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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional and Fair Value Position
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 March 31, 2024As of December 31, 2023
Notional AmountEstimated Fair ValueNotional AmountEstimated Fair Value
Asset DerivativesLiability DerivativesAsset DerivativesLiability Derivatives
(Dollars in millions)
Risk management derivatives designated as hedging instruments:
Swaps:(1)
Pay-fixed$9,836 $— $— $9,954 $— $— 
Receive-fixed24,752 — — 28,587 — — 
Total risk management derivatives designated as hedging instruments
34,588 — — 38,541 — — 
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed148,866 — — 136,648 — — 
Receive-fixed132,426 69 (3,120)115,288 76 (3,085)
Basis250 41 — 250 44 — 
Foreign currency313 — (72)316 — (66)
Swaptions:(1)
Pay-fixed5,816 223 (18)5,816 195 (12)
Receive-fixed2,666 18 (70)2,666 13 (60)
Futures(1)
84 — — 32 — — 
Total risk management derivatives not designated as hedging instruments290,421 351 (3,280)261,016 328 (3,223)
Netting adjustment(2)
— (333)3,266 — (283)3,200 
Total risk management derivatives portfolio
325,009 18 (14)299,557 45 (23)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans
3,305 6 (1)2,734 14 — 
Forward contracts to purchase mortgage-related securities
17,361 31 (11)14,264 98 (2)
Forward contracts to sell mortgage-related securities
40,431 6 (39)43,942 — (102)
Total mortgage commitment derivatives
61,097 43 (51)60,940 112 (104)
Credit enhancement derivatives28,686 41 (13)27,624 45 (13)
Derivatives at fair value$414,792 $102 $(78)$388,121 $202 $(140)
(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 as of March 31, 2024 and December 31, 2023. Cash collateral received was $4 million and $5 million as of March 31, 2024 and December 31, 2023, 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 March 31,
20242023
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed$1,362 $(1,590)
Receive-fixed(696)1,572 
Basis1 13 
Foreign currency(8)8 
Swaptions:
Pay-fixed23 (33)
Receive-fixed(4)(1)
Futures1 — 
Net contractual interest expense on interest-rate swaps(199)(178)
Total risk management derivatives fair value gains (losses), net480 (209)
Mortgage commitment derivatives fair value gains (losses), net207 (114)
Credit enhancement derivatives fair value losses, net(15)(15)
Total derivatives fair value gains (losses), net$672 $(338)
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 March 31,
2024
2023
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
$35,216 $(29,580)$32,137 $(26,665)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items
$(334)$— $177 $— 
Discontinued hedge related basis adjustment amortization
8 — 11 — 
Derivatives designated as hedging instruments
309 — (214)— 
Interest accruals on hedging instruments
66 — 26 — 
Debt of Fannie Mae and related interest-rate contracts:
Hedged items
— 428 — (239)
Discontinued hedge-related basis adjustment amortization
— (206)— (196)
Derivatives designated as hedging instruments
— (355)— 432 
Interest accruals on derivative hedging instruments
— (167)— (229)
Total effect of fair value hedges
$49 $(300)$— $(232)
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 March 31, 2024 and December 31, 2023.
As of March 31, 2024
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
$687,058 $(500)$(500)$454,310 $9,482 
Debt of Fannie Mae(56,930)3,973 3,973  N/AN/A
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/AN/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.