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Fair Value
 6 Months Ended
Jun. 30, 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 six months ended June 30, 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 June 30, 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$— $1,295 $32 $— $1,327 
Non-mortgage-related(2)
48,045 20 — — 48,065 
Total trading securities48,045 1,315 32 — 49,392 
Available-for-sale securities:
Agency(3)
— 41 315 — 356 
Other mortgage-related— 5 146 — 151 
Total available-for-sale securities— 46 461 — 507 
Mortgage loans— 2,769 425 — 3,194 
Derivative assets— 400 109 (290)219 
Total assets at fair value$48,045 $4,530 $1,027 $(290)$53,312 
Liabilities:
Long-term debt:
Of Fannie Mae$— $274 $270 $— $544 
Of consolidated trusts— 13,129 110 — 13,239 
Total long-term debt— 13,403 380 — 13,783 
Derivative liabilities— 3,092 15 (3,026)81 
Total liabilities at fair value$— $16,495 $395 $(3,026)$13,864 
Fair Value Measurements as of December 31, 2023
Quoted Prices in Active Markets for Identical Assets (Level 1)
Significant Other Observable Inputs
(Level 2)
Significant Unobservable Inputs
(Level 3)
Netting Adjustment(1)
Estimated Fair Value
(Dollars in millions)
Recurring fair value measurements:
Assets:
Trading securities:
Mortgage-related$— $4,744 $26 $— $4,770 
Non-mortgage-related(2)
47,764 18 — — 47,782 
Total trading securities47,764 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 June 30, 2024
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2024(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2024(1)
Balance, March 31, 2024Included in Net Income
Included in Total OCI (Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, June 30, 2024
(Dollars in millions)
Trading securities:
Mortgage-related$28 $— 
(5)(6)
$— $— $— $— $— $(3)$7 $32 $— $— 
Available-for-sale securities:
Agency
$323 $— $(1)$— $— $— $(7)$— $— $315 $— $— 
Other mortgage-related164 1 (7)— — — (11)(1)— 146 — (6)
Total available-for-sale securities
$487 $1 
(6)(7)
$(8)$— $— $— $(18)$(1)$— $461 $— $(6)
Mortgage loans
$470 $(4)
(5)(6)
$— $— $(2)$— $(16)$(30)$7 $425 $(1)$— 
Net derivatives69 — 
(5)
— — — — 25 — — 94 24 — 
Long-term debt:
Of Fannie Mae
$(273)$3 
(5)
$— $— $— $— $— $— $— $(270)$3 $— 
Of consolidated trusts
(114)— 
(5)(6)
— — — — 3 1 — (110)— — 
Total long-term debt
$(387)$3 $— $— $— $— $3 $1 $— $(380)$3 $— 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Six Months Ended June 30, 2024
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2024(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 30, 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 3Transfers into
Level 3
Balance, June 30, 2024
(Dollars in millions)
Trading securities:
Mortgage-related$26 $(1)
(5)(6)
$— $— $— $— $— $(3)$10 $32 $(1)$— 
Available-for-sale securities:
Agency
$331 $— $— $— $— $— $(16)$— $— $315 $— $— 
Other mortgage-related183 2 1 — — — (39)(1)— 146 — — 
Total available-for-sale securities
$514 $2 
(6)(7)
$1 $— $— $— $(55)$(1)$— $461 $— $— 
Mortgage loans
$477 $(3)
(5)(6)
$— $— $(6)$— $(33)$(39)$29 $425 $(1)$— 
Net derivatives77 (12)
(5)
— — — — 29 — — 94 17 — 
Long-term debt:
Of Fannie Mae
$(268)$(2)
(5)
$— $— $— $— $— $— $— $(270)$(2)$— 
Of consolidated trusts
(117)(1)
(5)(6)
— — — — 7 1 — (110)(1)— 
Total long-term debt
$(385)$(3)$— $— $— $— $7 $1 $— $(380)$(3)$— 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Three Months Ended June 30, 2023
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2023(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 30, 2023(1)
Balance, March 31, 2023Included in Net Income
Included in Total OCI (Loss)(1)
Purchases(2)
Sales(2)
Issues(3)
Settlements(3)
Transfers out of Level 3Transfers into
Level 3
Balance, June 30, 2023
(Dollars in millions)
Trading securities:
Mortgage-related$32 $(2)
(5)(6)
$— $— $— $— $— $(2)$— $28 $(1)$— 
Available-for-sale securities:
Agency
$362 $1 $2 $— $— $— $(9)$— $— $356 $— $2 
Other mortgage-related260 3 1 — — — (28)(1)— 235 — 1 
Total available-for-sale securities
$622 $4 
(6)(7)
$3 $— $— $— $(37)$(1)$— $591 $— $3 
Mortgage loans
$526 $(4)
(5)(6)
$— $— $— $— $(20)$(6)$14 $510 $(5)$— 
Net derivatives(38)38 
(5)
— — — — 12 — — 12 51 — 
Long-term debt:
Of Fannie Mae
$(250)$(6)
(5)
$— $— $— $— $— $— $— $(256)$(6)$— 
Of consolidated trusts
(133)2 
(5)(6)
— — — — 6 — — (125)2 — 
Total long-term debt
$(383)$(4)$— $— $— $— $6 $— $— $(381)$(4)$— 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
For the Six Months Ended June 30, 2023
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2023(4)(5)
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of June 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 3Transfers into
Level 3
Balance, June 30, 2023
(Dollars in millions)
Trading securities:
Mortgage-related$47 $(8)
(5)(6)
$— $— $— $— $— $(11)$— $28 $(5)$— 
Available-for-sale securities:
Agency
$371 $1 $1 $— $— $— $(17)$— $— $356 $— $1 
Other mortgage-related263 5 5 — — — (38)(1)1 235 — 3 
Total available-for-sale securities
$634 $6 
(6)(7)
$6 $— $— $— $(55)$(1)$1 $591 $— $4 
Mortgage loans
$543 $3 
(5)(6)
$— $— $— $— $(45)$(15)$24 $510 $1 $— 
Net derivatives(37)32 
(5)
— — — — 17 — — 12 49 — 
Long-term debt:
Of Fannie Mae
$(242)$(14)
(5)
$— $— $— $— $— $— $— $(256)$(14)$— 
Of consolidated trusts
(136)— 
(5)(6)
— — — — 11 — — (125)— — 
Total long-term debt
$(378)$(14)$— $— $— $— $11 $— $— $(381)$(14)$— 
(1)Gains (losses) are included in “Other comprehensive income (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 (losses), 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 June 30, 2024
Fair ValueSignificant Valuation Techniques
Significant Unobservable
Inputs(1)
Range(1)
Weighted - Average(1)(2)
(Dollars in millions)
Recurring fair value measurements:
Trading securities:
Mortgage-related(3)
$32 Various
Available-for-sale securities:
Agency(3)
315 Consensus
Other mortgage-related52 Discounted Cash FlowSpreads (bps)478.0 -508.0492.5
2 Single Vendor
92 Various
Total other mortgage-related
146 
Total available-for-sale securities$461 
Net derivatives$43 Dealer Mark
51 Discounted Cash Flow
Total net derivatives$94 
Fair Value Measurements as of December 31, 2023
Fair ValueSignificant 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-related74 Discounted Cash FlowSpreads (bps)530.0 -560.0544.8
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 June 30, 2024 or December 31, 2023. We held $35 million and $42 million in Level 2 assets as of June 30, 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 June 30, 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 TechniquesJune 30, 2024December 31, 2023
(Dollars in millions)
Nonrecurring fair value measurements:
Mortgage loans:(1)
Mortgage loans held for sale, at lower of cost or fair valueConsensus$208 $1,994 
Single-family mortgage loans held for investment, at amortized cost
Internal Model330 407 
Multifamily mortgage loans held for investment, at amortized cost
Appraisal187 33 
Broker Price Opinion488 769 
Internal Model207 218 
Total multifamily mortgage loans held for investment, at amortized cost
882 1,020 
Acquired property, net:
Single-familyAccepted Offer28 23 
Appraisal53 43 
Internal Model249 230 
Walk Forward71 75 
Various5 19 
Total single-family406 390 
MultifamilyVarious22 182 
Total nonrecurring assets at fair value$1,848 $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 June 30, 2024
Carrying ValueQuoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs
(Level 3) 		Netting AdjustmentEstimated Fair Value
(Dollars in millions)
Financial assets:
Cash and cash equivalents, including restricted cash and cash equivalents
$78,313 $35,763 $42,550 $— $— $78,313 
Securities purchased under agreements to resell27,650 — 27,650 — — 27,650 
Trading securities49,392 48,045 1,315 32 — 49,392 
Available-for-sale securities507 — 46 461 — 507 
Mortgage loans held for sale646 — 79 618 — 697 
Mortgage loans held for investment, net of allowance for loan losses
4,128,568 — 3,493,410 127,303 — 3,620,713 
Advances to lenders1,856 — 1,856 — — 1,856 
Derivative assets at fair value219 — 400 109 (290)219 
Guaranty assets and buy-ups69 — — 151 — 151 
Total financial assets$4,287,220 $83,808 $3,567,306 $128,674 $(290)$3,779,498 
Financial liabilities:
Short-term debt:
Of Fannie Mae$12,008 $— $12,007 $— $— $12,007 
Long-term debt:
Of Fannie Mae106,535 — 106,618 631 — 107,249 
Of consolidated trusts4,094,421 — 3,553,827 279 — 3,554,106 
Derivative liabilities at fair value81 — 3,092 15 (3,026)81 
Guaranty obligations75 — — 59 — 59 
Total financial liabilities$4,213,120 $— $3,675,544 $984 $(3,026)$3,673,502 
As of December 31, 2023
Carrying ValueQuoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs
(Level 3)		Netting AdjustmentEstimated 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 resell30,700 — 30,700 — — 30,700 
Trading securities52,552 47,764 4,762 26 — 52,552 
Available-for-sale securities564 — 50 514 — 564 
Mortgage loans held for sale2,149 — 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 lenders1,389 — 1,389 — — 1,389 
Derivative assets at fair value202 — 395 90 (283)202 
Guaranty assets and buy-ups73 — — 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 Mae106,751 — 106,701 605 — 107,306 
Of consolidated trusts4,098,653 — 3,633,157 293 — 3,633,450 
Derivative liabilities at fair value140 — 3,327 13 (3,200)140 
Guaranty obligations79 — — 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
June 30, 2024December 31, 2023
Loans(1)
Long-Term Debt of Fannie MaeLong-Term Debt of Consolidated Trusts
Loans(1)
Long-Term Debt of Fannie MaeLong-Term Debt of Consolidated Trusts
(Dollars in millions)
Fair value$3,194 $544 $13,239 $3,315 $761 $14,343 
Unpaid principal balance3,402 517 13,528 3,442 731 14,383 
(1)Includes nonaccrual loans with a fair value of $28 million and $32 million as of June 30, 2024 and December 31, 2023, respectively. Includes loans that are 90 days or more past due with a fair value of $24 million and $31 million as of June 30, 2024 and December 31, 2023, respectively.
Changes in Fair Value under the Fair Value Option Election
We recorded losses of $2 million and $47 million for the three and six months ended June 30, 2024, respectively, and losses of $49 million and $22 million for the three and six months ended June 30, 2023, respectively, from changes in the fair value of loans recorded at fair value in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.
We recorded gains of $17 million and $128 million for the three and six months ended June 30, 2024, respectively, and gains of $219 million and losses of $50 million for the three and six months ended June 30, 2023, respectively, from changes in the fair value of long-term debt recorded at fair value in “Fair value gains (losses), net” in our condensed consolidated statements of operations and comprehensive income.