Fair Value

3 Months Ended

Mar. 31, 2024

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 fair value 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 16, Fair Value” in our 2023 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 three months ended March 31, 2024.

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 March 31, 2024
	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:
Trading securities:
Mortgage-related		$	—		$	1,686		$	28		$	—		$	1,714
Non-mortgage-related(2)		47,626			21			—			—			47,647
Total trading securities		47,626			1,707			28			—			49,361
Available-for-sale securities:
Agency(3)		—			44			323			—			367
Other mortgage-related		—			4			164			—			168
Total available-for-sale securities		—			48			487			—			535
Mortgage loans		—			2,706			470			—			3,176
Derivative assets		—			353			82			(333)			102
Total assets at fair value		$	47,626		$	4,814		$	1,067		$	(333)		$	53,174
Liabilities:
Long-term debt:
Of Fannie Mae		$	—		$	381		$	273		$	—		$	654
Of consolidated trusts		—			13,648			114			—			13,762
Total long-term debt		—			14,029			387			—			14,416
Derivative liabilities		—			3,331			13			(3,266)			78
Total liabilities at fair value		$	—		$	17,360		$	400		$	(3,266)		$	14,494

	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
		(Dollars in millions)
Recurring fair value measurements:
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

(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.

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 March 31, 2024
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2024(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2024(1)
	Balance, December 31, 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, March 31, 2024
	(Dollars in millions)
Trading securities:
Mortgage-related	$	26	$	(1)	(5)(6)	$	—	$	—	$	—	$	—	$	—	$	—	$	3	$	28	$	(1)	$	—
Available-for-sale securities:
Agency	$	331	$	—		$	1	$	—	$	—	$	—	$	(9)	$	—	$	—	$	323	$	—	$	—
Other mortgage-related	183		1			8		—		—		—		(28)		—		—		164		—		7
Total available-for-sale securities	$	514	$	1	(6)(7)	$	9	$	—	$	—	$	—	$	(37)	$	—	$	—	$	487	$	—	$	7
Mortgage loans	$	477	$	1	(5)(6)	$	—	$	—	$	(4)	$	—	$	(17)	$	(9)	$	22	$	470	$	1	$	—
Net derivatives	77		(12)		(5)	—		—		—		—		4		—		—		69		(8)		—
Long-term debt:
Of Fannie Mae	$	(268)	$	(5)	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(273)	$	(5)	$	—
Of consolidated trusts	(117)		(1)		(5)(6)	—		—		—		—		4		—		—		(114)		(1)		—
Total long-term debt	$	(385)	$	(6)		$	—	$	—	$	—	$	—	$	4	$	—	$	—	$	(387)	$	(6)	$	—

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Three Months Ended March 31, 2023
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2023(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of March 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, March 31, 2023
	(Dollars in millions)
Trading securities:
Mortgage-related	$	47	$	(6)	(5)(6)	$	—	$	—	$	—	$	—	$	—	$	(9)	$	—	$	32	$	(4)	$	—
Available-for-sale securities:
Agency	$	371	$	—		$	(1)	$	—	$	—	$	—	$	(8)	$	—	$	—	$	362	$	—	$	(1)
Other mortgage-related	263		2			4		—		—		—		(10)		—		1		260		—		3
Total available-for-sale securities	$	634	$	2	(6)(7)	$	3	$	—	$	—	$	—	$	(18)	$	—	$	1	$	622	$	—	$	2
Mortgage loans	$	543	$	7	(5)(6)	$	—	$	—	$	—	$	—	$	(25)	$	(9)	$	10	$	526	$	6	$	—
Net derivatives	(37)		(6)		(5)	—		—		—		—		5		—		—		(38)		(1)		—
Long-term debt:
Of Fannie Mae	$	(242)	$	(8)	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(250)	$	(8)	$	—
Of consolidated trusts	(136)		(2)		(5)(6)	—		—		—		—		5		—		—		(133)		(2)		—
Total long-term debt	$	(378)	$	(10)		$	—	$	—	$	—	$	—	$	5	$	—	$	—	$	(383)	$	(10)	$	—

(1)Gains (losses) are included in “Other comprehensive income” 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 March 31, 2024
	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)	$	28	Various
Available-for-sale securities:
Agency(3)	323		Consensus
Other mortgage-related	70		Discounted Cash Flow	Spreads (bps)	472.0	-	502.0	486.9
	1		Single Vendor
	93		Various
Total other mortgage-related	164
Total available-for-sale securities	$	487
Net derivatives	$	41	Dealer Mark
	28		Discounted Cash Flow
Total net derivatives	$	69

	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	74		Discounted Cash Flow	Spreads (bps)	530.0	-	560.0	544.8
	9		Single Vendor
	100		Various
Total other mortgage-related	183
Total available-for-sale securities	$	514
Net derivatives	$	45	Dealer Mark
	32		Discounted Cash Flow
Total net derivatives	$	77

(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 March 31, 2024 or December 31, 2023. We held $66 million and $42 million in Level 2 assets as of March 31, 2024 and December 31, 2023, 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 March 31, 2024 or December 31, 2023.

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	March 31, 2024		December 31, 2023
		(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans:(1)
Mortgage loans held for sale, at lower of cost or fair value	Consensus	$	304	$	1,994
Single-family mortgage loans held for investment, at amortized cost	Internal Model	281		407
Multifamily mortgage loans held for investment, at amortized cost	Appraisal	168		33
	Broker Price Opinion	440		769
	Internal Model	193		218
Total multifamily mortgage loans held for investment, at amortized cost		801		1,020
Acquired property, net:
Single-family	Accepted Offer	28		23
	Appraisal	53		43
	Internal Model	145		230
	Walk Forward	65		75
	Various	16		19
Total single-family		307		390
Multifamily	Various	3		182
Total nonrecurring assets at fair value		$	1,696	$	3,993

(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 March 31, 2024
	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	$	33,254	$	33,254	$	—	$	—	$	—	$	33,254
Securities purchased under agreements to resell	73,725		—		73,725		—		—		73,725
Trading securities	49,361		47,626		1,707		28		—		49,361
Available-for-sale securities	535		—		48		487		—		535
Mortgage loans held for sale	1,910		—		277		1,793		—		2,070
Mortgage loans held for investment, net of allowance for loan losses	4,127,208		—		3,494,262		130,364		—		3,624,626
Advances to lenders	2,052		—		2,052		—		—		2,052
Derivative assets at fair value	102		—		353		82		(333)		102
Guaranty assets and buy-ups	70		—		—		153		—		153
Total financial assets	$	4,288,217	$	80,880	$	3,572,424	$	132,907	$	(333)	$	3,785,878
Financial liabilities:
Short-term debt:
Of Fannie Mae	$	14,285	$	—	$	14,283	$	—	$	—	$	14,283
Long-term debt:
Of Fannie Mae	104,116		—		104,063		600		—		104,663
Of consolidated trusts	4,098,173		—		3,568,654		285		—		3,568,939
Derivative liabilities at fair value	78		—		3,331		13		(3,266)		78
Guaranty obligations	76		—		—		61		—		61
Total financial liabilities	$	4,216,728	$	—	$	3,690,331	$	959	$	(3,266)	$	3,688,024

	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

For a detailed description and classification of our financial instruments, see “Note 16, Fair Value” in our 2023 Form 10-K.

Fair Value Option

We generally elect the fair value option on a financial instrument when the accounting guidance would otherwise require us to separately account for a derivative that is embedded in an instrument at fair value. Under the fair value option, we carry this type of instrument, in its entirety, at fair value instead of separately accounting for the derivative.

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
	March 31, 2024									December 31, 2023
	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		$	3,176		$	654		$	13,762		$	3,315		$	761		$	14,343
Unpaid principal balance		3,358			621			13,977			3,442			731			14,383

(1)Includes nonaccrual loans with a fair value of $31 million and $32 million as of March 31, 2024 and December 31, 2023, respectively. Includes loans that are 90 days or more past due with a fair value of $28 million and $31 million as of March 31, 2024 and December 31, 2023, respectively.

Changes in Fair Value under the Fair Value Option Election

We recorded losses of $45 million for the three months ended March 31, 2024 and gains of $71 million for the three months ended March 31, 2023 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 $111 million for the three months ended March 31, 2024 and losses of $269 million for the three months ended March 31, 2023 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.