Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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 September 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	$	18,107	$	—	$	—	$	9,954	$	—	$	—
Receive-fixed	24,224		—		—		28,587		—		—
Total risk management derivatives designated as hedging instruments	42,331		—		—		38,541		—		—
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed	141,966		—		—		136,648		—		—
Receive-fixed	119,680		77		(2,041)		115,288		76		(3,085)
Basis	250		54		—		250		44		—
Foreign currency	332		—		(55)		316		—		(66)
Swaptions:(1)
Pay-fixed	7,006		209		(11)		5,816		195		(12)
Receive-fixed	5,916		27		(69)		2,666		13		(60)
Futures(1)	87		—		—		32		—		—
Total risk management derivatives not designated as hedging instruments	275,237		367		(2,176)		261,016		328		(3,223)
Netting adjustment(2)	—		(233)		2,154		—		(283)		3,200
Total risk management derivatives portfolio	317,568		134		(22)		299,557		45		(23)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	3,587		5		(6)		2,734		14		—
Forward contracts to purchase mortgage-related securities	32,495		39		(57)		14,264		98		(2)
Forward contracts to sell mortgage-related securities	73,292		65		(36)		43,942		—		(102)
Total mortgage commitment derivatives	109,374		109		(99)		60,940		112		(104)
Credit enhancement derivatives	29,660		37		(11)		27,624		45		(13)
Derivatives at fair value	$	456,602	$	280	$	(132)	$	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 $1.9 billion and $2.9 billion as of September 30, 2024 and December 31, 2023, respectively. Cash collateral received was $2 million and $5 million as of September 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 September 30,				For the Nine Months Ended September 30,
	2024		2023		2024		2023
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	(2,225)	$	1,349	$	(626)	$	1,617
Receive-fixed	2,225		(1,040)		1,738		(478)
Basis	17		(22)		14		6
Foreign currency	19		(12)		8		(2)
Swaptions:
Pay-fixed	(29)		95		15		74
Receive-fixed	3		(13)		6		(16)
Futures	(2)		1		—		2
Net contractual interest income (expense) on interest-rate swaps	(263)		(193)		(713)		(499)
Total risk management derivatives fair value gains (losses), net	(255)		165		442		704
Mortgage commitment derivatives fair value gains (losses), net	(567)		591		(266)		675
Credit enhancement derivatives fair value gains (losses), net	(38)		47		(52)		61
Total derivatives fair value gains (losses), net	$	(860)	$	803	$	124	$	1,440

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 September 30,								For the Nine Months Ended September 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	$	36,390	$	(30,600)	$	33,711	$	(27,994)	$	107,223	$	(90,057)	$	98,503	$	(81,781)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items	$	730	$	—	$	(544)	$	—	$	368	$	—	$	(511)	$	—
Discontinued hedge related basis adjustment amortization	3		—		14		—		29		—		34		—
Derivatives designated as hedging instruments	(725)		—		560		—		(410)		—		478		—
Interest accruals on hedging instruments	84		—		36		—		226		—		89		—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items	—		(506)		—		176		—		51		—		606
Discontinued hedge-related basis adjustment amortization	—		(213)		—		(223)		—		(641)		—		(618)
Derivatives designated as hedging instruments	—		519		—		(66)		—		86		—		(137)
Interest accruals on derivative hedging instruments	—		(93)		—		(191)		—		(373)		—		(713)
Total effect of fair value hedges	$	92	$	(293)	$	66	$	(304)	$	213	$	(877)	$	90	$	(862)

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 September 30, 2024 and December 31, 2023.

	As of September 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	$	856,849	$	223	$	223	$	440,276	$	18,435
Debt of Fannie Mae	(50,473)		3,161		3,161		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.