Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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 June 30, 2024						As of December 31, 2023
	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	$	14,310	$	—	$	—		$	9,954		$	—	$	—
Receive-fixed	18,930		—		—			28,587			—		—

Total risk management derivatives designated as hedging instruments	33,240		—		—			38,541			—		—
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed	127,685		—		—			136,648			—		—
Receive-fixed	118,023		60		(2,858)			115,288			76		(3,085)
Basis	250		43		—			250			44		—
Foreign currency	314		—		(77)			316			—		(66)
Swaptions:(1)
Pay-fixed	7,006		248		(22)			5,816			195		(12)
Receive-fixed	5,116		25		(70)			2,666			13		(60)
Futures(1)	140		—		—			32			—		—
Total risk management derivatives not designated as hedging instruments	258,534		376		(3,027)			261,016			328		(3,223)


Netting adjustment(2)	—		(290)		3,026			—			(283)		3,200
Total risk management derivatives portfolio	291,774		86		(1)			299,557			45		(23)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	4,633		4		(7)			2,734			14		—
Forward contracts to purchase mortgage-related securities	25,675		23		(39)			14,264			98		(2)
Forward contracts to sell mortgage-related securities	59,767		39		(19)			43,942			—		(102)
Total mortgage commitment derivatives	90,075		66		(65)			60,940			112		(104)
Credit enhancement derivatives	28,755		67		(15)			27,624			45		(13)
Derivatives at fair value	$	410,604	$	219	$	(81)		$	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 $2.7 billion and $2.9 billion as of June 30, 2024 and December 31, 2023, respectively. Cash collateral received was $3 million and $5 million as of June 30, 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 June 30,				For the Six Months Ended June 30,
	2024		2023		2024		2023
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	237	$	1,858	$	1,599	$	268
Receive-fixed	209		(1,010)		(487)		562
Basis	(4)		15		(3)		28
Foreign currency	(3)		2		(11)		10
Swaptions:
Pay-fixed	21		12		44		(21)
Receive-fixed	7		(2)		3		(3)
Futures	1		1		2		1
Net contractual interest income (expense) on interest-rate swaps	(251)		(128)		(450)		(306)
Total risk management derivatives fair value gains (losses), net	217		748		697		539
Mortgage commitment derivatives fair value gains (losses), net	94		198		301		84
Credit enhancement derivatives fair value gains (losses), net	1		29		(14)		14
Total derivatives fair value gains (losses), net	$	312	$	975	$	984	$	637

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 June 30,								For the Six Months Ended June 30,
	2024				2023				2024				2023
	Interest Income: Mortgage Loans		Interest Expense: Long-Term Debt		Interest Income: Mortgage Loans		Interest Expense: Long-Term Debt		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	$	35,617	$	(29,877)	$	32,655	$	(27,122)	$	70,833	$	(59,457)	$	64,792	$	(53,787)

Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items	$	(28)	$	—	$	(144)	$	—	$	(362)	$	—	$	33	$	—
Discontinued hedge related basis adjustment amortization	18		—		9		—		26		—		20		—


Derivatives designated as hedging instruments	6		—		132		—		315		—		(82)		—
Interest accruals on hedging instruments	76		—		27		—		142		—		53		—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items	—		129		—		669		—		557		—		430
Discontinued hedge-related basis adjustment amortization	—		(222)		—		(199)		—		(428)		—		(395)
Derivatives designated as hedging instruments	—		(78)		—		(503)		—		(433)		—		(71)
Interest accruals on derivative hedging instruments	—		(113)		—		(293)		—		(280)		—		(522)
Total effect of fair value hedges	$	72	$	(284)	$	24	$	(326)	$	121	$	(584)	$	24	$	(558)

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 June 30, 2024 and December 31, 2023.


	As of June 30, 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	$	854,132	$	(510)	$	(510)	$	497,361	$	13,602

Debt of Fannie Mae	(56,889)		3,880		3,880		N/A		N/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/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.

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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