Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional and Fair Value Position

The following table displays the notional amount and estimated fair value of our asset and liability derivative

instruments.


	As of December 31,
	2024			2023
	Notional Amount	Estimated Fair Value		Notional Amount	Estimated Fair Value
	Notional Amount	Asset Derivatives	Liability Derivatives	Notional Amount	Asset Derivatives	Liability Derivatives
	(Dollars in millions)
Risk management derivatives designated as hedging instruments:
Swaps:(1)
Pay-fixed	$26,704	$—	$—	$9,954	$—	$—
Receive-fixed	10,057	—	—	28,587	—	—
Total risk management derivatives designated as hedging instruments	36,761	—	—	38,541	—	—
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed	146,628	—	—	136,648	—	—
Receive-fixed	135,686	71	(2,164)	115,288	76	(3,085)
Basis	250	26	—	250	44	—
Foreign currency	310	—	(81)	316	—	(66)
Swaptions:(1)
Pay-fixed	7,006	280	(31)	5,816	195	(12)
Receive-fixed	5,916	24	(92)	2,666	13	(60)
Futures(1)	86	—	—	32	—	—
Total risk management derivatives not designated as hedging instruments	295,882	401	(2,368)	261,016	328	(3,223)
Netting adjustment(2)	—	(362)	2,367	—	(283)	3,200
Total risk management derivatives portfolio	332,643	39	(1)	299,557	45	(23)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	2,634	1	(9)	2,734	14	—
Forward contracts to purchase mortgage- related securities	31,883	3	(118)	14,264	98	(2)
Forward contracts to sell mortgage-related securities	78,934	108	(10)	43,942	—	(102)
Total mortgage commitment derivatives	113,451	112	(137)	60,940	112	(104)
Credit enhancement derivatives	28,775	28	(16)	27,624	45	(13)
Derivatives at fair value	$474,869	$179	$(154)	$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 $2.0 billion and $2.9

billion as of December 31, 2024 and 2023, respectively. Cash collateral received was $3 million and $5 million as of December 31, 2024

and 2023, respectively

Schedule of Derivative 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 Year Ended December 31,
	2024	2023	2022
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$1,472	$(1,441)	$5,541
Receive-fixed	242	2,441	(4,788)
Basis	(22)	39	(143)
Foreign currency	(15)	32	(87)
Swaptions:
Pay-fixed	66	(2)	142
Receive-fixed	(20)	(10)	(19)
Futures	1	—	(1)
Net contractual interest expense on interest-rate swaps	(964)	(711)	(265)
Total risk management derivatives fair value gains (losses), net	760	348	380
Mortgage commitment derivatives fair value gains (losses), net	533	120	2,708
Credit enhancement derivatives fair value gains (losses), net	(82)	46	(97)
Total derivatives fair value gains (losses), net	$1,211	$514	$2,991

Schedule of Effect of Fair Value Hedge Accounting

The following table displays the effect of fair value hedge accounting on our consolidated statements of operations and

comprehensive income, including gains and losses recognized on fair value hedging relationships.


		For the Year Ended December 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 consolidated statements of operations and comprehensive income		$144,152	$(121,223)	$133,234	$(110,269)

Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items		$(675)	$—	$398	$—
Discontinued hedge-related basis adjustment amortization		33	—	56	—
Derivatives designated as hedging instruments		636	—	(430)	—
Interest accruals on derivative hedging instruments		315	—	155	—
Debt of Fannie Mae and related interest-rate contracts:
Hedged items		—	502	—	(128)
Discontinued hedge-related basis adjustment amortization		—	(863)	—	(834)
Derivatives designated as hedging instruments		—	(363)	—	682
Interest accruals on derivative hedging instruments		—	(425)	—	(888)
Gains (losses) recognized in net interest income on fair value hedging relationships		$309	$(1,149)	$179	$(1,168)

The following table displays the carrying amounts of the hedged items that have been in qualifying fair value hedges

recorded in our 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 December 31, 2024.


	As of December 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
	Carrying Amount Assets (Liabilities)	Total Basis Adjustments(1)(2)	Remaining Adjustments - Discontinued Hedge	Total Amortized Cost	Designated UPB
	(Dollars in millions)
Mortgage loans HFI	$1,109,445	$(816)	$(816)	$813,536	$26,825
Debt of Fannie Mae	(47,849)	3,390	3,390	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
	Carrying Amount Assets (Liabilities)	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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