v3.26.1
Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2026
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 March 31, 2026As of December 31, 2025
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$22,400 $— $— $38,759 $— $— 
Receive-fixed16,668 — — 8,439 — — 
Total risk management derivatives designated as hedging instruments
39,068 — — 47,198 — — 
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed171,509 — — 199,744 — — 
Receive-fixed189,110 79 (1,177)194,394 145 (1,082)
Basis250 32 — 250 28 — 
Foreign currency328 — (64)334 — (56)
Swaptions:(1)
Pay-fixed12,456 63 (20)11,956 91 (4)
Receive-fixed12,161 17 (105)11,661 13 (114)
Futures(1)
13,391 — — 11,546 — — 
Total risk management derivatives not designated as hedging instruments399,205 191 (1,366)429,885 277 (1,256)
Netting adjustment(2)
— (136)1,299 — (199)1,242 
Total risk management derivatives portfolio
438,273 55 (67)477,083 78 (14)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans
5,912 9 (20)4,005 7 (1)
Forward contracts to purchase mortgage-related securities
80,754 138 (158)47,122 48 (13)
Forward contracts to sell mortgage-related securities
139,855 112 (415)111,868 — (117)
Total mortgage commitment derivatives
226,521 259 (593)162,995 55 (131)
Credit enhancement derivatives26,795 38 (3)27,269 44 (3)
Other derivatives 2,265 — (13)732 — (4)
Derivatives at fair value$693,854 $352 $(676)$668,079 $177 $(152)
(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 $1.2 billion and $1.1 billion as of March 31, 2026 and December 31, 2025, respectively. Cash collateral received was $67 million and $27 million as of March 31, 2026 and December 31, 2025, 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 March 31,
20262025
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed$586 $(879)
Receive-fixed(677)1,015 
Basis9 12 
Foreign currency(10)9 
Swaptions:
Pay-fixed(38)(14)
Receive-fixed21 — 
Futures99 (1)
Net contractual interest income (expense) on interest-rate swaps(13)(218)
Total risk management derivatives fair value gains (losses), net(23)(76)
Mortgage commitment derivatives fair value gains (losses), net422 (242)
Credit enhancement derivatives fair value gains (losses), net(10)(17)
Other derivatives (4)— 
Total derivatives fair value gains (losses), net$385 $(335)
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 March 31,
2026
2025
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$38,905 $(32,830)$37,399 $(31,910)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items
$(208)$— $436 $— 
Discontinued hedge related basis adjustment amortization
5 — 16 — 
Derivatives designated as hedging instruments
197 — (441)— 
Interest accruals on hedging instruments
11 — 56 — 
Debt of Fannie Mae and related interest-rate contracts:
Hedged items
— 117 — (212)
Discontinued hedge-related basis adjustment amortization
— (165)— (226)
Derivatives designated as hedging instruments
— (122)— 216 
Interest accruals on derivative hedging instruments
— (8)— (23)
Gains (losses) recognized in net interest income on fair value hedging relationships
$5 $(178)$67 $(245)
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 March 31, 2026 and December 31, 2025.
As of March 31, 2026
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
$1,466,592 $(548)$(548)$480,906 $22,646 
Debt of Fannie Mae(28,965)2,307 2,307 N/AN/A
As of December 31, 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
$1,343,231 $(344)$(344)$251,659 $39,605 
Debt of Fannie Mae(28,764)2,355 2,355 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.