v3.25.2
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2025
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 June 30, 2025As of December 31, 2024
Notional AmountEstimated Fair ValueNotional AmountEstimated Fair Value
Asset DerivativesLiability DerivativesAsset DerivativesLiability Derivatives
(Dollars in millions)
Risk management derivatives designated as hedging instruments:
Swaps:(1)
Pay-fixed$29,648 $— $— $26,704 $— $— 
Receive-fixed17,185 — — 10,057 — — 
Total risk management derivatives designated as hedging instruments
46,833 — — 36,761 — — 
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed188,357 — — 146,628 — — 
Receive-fixed136,451 120 (1,436)135,686 71 (2,164)
Basis250 24 — 250 26 — 
Foreign currency341 — (49)310 — (81)
Swaptions:(1)
Pay-fixed7,546 282 (17)7,006 280 (31)
Receive-fixed6,916 19 (65)5,916 24 (92)
Futures(1)
1,356 — — 86 — — 
Total risk management derivatives not designated as hedging instruments341,217 445 (1,567)295,882 401 (2,368)
Netting adjustment(2)
— (403)1,480 — (362)2,367 
Total risk management derivatives portfolio
388,050 42 (87)332,643 39 (1)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans
4,600 19 — 2,634 1 (9)
Forward contracts to purchase mortgage-related securities
30,345 122 — 31,883 3 (118)
Forward contracts to sell mortgage-related securities
64,873 — (192)78,934 108 (10)
Total mortgage commitment derivatives
99,818 141 (192)113,451 112 (137)
Credit enhancement derivatives29,931 22 (14)28,775 28 (16)
Derivatives at fair value$517,799 $205 $(293)$474,869 $179 $(154)
(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 $1.3 billion and $2.0 billion as of June 30, 2025 and December 31, 2024, respectively. Cash collateral received was $208 million and $3 million as of June 30, 2025 and December 31, 2024, respectively.
Fair Value Gain (Loss), Net
The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives.
For the Three Months Ended June 30,
For the Six Months Ended June 30,
2025202420252024
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed$(331)$237 $(1,210)$1,599 
Receive-fixed602 209 1,617 (487)
Basis(11)(4)1 (3)
Foreign currency23 (3)32 (11)
Swaptions:
Pay-fixed(1)21 (15)44 
Receive-fixed(9)7 (9)3 
Futures2 1 1 2 
Net contractual interest income (expense) on interest-rate swaps(183)(251)(401)(450)
Total risk management derivatives fair value gains (losses), net92 217 16 697 
Mortgage commitment derivatives fair value gains (losses), net(147)94 (389)301 
Credit enhancement derivatives fair value gains (losses), net(11)1 (28)(14)
Total derivatives fair value gains (losses), net$(66)$312 $(401)$984 
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,
20252024
2025
2024
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
$37,693 $(32,153)$35,617 $(29,877)$75,092 $(64,063)$70,833 $(59,457)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items
$211 $— $(28)$— $647 $— $(362)$— 
Discontinued hedge related basis adjustment amortization
7 — 18 — 23 — 26 — 
Derivatives designated as hedging instruments
(202)— 6 — (643)— 315 — 
Interest accruals on hedging instruments
53 — 76 — 109 — 142 — 
Debt of Fannie Mae and related interest-rate contracts:
Hedged items
— (62)— 129 — (274)— 557 
Discontinued hedge-related basis adjustment amortization
— (214)— (222)— (440)— (428)
Derivatives designated as hedging instruments
— 62 — (78)— 278 — (433)
Interest accruals on derivative hedging instruments
— (22)— (113)— (45)— (280)
Total effect of fair value hedges
$69 $(236)$72 $(284)$136 $(481)$121 $(584)
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 unpaid principal balance (“UPB”) consists only of open hedges as of June 30, 2025 and December 31, 2024.
As of June 30, 2025
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)
Remaining Adjustments - Discontinued Hedge
Total Amortized Cost
Designated UPB
(Dollars in millions)
Mortgage loans HFI
$1,077,730 $(146)$(146)$197,939 $30,486 
Debt of Fannie Mae(37,434)2,676 2,676 N/AN/A
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
Total Basis Adjustments(1)
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/AN/A
(1)    No basis adjustment associated with open hedges, as all hedges are designated at the close of business with a one-day term. Based on the unamortized balance of the hedge-related cost basis.