level 2 of the valuation hierarchy if quoted market prices in active markets for identical assets are not available. For all valuation techniques used for securities where there is limited activity or less transparency around these inputs to the valuation, these securities are classified as Level 3 of the valuation hierarchy. Single Vendor: Uses one vendor price to estimate fair value. We generally validate these observations of fair value through the use of a discounted cash flow technique whose unobservable inputs (for example, spreads) are disclosed in the table above. Consensus: Uses an average of two or more vendor prices for similar securities. We generally validate these observations of fair value through the use of a discounted cash flow technique whose unobservable inputs (for example, spreads) are disclosed in the table above.	Level 2 and 3
	Discounted Cash Flow: In the absence of prices provided by third-party pricing services supported by observable market data, we estimate the fair value of a portion of our securities using a discounted cash flow technique that uses inputs such as default rates, prepayment speeds, loss severity and spreads based on market assumptions where available. Other: Default pricing to par or par equivalent. For private-label securities, an increase in unobservable prepayment speeds in isolation would generally result in an increase in fair value, and an increase in unobservable spreads, severity rates or default rates in isolation would generally result in a decrease in fair value. For mortgage revenue bonds classified as Level 3 of the valuation hierarchy, an increase in unobservable spreads would result in a decrease in fair value. Although we have disclosed unobservable inputs for the fair value of our recurring Level 3 securities above, interrelationships exist among these inputs such that a change in one unobservable input typically results in a change to one or more of the other inputs.
Mortgage Loans Held for Investment	Build-up: We derive the fair value of performing mortgage loans using a build-up valuation technique starting with the base value for our Fannie Mae MBS with similar characteristics and then add or subtract the fair value of the associated guaranty asset, guaranty obligation (“GO”) and master servicing arrangement. We set the GO equal to the estimated fair value we would receive if we were to issue our guaranty to an unrelated party in a stand-alone arm’s length transaction at the measurement date. The fair value of the GO is estimated based on our current guaranty pricing for loans underwritten after 2008 and our internal valuation models considering management’s best estimate of key loan characteristics for loans underwritten before 2008. Our performing loans are generally classified as Level 2 of the valuation hierarchy to the extent that significant inputs are observable. To the extent that unobservable inputs are significant, the loans are classified as Level 3 of the valuation hierarchy.	Level 2 and 3
	Consensus: Calculated through the extrapolation of indicative sample bids obtained from multiple active market participants plus the estimated value of any applicable mortgage insurance, the estimated fair value using the Consensus method represents an estimate of the prices we would receive if we were to sell these single-family nonperforming and certain reperforming loans in the whole loan market. The fair value of any mortgage insurance on a nonperforming or reperforming loan is estimated using product-specific pricing grids that have been derived from loan-level bids on whole loan transactions. These loans are generally classified as Level 3 of the valuation hierarchy because significant inputs are unobservable. To the extent that significant inputs are observable, the loans are classified as Level 2 of the valuation hierarchy. We estimate the fair value for a portion of our senior-subordinated trust structures using the prices at the security level as a proxy for estimating loan fair value. These loans are classified as Level 3 of the valuation hierarchy because significant inputs are unobservable.
	Single Vendor: We estimate the fair value of our reverse mortgages using the single vendor valuation technique. Internal Model: The internal model used to value collateral contains four sub-component models: 1) Location Model, 2) Neighborhood Model, 3) Automated Valuation Model (“AVM”) Imputation Model and 4) Final Valuation Model. These models consider characteristics of the property, neighborhood, local housing markets, underlying loan and home price growth to derive a final estimated value. These loans are classified as Level 3 of the valuation hierarchy because significant inputs are unobservable.


Instruments	Valuation Techniques	Classification
Mortgage Loans Held for Investment	Appraisal: We use appraisals to estimate the fair value for a portion of our multifamily loans based on either estimated replacement cost, the present value of future cash flows, or sales of similar properties. Significant unobservable inputs include estimated replacement or construction costs, property net operating income, capitalization rates, and adjustments made to sales of comparable properties based on characteristics such as financing, conditions of sale, and physical characteristics of the property. Broker Price Opinion: We use broker price opinions to estimate the fair value for a portion of our multifamily loans. This technique uses both current property value and the property value adjusted for stabilization and market conditions. The unobservable inputs used in this technique are property net operating income and market capitalization rates to estimate property value. Asset Manager Estimate: This technique uses the net operating income and tax assessments of the specific property as well as Metropolitan Statistical Area-specific market capitalization rates and average per unit sales values to estimate property fair value.	Level 2 and 3
	An increase in prepayment speeds in isolation would generally result in an increase in the fair value of our mortgage loans classified as Level 3 of the valuation hierarchy, and an increase in severity rates, default rates or spreads in isolation would generally result in a decrease in fair value. Although we have disclosed unobservable inputs for the fair value of the mortgage loans classified as Level 3 above, interrelationships exist among these inputs such that a change in one unobservable input typically results in a change to one or more of the other inputs.
Mortgage Loans Held for Sale	Loans are reported at the lower of cost or fair value in our consolidated balance sheets. The valuation methodology and inputs used in estimating the fair value of HFS loans are the same as our HFI loans and are described above in “Mortgage Loans Held for Investment.” To the extent that significant inputs are unobservable, the loans are classified within level 3 of the valuation hierarchy.	Level 2 and 3
Acquired Property, Net and Other Assets	Single-family acquired property valuation techniques Accepted Offer: An Offer to Purchase Real Estate that has been submitted by a potential purchaser of an acquired property and accepted by Fannie Mae in a pending sale. Appraisal: An appraisal is an estimate based on recent historical data of the value of a specific property by a certified or licensed appraiser. Adjustments are made for differences between comparable properties for unobservable inputs such as square footage, location, and condition of the property. Broker Price Opinion: This technique provides an estimate of what the property is worth based upon a real estate broker’s use of specific market research and a sales comparison approach that is similar to the appraisal process. This information, all of which is unobservable, is used along with recent and pending sales and current listings of similar properties to arrive at an estimate of value.	Level 3
	Property Inspection Report with Value: This technique provides an estimate of what the property is worth based upon a third party model that is adjusted for condition of the property and/or any other factors impacting the marketability. Appraisal and Broker Price Opinion, and Property Inspection Report with Value Walk Forward (“Walk Forward”): We use these techniques to adjust appraisal, broker price opinion, and property inspection valuations for changing market conditions by applying a walk forward factor based on local price movements since the time the third-party value was obtained. Internal Model: We use an internal model to estimate fair value for distressed properties. The valuation methodology and inputs used are described under “Mortgage Loans Held for Investment.”
	Multifamily acquired property valuation techniques Appraisal: We use this method to estimate property values for distressed properties. The valuation methodology and inputs used are described under “Mortgage Loans Held for Investment.” Broker Price Opinion: We use this method to estimate property values for distressed properties. The valuation methodology and inputs used are described under “Mortgage Loans Held for Investment.” Asset Manager Estimate: We use this method to estimate property values for distressed properties. The valuation methodology and inputs used are described under “Mortgage Loans Held for Investment.”


Instruments	Valuation Techniques	Classification
Asset and Liability Derivative Instruments (collectively “Derivatives”)	The valuation process for the majority of our risk management derivatives uses observable market data provided by third-party sources, resulting in Level 2 classification of the valuation hierarchy. Single Vendor: We use one vendor price to estimate fair value. We generally validate these observations of fair value through the use of a discounted cash flow technique. Clearing House: We use the clearing house-provided value for interest-rate derivatives which are transacted through a clearing house. Internal Model: We use internal models to value interest-rate derivatives which are valued by referencing yield curves derived from observable interest rates and spreads to project and discount cash flows to present value. Discounted Cash Flow: We use discounted cash flow to estimate fair value for credit enhancement derivatives related to CRT. Dealer Mark: Certain highly complex structured swaps primarily use a single dealer mark due to lack of transparency in the market and may be modeled using observable interest rates and volatility levels as well as significant unobservable assumptions, resulting in Level 3 classification of the valuation hierarchy. Mortgage commitment derivatives that use observable market data, quotes and actual transaction price levels adjusted for market movement are typically classified as Level 2 of the valuation hierarchy. To the extent mortgage commitment derivatives include adjustments for market movement that cannot be corroborated by observable market data, we classify them as Level 3 of the valuation hierarchy.	Level 2 and 3
Debt of Fannie Mae and Consolidated Trusts	We classify debt instruments that have quoted market prices in active markets for similar liabilities when traded as assets as Level 2 of the valuation hierarchy. For all valuation techniques used for debt instruments where there is limited activity or less transparency around these inputs to the valuation, these debt instruments are classified as Level 3 of the valuation hierarchy. Consensus: Uses an average of two or more vendor prices or dealer marks that represents estimated fair value for similar liabilities when traded as assets. Single Vendor: Uses a single vendor price that represents estimated fair value for these liabilities when traded as assets. Discounted Cash Flow: Uses spreads based on market assumptions where available. Other: Default pricing to par or par equivalent. The valuation methodology and inputs used in estimating the fair value of MBS assets are described under “Trading Securities and Available-for-Sale Securities.”	Level 2 and 3

The following is a description of the valuation techniques we use for fair value measurement of our financial instruments

as well as our basis for classifying these measurements as Level 1, Level 2 or Level 3 of the valuation hierarchy in

certain specific situations.


Instruments	Description	Classification
Financial Instruments for which Fair Value Approximates Carrying Value	We hold certain financial instruments that are not carried at fair value but for which the carrying value approximates fair value due to the short-term nature and negligible credit risk inherent in them. These financial instruments include cash and cash equivalents, the majority of advances to lenders, and securities sold/purchased under agreements to repurchase/resell.	Level 1 and 2
Securities Sold/ Purchased Under Agreements to Repurchase/Resell	The carrying value for the majority of these specific instruments approximates the fair value due to the short-term nature and the negligible inherent credit risk, as they involve the exchange of collateral that is easily traded. Were we to calculate the fair value of these instruments, we would use observable inputs.	Level 2
Mortgage Loans Held for Sale	Loans are reported at the lower of cost or fair value in our consolidated balance sheets. The valuation methodology and inputs used in estimating the fair value of HFS loans are the same as for our HFI loans and are described under “Fair Value Measurement—Mortgage Loans Held for Investment” in the valuation techniques for assets and liabilities held at fair value table. To the extent that significant inputs are unobservable, the loans are classified within Level 3 of the valuation hierarchy.	Level 2 and 3
Mortgage Loans Held for Investment	For a description of loan valuation techniques, refer to “Fair Value Measurement—Mortgage Loans Held for Investment” in the valuation techniques for assets and liabilities held at fair value table. We measure the fair value of certain loans that are delivered under the Home Affordable Refinance Program® (“HARP®”) using a modified build-up approach while the loan is performing. Under this modified approach, we set the credit component of the consolidated loans (that is, the guaranty obligation) equal to the compensation we would currently receive for a loan delivered to us under the program because the total compensation for these loans is equal to their current exit price in the government-sponsored enterprise securitization market. If, subsequent to delivery, the refinanced loan becomes past due or is modified, the fair value of the guaranty obligation is then measured consistent with other loans that have similar characteristics.	Level 2 and 3
Advances to Lenders	The carrying value for the majority of our advances to lenders approximates the fair value due to the short-term nature and the negligible inherent credit risk. If we were to calculate the fair value of these instruments, we would use discounted cash flow models that use observable inputs such as spreads based on market assumptions, resulting in Level 2 classification. Advances to lenders also include loans that do not qualify for Fannie Mae MBS securitization and are valued using a discounted cash flow technique that uses estimated credit spreads of similar collateral and prepayment speeds that consider recent prepayment activity. We classify these valuations as Level 3 given that significant inputs are not observable or are determined by extrapolation of observable inputs.	Level 2 and 3
Guaranty Assets and Buy-ups	Guaranty assets related to our portfolio securitizations are recorded in our consolidated balance sheets at fair value on a recurring basis and are classified as Level 3. Guaranty assets in lender swap transactions are recorded in our consolidated balance sheets at the lower of cost or fair value. These assets, which are measured at fair value on a nonrecurring basis, are also classified as Level 3. We estimate the fair value of guaranty assets by using proprietary models to project cash flows based on management’s best estimate of key assumptions such as prepayment speeds and forward yield curves. Because guaranty assets are similar to an interest-only income stream, the projected cash flows are discounted at rates that consider the current spreads on interest-only swaps that reference Fannie Mae MBS and also liquidity considerations of the guaranty assets. The fair value of guaranty assets includes the fair value of any associated buy-ups.	Level 3
Guaranty Obligations	The fair value of all guaranty obligations, measured subsequent to their initial recognition, is our estimate of a hypothetical transaction price we would receive if we were to issue our guaranty to an unrelated party in a standalone arm’s-length transaction at the measurement date. The valuation methodology and inputs used in estimating the fair value of the guaranty obligations are described under “Fair Value Measurement—Mortgage loans held for investment—build-up” in the valuation techniques for assets and liabilities held at fair value.	Level 3

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 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 December 31, 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	$68,706	$33,981	$34,725	$—	$—	$68,706
Securities purchased under agreements to resell	30,700	—	30,700	—	—	30,700
Trading securities	52,552	47,764	4,762	26	—	52,552
Available-for-sale securities	564	—	50	514	—	564
Mortgage loans held for sale	2,149	—	93	2,196	—	2,289
Mortgage loans held for investment, net of allowance for loan losses	4,133,482	—	3,571,555	130,022	—	3,701,577
Advances to lenders	1,389	—	1,389	—	—	1,389
Derivative assets at fair value	202	—	395	90	(283)	202
Guaranty assets and buy-ups	73	—	—	155	—	155
Total financial assets	$4,289,817	$81,745	$3,643,669	$133,003	$(283)	$3,858,134

Financial liabilities:
Short-term debt:
Of Fannie Mae	$17,314	$—	$17,317	$—	$—	$17,317
Long-term debt:
Of Fannie Mae	106,751	—	106,701	605	—	107,306
Of consolidated trusts	4,098,653	—	3,633,157	293	—	3,633,450
Derivative liabilities at fair value	140	—	3,327	13	(3,200)	140
Guaranty obligations	79	—	—	65	—	65
Total financial liabilities	$4,222,937	$—	$3,760,502	$976	$(3,200)	$3,758,278


	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

made fair value elections.


	As of December 31,
	2023			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	$3,315	$761	$14,343	$3,645	$1,161	$16,260
Unpaid principal balance	3,442	731	14,383	3,835	1,145	16,311

(1)Includes nonaccrual loans with a fair value of $32 million and $40 million as of December 31, 2023 and 2022, respectively. Includes loans

that are 90 days or more past due with a fair value of $31 million and $48 million as of December 31, 2023 and 2022, respectively.