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Fair Value (Tables)

9 Months Ended

Sep. 30, 2024

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 September 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		$	—		$	1,163		$	35		$	—		$	1,198



Non-mortgage-related(2)		60,080			20			—			—			60,100
Total trading securities		60,080			1,183			35			—			61,298
Available-for-sale securities:



Agency(3)		—			39			313			—			352



Other mortgage-related		—			5			135			—			140
Total available-for-sale securities		—			44			448			—			492
Mortgage loans		—			2,825			430			—			3,255
Derivative assets		—			422			91			(233)			280








Total assets at fair value		$	60,080		$	4,474		$	1,004		$	(233)		$	65,325

Liabilities:
Long-term debt:


Of Fannie Mae		$	—		$	167		$	284		$	—		$	451

Of consolidated trusts		—			13,127			110			—			13,237
Total long-term debt		—			13,294			394			—			13,688
Derivative liabilities		—			2,275			11			(2,154)			132








Total liabilities at fair value		$	—		$	15,569		$	405		$	(2,154)		$	13,820


	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.

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

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 September 30, 2024
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2024(1)
	Balance, June 30, 2024		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, September 30, 2024
	(Dollars in millions)
Trading securities:




Mortgage-related	$	32	$	2	(5)(6)	$	—	$	—	$	—	$	—	$	—	$	(2)	$	3	$	35	$	2	$	—


Available-for-sale securities:


Agency	$	315	$	1		$	6	$	—	$	—	$	—	$	(9)	$	—	$	—	$	313	$	—	$	4



Other mortgage-related	146		(1)			—		—		—		—		(10)		—		—		135		—		1
Total available-for-sale securities	$	461	$	—	(6)(7)	$	6	$	—	$	—	$	—	$	(19)	$	—	$	—	$	448	$	—	$	5

Mortgage loans	$	425	$	18	(5)(6)	$	—	$	—	$	—	$	—	$	(14)	$	(8)	$	9	$	430	$	9	$	—

Net derivatives	94		(19)		(5)	—		—		—		—		5		—		—		80		(14)		—

Long-term debt:
Of Fannie Mae	$	(270)	$	(14)	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(284)	$	(14)	$	—
Of consolidated trusts	(110)		(4)		(5)(6)	—		—		—		—		5		—		(1)		(110)		(3)		—
Total long-term debt	$	(380)	$	(18)		$	—	$	—	$	—	$	—	$	5	$	—	$	(1)	$	(394)	$	(17)	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Nine Months Ended September 30, 2024
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 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 3		Transfers into Level 3		Balance, September 30, 2024
	(Dollars in millions)
Trading securities:




Mortgage-related	$	26	$	1	(5)(6)	$	—	$	—	$	—	$	—	$	—	$	(5)	$	13	$	35	$	1	$	—


Available-for-sale securities:


Agency	$	331	$	1		$	6	$	—	$	—	$	—	$	(25)	$	—	$	—	$	313	$	—	$	5



Other mortgage-related	183		1			1		—		—		—		(49)		(1)		—		135		—		1
Total available-for-sale securities	$	514	$	2	(6)(7)	$	7	$	—	$	—	$	—	$	(74)	$	(1)	$	—	$	448	$	—	$	6

Mortgage loans	$	477	$	15	(5)(6)	$	—	$	—	$	(6)	$	—	$	(47)	$	(47)	$	38	$	430	$	8	$	—

Net derivatives	77		(31)		(5)	—		—		—		—		34		—		—		80		3		—

Long-term debt:
Of Fannie Mae	$	(268)	$	(16)	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(284)	$	(16)	$	—
Of consolidated trusts	(117)		(5)		(5)(6)	—		—		—		—		12		1		(1)		(110)		(5)		—
Total long-term debt	$	(385)	$	(21)		$	—	$	—	$	—	$	—	$	12	$	1	$	(1)	$	(394)	$	(21)	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Three Months Ended September 30, 2023
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 30, 2023(1)
	Balance, June 30, 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, September 30, 2023
	(Dollars in millions)
Trading securities:




Mortgage-related	$	28	$	(4)	(5)(6)	$	—	$	—	$	—	$	—	$	—	$	(4)	$	4	$	24	$	(4)	$	—


Available-for-sale securities:


Agency	$	356	$	—		$	(19)	$	—	$	—	$	—	$	(8)	$	(117)	$	—	$	212	$	—	$	(12)



Other mortgage-related	235		1			—		—		—		—		(34)		—		1		203		—		—
Total available-for-sale securities	$	591	$	1	(6)(7)	$	(19)	$	—	$	—	$	—	$	(42)	$	(117)	$	1	$	415	$	—	$	(12)

Mortgage loans	$	510	$	(2)	(5)(6)	$	—	$	—	$	—	$	—	$	(19)	$	(15)	$	17	$	491	$	(4)	$	—

Net derivatives	12		28		(5)	—		—		—		—		(1)		—		—		39		26		—

Long-term debt:
Of Fannie Mae	$	(256)	$	16	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(240)	$	16	$	—
Of consolidated trusts	(125)		1		(5)(6)	—		—		—		—		4		52		(1)		(69)		—		—
Total long-term debt	$	(381)	$	17		$	—	$	—	$	—	$	—	$	4	$	52	$	(1)	$	(309)	$	16	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	For the Nine Months Ended September 30, 2023
			Total Gains (Losses) (Realized/Unrealized)																			Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(4)(5)		Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of September 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 3		Transfers into Level 3		Balance, September 30, 2023
	(Dollars in millions)
Trading securities:




Mortgage-related	$	47	$	(12)	(5)(6)	$	—	$	—	$	—	$	—	$	—	$	(15)	$	4	$	24	$	(9)	$	—


Available-for-sale securities:


Agency	$	371	$	1		$	(18)	$	—	$	—	$	—	$	(25)	$	(117)	$	—	$	212	$	—	$	(10)



Other mortgage-related	263		6			5		—		—		—		(72)		(1)		2		203		—		4
Total available-for-sale securities	$	634	$	7	(6)(7)	$	(13)	$	—	$	—	$	—	$	(97)	$	(118)	$	2	$	415	$	—	$	(6)

Mortgage loans	$	543	$	1	(5)(6)	$	—	$	—	$	—	$	—	$	(64)	$	(30)	$	41	$	491	$	(4)	$	—

Net derivatives	(37)		60		(5)	—		—		—		—		16		—		—		39		76		—

Long-term debt:
Of Fannie Mae	$	(242)	$	2	(5)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(240)	$	2	$	—
Of consolidated trusts	(136)		1		(5)(6)	—		—		—		—		15		52		(1)		(69)		1		—
Total long-term debt	$	(378)	$	3		$	—	$	—	$	—	$	—	$	15	$	52	$	(1)	$	(309)	$	3	$	—

(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.

Level 3 Assets Measured on Recurring and Nonrecurring Basis

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 September 30, 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)	$	35	Various


Available-for-sale securities:

Agency(3)	313		Consensus









Other mortgage-related	46		Discounted Cash Flow	Spreads (bps)	478.0	-	508.0	492.0
	1		Single Vendor
	88		Various
Total other mortgage-related	135
Total available-for-sale securities	$	448

Net derivatives	$	54	Dealer Mark
	26		Discounted Cash Flow
Total net derivatives	$	80


	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.

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	September 30, 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	$	655	$	1,994




Single-family mortgage loans held for investment, at amortized cost	Internal Model	328		407


Multifamily mortgage loans held for investment, at amortized cost	Appraisal	214		33

	Broker Price Opinion	889		769
	Internal Model	142		218
Total multifamily mortgage loans held for investment, at amortized cost		1,245		1,020
Acquired property, net:
Single-family	Accepted Offer	28		23
	Appraisal	56		43
	Internal Model	254		230
	Walk Forward	65		75
	Various	9		19
Total single-family		412		390
Multifamily	Various	49		182

Total nonrecurring assets at fair value		$	2,689	$	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 September 30, 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	$	76,772	$	37,922		$	38,850		$	—		$	—		$	76,772
Securities purchased under agreements to resell	18,065		—			18,065			—			—			18,065
Trading securities	61,298		60,080			1,183			35			—			61,298
Available-for-sale securities	492		—			44			448			—			492
Mortgage loans held for sale	1,278		—			565			791			—			1,356
Mortgage loans held for investment, net of allowance for loan losses	4,137,380		—			3,645,412			131,457			—			3,776,869
Advances to lenders	2,595		—			2,595			—			—			2,595
Derivative assets at fair value	280		—			422			91			(233)			280
Guaranty assets and buy-ups	66		—			—			170			—			170
Total financial assets	$	4,298,226	$	98,002		$	3,707,136		$	132,992		$	(233)		$	3,937,897

Financial liabilities:

Short-term debt:
Of Fannie Mae	$	11,419	$	—		$	11,424		$	—		$	—		$	11,424

Long-term debt:
Of Fannie Mae	110,296		—			111,915			630			—			112,545
Of consolidated trusts	4,096,063		—			3,712,964			278			—			3,713,242
Derivative liabilities at fair value	132		—			2,275			11			(2,154)			132
Guaranty obligations	72		—			—			61			—			61
Total financial liabilities	$	4,217,982	$	—		$	3,838,578		$	980		$	(2,154)		$	3,837,404


	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

Fair Value Option

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
	September 30, 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		$	3,255		$	451		$	13,237		$	3,315		$	761		$	14,343
Unpaid principal balance		3,341			412			13,126			3,442			731			14,383

(1)Includes nonaccrual loans with a fair value of $30 million and $32 million as of September 30, 2024 and December 31, 2023, respectively. Includes loans that are 90 days or more past due with a fair value of $25 million and $31 million as of September 30, 2024 and December 31, 2023, respectively.