v3.25.2
Derivatives
 6 Months Ended
Jun. 30, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives
Derivatives
We analyze the interest-rate sensitivity of financial assets and liabilities across a variety of interest-rate scenarios based on market prices, models, and economics. We use derivatives primarily to hedge interest-rate sensitivity mismatches between our financial assets and liabilities. We principally use interest-rate swaps, purchased or written options (including swaptions), and exchange-traded futures in our interest-rate risk management activities. We designate certain derivatives as hedging instruments in qualifying hedge accounting relationships. Interest-rate risk management derivatives that are not designated in qualifying hedge accounting relationships are economic hedges of financial instruments measured at fair value on a recurring basis or of other transactions or instruments that expose us to interest-rate risk. When we use derivatives to mitigate our exposures, we consider a number of factors, including cost, exposure to counterparty credit risk, and our overall risk management strategy.
We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these items attributable to the designated benchmark interest rate, using interest-rate swaps.
Derivative Assets and Liabilities at Fair Value
The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets.
Table 8.1 - Derivative Assets and Liabilities at Fair Value
June 30, 2025December 31, 2024
 Notional or
Contractual
Amount		Derivative AssetsDerivative LiabilitiesNotional or
Contractual
Amount		Derivative AssetsDerivative Liabilities
(In millions)
Not designated as hedges
Interest-rate risk management derivatives:
Swaps$459,688 $1,200 ($326)$382,761 $1,512 ($340)
Written options33,680 — (1,641)33,117 — (1,826)
Purchased options(1)
126,740 4,202 — 126,750 4,649 — 
Futures53,969 — — 165,894 — — 
Total interest-rate risk management derivatives674,077 5,402 (1,967)708,522 6,161 (2,166)
Mortgage commitment derivatives52,773 54 (18)37,407 26 (40)
CRT-related derivatives(2)
27,633 — (177)28,962 — (186)
Other26,833 74 (578)20,505 94 (695)
Total derivatives not designated as hedges781,316 5,530 (2,740)795,396 6,281 (3,087)
Designated as fair value hedges
Interest-rate risk management derivatives:
Swaps146,661 258 (2,923)159,086 209 (4,149)
Total derivatives designated as fair value hedges146,661 258 (2,923)159,086 209 (4,149)
Receivables (payables)— (213)91 — 
Netting adjustments(3)
(4,902)4,909 (6,080)6,282 
Total derivative portfolio, net$927,977 $886 ($967)$954,482 $501 ($954)
(1)Includes swaptions on credit indices with a notional or contractual amount of $6.5 billion and $6.8 billion at June 30, 2025 and December 31, 2024, respectively, and a fair value of $1.0 million at both June 30, 2025 and December 31, 2024.
(2)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.
(3)Represents counterparty netting and cash collateral netting.
Derivative Counterparty Credit Risk
The table below presents offsetting and collateral information related to derivatives which are subject to enforceable master netting agreements or similar arrangements.
Table 8.2 - Offsetting of Derivatives
June 30, 2025December 31, 2024
 Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities
(In millions)
OTC derivatives$5,660 ($4,890)$6,360 ($6,315)
Cleared and exchange-traded derivatives1 (190)74 — 
Mortgage commitment derivatives54 (41)53 (40)
Other73 (755)94 (881)
Total derivatives5,788 (5,876)6,581 (7,236)
Counterparty netting(3,234)3,234 (3,906)3,906 
Cash collateral netting(1)
(1,668)1,675 (2,174)2,376 
Net amount presented in the condensed consolidated balance sheets886 (967)501 (954)
Gross amount not offset in the condensed consolidated balance sheets(2)
(739)128 (190)11 
Net amount$147 ($839)$311 ($943)
(1)Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset.
(2)Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the condensed consolidated balance sheets.
Gains and Losses on Derivatives
The table below presents the gains and losses on derivatives not designated in qualifying hedge relationships. These amounts are reported on our condensed consolidated statements of income as investment gains, net.
Table 8.3 - Gains and Losses on Derivatives
(In millions) 2Q 20252Q 2024YTD 2025YTD 2024
Interest-rate risk management derivatives:
Swaps($98)$136 ($415)$398 
Written options94 (86)220 (49)
Purchased options(141)242 (357)298 
Futures(10)169 (176)543 
Total interest-rate risk management derivatives fair value gains (losses)(155)461 (728)1,190 
Mortgage commitment derivatives(75)32 (183)72 
CRT-related derivatives(1)
(28)51 16 8 
Other51 (55)162 (163)
Total derivatives not designated as hedges fair value gains (losses)($207)$489 ($733)$1,107 
(1)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.
Hedge Accounting
The table below presents the effects of fair value hedge accounting by condensed consolidated statements of income line item, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting.
Table 8.4 - Gains and Losses on Fair Value Hedges
2Q 20252Q 2024
(In millions) Interest Income Interest Expense Interest Income Interest Expense
Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded:$32,048 ($26,749)$29,064 ($24,136)
Interest contracts on mortgage loans held-for-investment:
Gain (loss) on fair value hedging relationships:
Hedged items328 — (234)— 
Derivatives designated as hedging instruments(341)— 160 — 
Interest accruals on hedging instruments123 — 240 — 
Discontinued hedge related basis adjustments amortization70 — 73 — 
Interest contracts on debt:
Gain (loss) on fair value hedging relationships:
Hedged items— (607)— (511)
Derivatives designated as hedging instruments— 611 — 519 
Interest accruals on hedging instruments— (466)— (874)
Discontinued hedge related basis adjustment amortization— (1)— (2)
Total impact of fair value hedge accounting$180 ($463)$239 ($868)
YTD 2025YTD 2024
(In millions)Interest IncomeInterest ExpenseInterest IncomeInterest Expense
Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded:$63,413 ($53,012)$57,449 ($47,762)
Interest contracts on mortgage loans held-for-investment:
Gain (loss) on fair value hedging relationships:
Hedged items1,023 — (1,229)— 
Derivatives designated as hedging instruments(1,113)— 1,113 — 
Interest accruals on hedging instruments252 — 474 — 
Discontinued hedge related basis adjustments amortization136 — 116 — 
Interest contracts on debt:
Gain (loss) on fair value hedging relationships:
Hedged items— (1,408)— (377)
Derivatives designated as hedging instruments— 1,422 — 392 
Interest accruals on hedging instruments— (944)— (1,803)
Discontinued hedge related basis adjustment amortization— (12)— (4)
Total impact of fair value hedge accounting$298 ($942)$474 ($1,792)
The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective balance sheet line item.
Table 8.5 - Cumulative Basis Adjustments Due to Fair Value Hedging
June 30, 2025
Carrying Amount Assets / (Liabilities)Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying AmountClosed Portfolio Under the Portfolio Layer Method
(In millions)TotalUnder the Portfolio Layer MethodDiscontinued - Hedge RelatedTotal Amount by Amortized Cost BasisDesignated Amount by UPB
Mortgage loans held-for-investment$1,107,758 ($2,750)($296)($2,454)$44,618 $8,435 
Mortgage loans held-for-sale110 1 — 1 — — 
Debt(103,934)2,654 — 16 — — 
December 31, 2024
Carrying Amount Assets / (Liabilities)Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying AmountClosed Portfolio Under the Portfolio Layer Method
(In millions)TotalUnder the Portfolio Layer MethodDiscontinued - Hedge RelatedTotal Amount by Amortized Cost BasisDesignated Amount by UPB
Mortgage loans held-for-investment$1,117,060 ($3,909)($695)($3,214)$56,394 $12,070 
Debt(107,241)4,050 — 19 — —