v3.26.1
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 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$44,955 $— $— $38,759 $— $— 
Receive-fixed18,101 — — 8,439 — — 
Total risk management derivatives designated as hedging instruments
63,056 — — 47,198 — — 
Risk management derivatives not designated as hedging instruments:
Swaps:(1)
Pay-fixed158,644 — — 199,744 — — 
Receive-fixed195,328 88 (1,221)194,394 145 (1,082)
Basis250 35 — 250 28 — 
Foreign currency329 — (63)334 — (56)
Swaptions:(1)
Pay-fixed20,145 78 (17)11,956 91 (4)
Receive-fixed10,351 4 (120)11,661 13 (114)
Futures(1)
11,037 — — 11,546 — — 
Total risk management derivatives not designated as hedging instruments396,084 205 (1,421)429,885 277 (1,256)
Netting adjustment(2)
— (38)1,383 — (199)1,242 
Total risk management derivatives portfolio
459,140 167 (38)477,083 78 (14)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans
4,790 6 (2)4,005 7 (1)
Forward contracts to purchase mortgage-related securities
70,038 55 (112)47,122 48 (13)
Forward contracts to sell mortgage-related securities
133,599 117 (79)111,868 — (117)
Total mortgage commitment derivatives
208,427 178 (193)162,995 55 (131)
Credit enhancement derivatives26,033 41 (4)27,269 44 (3)
Other derivatives 4,007 — (35)732 — (4)
Derivatives at fair value$697,607 $386 $(270)$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 $1.4 billion and $1.1 billion as of June 30, 2026 and December 31, 2025, respectively. Cash collateral received was $16 million and $27 million as of June 30, 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 June 30,
For the Six Months Ended June 30,
2026202520262025
(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed$1,138 $(331)$1,724 $(1,210)
Receive-fixed(1,097)602 (1,774)1,617 
Basis(3)(11)6 1 
Foreign currency3 23 (7)32 
Swaptions:
Pay-fixed22 (1)(16)(15)
Receive-fixed(26)(9)(5)(9)
Futures132 2 231 1 
Net contractual interest income (expense) on interest-rate swaps— (183)(13)(401)
Total risk management derivatives fair value gains (losses), net169 92 146 16 
Mortgage commitment derivatives fair value gains (losses), net(105)(147)317 (389)
Credit enhancement derivatives fair value gains (losses), net(6)(11)(16)(28)
Other derivatives (3)— (7)— 
Total derivatives fair value gains (losses), net$55 $(66)$440 $(401)
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,
20262025
2026
2025
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$39,294 $(33,061)$37,693 $(32,153)$78,199 $(65,891)$75,092 $(64,063)
Gains (losses) from fair value hedging relationships:
Mortgage loans HFI and related interest-rate contracts:
Hedged items
$(285)$— $211 $— $(493)$— $647 $— 
Discontinued hedge related basis adjustment amortization
22 — 7 — 27 — 23 — 
Derivatives designated as hedging instruments
267 — (202)— 464 — (643)— 
Interest accruals on hedging instruments
(7)— 53 — 4 — 109 — 
Debt of Fannie Mae and related interest-rate contracts:
Hedged items
— 216 — (62)— 333 — (274)
Discontinued hedge-related basis adjustment amortization
— (164)— (214)— (329)— (440)
Derivatives designated as hedging instruments
— (208)— 62 — (330)— 278 
Interest accruals on derivative hedging instruments
— (2)— (22)— (10)— (45)
Gains (losses) recognized in net interest income on fair value hedging relationships
$(3)$(158)$69 $(236)$2 $(336)$136 $(481)
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 June 30, 2026 and December 31, 2025.
As of June 30, 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
$1,712,443 $(810)$(810)$349,402 $45,748 
Debt of Fannie Mae(25,201)2,359 2,359 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.