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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 10-Q

    QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2021
OR
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from      to         
Commission file number: 0-50231
Federal National Mortgage Association
(Exact name of registrant as specified in its charter)
Fannie Mae
Federally chartered corporation
52-0883107
1100 15th Street, NW


800232-6643
Washington,DC20005
(State or other jurisdiction of
incorporation or organization)
(I.R.S. Employer
Identification No.)
(Address of principal executive offices, including zip code)(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: 
Title of each classTrading Symbol(s)Name of each exchange on which registered
NoneN/AN/A
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes      No 
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).  Yes      No 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer
Accelerated filer
Non-accelerated filerSmaller reporting company
Emerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes No 
As of July 15, 2021, there were 1,158,087,567 shares of common stock of the registrant outstanding.



TABLE OF CONTENTS
Page
PART I—Financial Information
Item 1.
Item 2.
Summary of Our Financial Performance
Liquidity Provided in the First Half of 2021
Single-Family Mortgage Market
Single-Family Market Activity
Single-Family Business Metrics
Single-Family Business Financial Results
Single-Family Mortgage Credit Risk Management
Multifamily Mortgage Market
Multifamily Business Metrics
Multifamily Business Financial Results
Multifamily Mortgage Credit Risk Management
Institutional Counterparty Credit Risk Management
Market Risk Management, including Interest-Rate Risk Management
Fannie Mae Second Quarter 2021 Form 10-Q
i


Item 3.
Item 4.
PART II—Other Information
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.
Fannie Mae Second Quarter 2021 Form 10-Q
ii

MD&A | Introduction
PART I—FINANCIAL INFORMATION
Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of Operations
We have been under conservatorship, with the Federal Housing Finance Agency (“FHFA”) acting as conservator, since September 6, 2008. As conservator, FHFA succeeded to all rights, titles, powers and privileges of the company, and of any shareholder, officer or director of the company with respect to the company and its assets. The conservator has since provided for the exercise of certain authorities by our Board of Directors. Our directors do not have any fiduciary duties to any person or entity except to the conservator and, accordingly, are not obligated to consider the interests of the company, the holders of our equity or debt securities, or the holders of Fannie Mae MBS unless specifically directed to do so by the conservator.
We do not know when or how the conservatorship will terminate, what further changes to our business will be made during or following conservatorship, what form we will have and what ownership interest, if any, our current common and preferred stockholders will hold in us after the conservatorship is terminated or whether we will continue to exist following conservatorship. Members of Congress and the Administration continue to express the importance of housing finance system reform.
We are not currently permitted to pay dividends or other distributions to stockholders. Our agreements with the U.S. Department of the Treasury (“Treasury”) include a commitment from Treasury to provide us with funds to maintain a positive net worth under specified conditions; however, the U.S. government does not guarantee our securities or other obligations. Our agreements with Treasury also include covenants that significantly restrict our business activities. For additional information on the conservatorship, the uncertainty of our future, our agreements with Treasury, and recent developments relating to housing finance reform, see “Business—Conservatorship, Treasury Agreements and Housing Finance Reform” and “Risk Factors” in our Form 10-K for the year ended December 31, 2020 (“2020 Form 10-K”) and “Legislation and Regulation” in this report.
You should read this MD&A in conjunction with our unaudited condensed consolidated financial statements and related notes in this report and the more detailed information in our 2020 Form 10-K. You can find a “Glossary of Terms Used in This Report” in our 2020 Form 10-K.
Forward-looking statements in this report are based on management’s current expectations and are subject to significant uncertainties and changes in circumstances, as we describe in “Forward-Looking Statements.” Future events and our future results may differ materially from those reflected in our forward-looking statements due to a variety of factors, including those discussed in “Risk Factors” and elsewhere in this report and in our 2020 Form 10-K.
Introduction
Fannie Mae is a leading source of financing for mortgages in the United States, with $4.2 trillion in assets as of June 30, 2021. Organized as a government-sponsored entity, Fannie Mae is a shareholder-owned corporation. Our charter is an act of Congress, and we have a mission under that charter to provide liquidity and stability to the residential mortgage market and to promote access to mortgage credit. We were initially established in 1938.
Our revenues are primarily driven by guaranty fees we receive for assuming the credit risk on loans underlying the mortgage-backed securities we issue. We do not originate loans or lend money directly to borrowers. Rather, we work primarily with lenders who originate loans to borrowers. We securitize those loans into Fannie Mae mortgage-backed securities that we guarantee (which we refer to as Fannie Mae MBS or our MBS).
Effectively managing credit risk is key to our business. In exchange for assuming credit risk on the loans we acquire, we receive guaranty fees. These fees take into account the credit risk characteristics of the loans we acquire. Guaranty fees are set at the time we acquire loans and do not change over the life of the loan. How long a loan remains in our guaranty book is heavily dependent on interest rates. When interest rates decrease, a larger portion of our book of business turns over as more loans refinance. On the other hand, as interest rates increase, fewer loans refinance and our book turns over more slowly. Since guaranty fees are set at the time a loan is originated, the impact of any change in guaranty fees on future revenues is dependent on the rate at which newly originated loans replace the existing loans in our book of business.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Executive Summary | Summary of Our Financial Performance
Executive Summary
Summary of Our Financial Performance
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Net revenues increased $2.5 billion in the second quarter of 2021 compared with the second quarter of 2020, primarily due to an increase in net amortization income as a result of high prepayment volumes from loan refinancings in the second quarter of 2021 driven by the continued low interest-rate environment, as well as higher base guaranty fees due to an increase in the size of our guaranty book of business. High prepayments result in accelerated amortization of cost basis adjustments, including upfront fees we received at the time of loan acquisition. We anticipate net revenues from prepayment activity will begin to slow in the second half of 2021 as we expect mortgage interest rates are likely to rise modestly, resulting in fewer borrowers who can benefit from a refinancing. Lower levels of refinancing will likely slow the accelerated amortization of cost basis adjustments for loans in our book of business as loans remain outstanding for longer, and therefore will likely result in lower amortization income in any one period.
Net income increased $4.6 billion in the second quarter of 2021 compared with the second quarter of 2020, driven primarily by a shift from credit-related expense in the second quarter of 2020 to credit-related income in the second quarter of 2021 and higher net revenues as discussed above. Credit-related expense in the second quarter of 2020 was driven by economic dislocation caused by the COVID-19 pandemic. Credit-related income in the second quarter of 2021 was primarily driven by strong actual and forecasted home price growth and a benefit from the redesignation of reperforming loans. Additional drivers of increased net income in the second quarter of 2021 included lower fair value losses and an increase in investment gains related to reperforming loan sales.
Net worth increased to $37.3 billion as of June 30, 2021 from $30.2 billion as of March 31, 2021. The increase is attributable to $7.1 billion of comprehensive income for the second quarter of 2021.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Executive Summary | Summary of Our Financial Performance
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Net revenues increased $3.9 billion in the first half of 2021 compared with the first half of 2020, primarily due to an increase in net amortization income as a result of high prepayment volumes from loan refinancings in the first half of 2021 driven by the low interest-rate environment, as well as higher base guaranty fees due an increase in the size of our guaranty book of business.
Net income increased $9.1 billion in the first half of 2021 compared with the first half of 2020, primarily driven by a shift from credit-related expense in the first half of 2020 to credit-related income in the first half of 2021 and higher net revenues as discussed above. Credit-related expense in the first half of 2020 was driven by economic dislocation caused by the COVID-19 pandemic. Credit-related income in the first half of 2021 was primarily driven by strong actual and forecasted home price growth and a benefit from the redesignation of reperforming loans. Additional drivers of increased net income included a shift from fair value losses in the first half of 2020 to fair value gains in the first half of 2021 and a shift from investment losses in the first half of 2020 to investment gains in the first half of 2021 primarily due to reperforming loan sales in 2021.
Net worth increased to $37.3 billion as of June 30, 2021 from $25.3 billion as of December 31, 2020. The increase is attributable to $12.1 billion of comprehensive income for the first half of 2021.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Executive Summary | Liquidity Provided in First Half of 2021
Liquidity Provided in the First Half of 2021
Through our single-family and multifamily business segments, we provided $806 billion in liquidity to the mortgage market in the first half of 2021, enabling the financing of approximately 3.1 million home purchases, refinancings or rental units.
Fannie Mae Provided $806 Billion in Liquidity in the First Half of 2021
Unpaid Principal BalanceUnits
$229B
759K
Single-Family Home Purchases
$545B
2.0M
Single-Family Refinancings
$32B
345K
Multifamily Rental Units
We continued our commitment to green financing in the first half of 2021, issuing a total of $8.6 billion in multifamily green MBS, $152 million in single-family green MBS and $1.6 billion in multifamily green resecuritizations. We also issued $5.6 billion in multifamily social MBS and $315 million in multifamily social resecuritizations in the first half of 2021. These social bonds were issued in alignment with our Sustainable Bond Framework, which guides our issuances of sustainable debt bonds and sustainable MBS that support housing affordability and green financing. For information about our green bonds and our Sustainable Bond Framework, see “Directors, Executive Officers and Corporate Governance—ESG Matters” in our 2020 Form 10-K.
Legislation and Regulation
The information in this section updates and supplements information regarding legislative, regulatory, conservatorship and other developments affecting our business set forth in “Business—Conservatorship, Treasury Agreements and Housing Finance Reform” and “Business—Legislation and Regulation” in our 2020 Form 10-K, as well as in “MD&A—Legislation and Regulation” in our Form 10-Q for the quarter ended March 31, 2021 (“First Quarter 2021 Form 10-Q”). Also see “Risk Factors” in our 2020 Form 10-K and in this report for discussions of risks relating to legislative and regulatory matters.
Resolution Planning Final Rule
In May 2021, FHFA issued a final rule requiring us to develop a plan for submission to FHFA that would assist FHFA in planning for the rapid and orderly resolution of the company if FHFA is appointed as our receiver. The stated goals in the rule for our resolution plan are to:
minimize disruption in the national housing finance markets by providing for the continued operation of our core business lines in receivership by a newly constituted limited-life regulated entity;
preserve the value of our franchise and assets;
facilitate the division of assets and liabilities between the limited-life regulated entity and the receivership estate;
ensure that investors in our guaranteed mortgage-backed securities and our unsecured debt bear losses in the order of their priority established under the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended, including by the Housing and Economic Recovery Act of 2008 (together, the “GSE Act”), while minimizing unnecessary losses and costs to these investors; and
foster market discipline by making clear that no extraordinary government support will be available to indemnify investors against losses or fund the resolution of the company.
The rule establishes that our resolution planning process would begin with the identification of our core business lines—those business lines that plausibly would continue to operate in a limited-life regulated entity. Our initial identification of core business lines must be submitted to FHFA by October 6, 2021. The rule requires that we submit our initial resolution plan to FHFA by April 6, 2023, and subsequent resolution plans not later than every two years thereafter unless otherwise notified by FHFA. The rule provides a set of required and prohibited assumptions the resolution plan should reflect, including assuming severely adverse economic conditions and the prohibition of assuming extraordinary support by the U.S. government (including support under our senior preferred stock purchase agreement with Treasury).
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Legislation and Regulation
Executive Compensation Request for Input
On June 10, 2021, FHFA issued a request for input on executive compensation at Fannie Mae, Freddie Mac and the Federal Home Loan Banks. FHFA has significant oversight and approval rights over our executive compensation arrangements both as our conservator and as our regulator. The request for input asks for feedback from the public within 60 days on a number of questions relating to our executive compensation program covering a variety of topics. Changes in our executive compensation program could affect our ability to retain and recruit executive officers. See “Risk Factors—GSE and Conservatorship Risk” in this report for a discussion of how our business and financial results may be materially adversely affected if we are unable to retain and recruit well-qualified executives and other employees.
Supreme Court Decision on Housing and Economic Recovery Act; Change in FHFA Director
In its opinion in Collins et al. v. Yellen, Secretary of the Treasury, et al., issued on June 23, 2021, the Supreme Court concluded that the for-cause restriction on the President’s power to remove the FHFA Director under the Housing and Economic Recovery Act of 2008 violates the Constitution’s separation of powers. Accordingly, the Supreme Court’s decision confirmed that the President has the power to remove the Director of FHFA for any reason, not just for cause.
On June 23, 2021, President Biden appointed Sandra Thompson as the Acting Director of FHFA to replace Mark Calabria. Ms. Thompson has served as Deputy Director of FHFA’s Division of Housing Mission and Goals since 2013. Changes in leadership at FHFA could result in significant changes to the goals FHFA establishes for us and could have a material impact on our business and financial results. See “Risk Factors—GSE and Conservatorship Risk” in our 2020 Form 10-K for a discussion of how our business activities are significantly affected by the conservatorship.
The Supreme Court’s opinion in Collins v. Yellen also included an expansive interpretation of FHFA’s authority as conservator under the Housing and Economic Recovery Act, noting that “when the FHFA acts as a conservator, it may aim to rehabilitate the regulated entity in a way that, while not in the best interests of the regulated entity, is beneficial to the Agency and, by extension, the public it serves.” See “Legal Proceedings” for more information about the Supreme Court’s decision in Collins v. Yellen.
Federal Eviction Moratorium
In June 2021, the Centers for Disease Control and Prevention (the “CDC”) further extended through July 31, 2021 its order prohibiting the eviction of any tenant, lessee or resident of a residential property for nonpayment of rent, if such person provides a specified declaration attesting that they meet the requirements to obtain the protection of the order. In its press release announcing this extension, the CDC indicated that this is intended to be the final extension of the moratorium. The requirements to obtain the protection of the order included a specified income cap and an inability to pay full rent. While the CDC order did not impose any obligations on Fannie Mae or its servicers to ensure compliance by borrowers, a borrower’s income may have been impacted by tenants who did not pay their rent while under the protection of the CDC order. As a result, this eviction moratorium could adversely affect the ability of some of our borrowers to make payments on their loans.
Final CFPB Rule Regarding Foreclosures
On June 28, 2021, the Consumer Financial Protection Bureau (the “CFPB”) issued a final rule that prohibits servicers from initiating new foreclosures on certain mortgage loans secured by the borrower’s principal residence until after December 31, 2021. The CFPB rule provides for limited exceptions to this foreclosure prohibition, including for abandoned properties and for loans that were more than 120 days delinquent before March 2020. The effective date of the CFPB rule is August 31, 2021. Fannie Mae had already suspended foreclosures and certain foreclosure-related activities for single-family properties, other than for vacant or abandoned properties, through July 31, 2021. On June 29, 2021, FHFA announced that Fannie Mae servicers will not be permitted to initiate foreclosures that would be prohibited under the CFPB rule before the rule’s August 31, 2021 effective date. Because the CFPB’s rule extends the time period before certain foreclosures can be initiated by our servicers, it may increase our costs relating to foreclosures and foreclosure-related activities, which could adversely affect our credit-related expenses.
FHFA Policy Statement on Fair Lending
On July 1, 2021, FHFA issued a policy statement on fair lending. FHFA’s policy statement states that FHFA will engage in comprehensive fair lending oversight of Fannie Mae, Freddie Mac and the Federal Home Loan Banks, and adopts specified high-level policies to guide its fair lending monitoring, supervision and enforcement. FHFA requested public comments on the policy statement by September 7, 2021.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Legislation and Regulation
Elimination of Adverse Market Refinance Fee
In July 2021, FHFA directed us to eliminate the adverse market refinance fee on our single-family loans effective August 1, 2021. The adverse market refinance fee, which became effective in December 2020, was a one-time charge of 0.5% of the loan amount that the lender was required to pay at the time we acquired a loan. The adverse market refinance fee applied to most of the single-family refinance loans we acquired from December 2020 through July 2021 and was intended to help us offset some of the higher projected expenses and risk due to the COVID-19 pandemic. In its news release announcing the elimination of the fee, FHFA stated that “the success of FHFA and the Enterprises’ COVID-19 policies reduced the impact of the pandemic and were effective enough to warrant an early conclusion of the Adverse Market Refinance Fee.” As described in “Single-Family Business—Single-Family Business Metrics,” we expect our average charged guaranty fee on new single-family conventional acquisitions to decrease in the second half of 2021 as a result of the elimination of the adverse market refinance fee.
Proposed Legislation Extending Guaranty Fee Payments to Treasury
As described in our 2020 Form 10-K, in December 2011, Congress enacted the Temporary Payroll Tax Cut Continuation Act of 2011 (“TCCA”) under which, at the direction of FHFA, we increased the guaranty fee on all single-family residential mortgages delivered to us by 10 basis points effective April 1, 2012. The revenue generated by this fee increase is paid to Treasury and helps offset the cost of a two-month extension of the payroll tax cut in early 2012. In 2012, FHFA advised us to remit this fee increase to Treasury with respect to all single-family loans acquired by us on or after April 1, 2012 and before January 1, 2022, and to continue to remit these amounts to Treasury on and after January 1, 2022 with respect to loans we acquired before this date until those loans are paid off or otherwise liquidated.
On August 1, 2021, the Senate released proposed legislation that would extend our obligation to pay these fees to Treasury beyond our current obligation. If enacted in its current form, the Infrastructure Investment and Jobs Act would amend the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended, to extend the current requirement that we pay to Treasury 10 basis points in fees on single-family residential mortgages delivered to us by an additional eleven years to October 1, 2032. The revenue generated by this fee extension would help offset the cost of infrastructure spending.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Key Market Economic Indicators
Key Market Economic Indicators
Below we discuss how varying macroeconomic conditions can influence our financial results across different business and economic environments. Our forecasts and expectations are subject to many uncertainties, including the pace and nature of economic growth, and may change, perhaps substantially, from our current expectations.
Selected Benchmark Interest Rates
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(1)Refers to the U.S. weekly average fixed-rate mortgage rate according to Freddie Mac's Primary Mortgage Market Survey®. These rates are reported using the latest available data for a given period.
(2)According to Bloomberg.
(3)Refers to the daily rate per the Federal Reserve Bank of New York.
How interest rates can affect our financial results
Net interest income. In a rising interest-rate environment, our mortgage loans tend to prepay more slowly. We amortize various cost basis adjustments over the life of the mortgage loan, including those relating to loan-level pricing adjustments we receive as upfront fees at the time we acquire single-family loans. As a result, any prepayment of a loan results in an accelerated realization of those upfront fees as income. Therefore, as loan prepayments slow, the accelerated realization of amortization income also slows. Conversely, in a declining interest-rate environment, our mortgage loans tend to prepay faster, typically resulting in the opposite trend of higher net amortization income from cost basis adjustments on mortgage loans and related debt.
Fair value gains (losses). We have exposure to fair value gains and losses resulting from changes in interest rates, primarily through our mortgage commitment derivatives and risk management derivatives, which we mark to market through earnings. Fair value gains and losses on our mortgage commitment derivatives fluctuate depending on how interest rates and prices move between the time the commitment is opened and settled. The net position and composition across the yield curve of our risk management derivatives changes over time. As a result, interest rate changes (increases or decreases) and yield curve changes (parallel, steepening or flattening shifts) will generate varying amounts of fair value gains or losses in a given period.
Credit-related income (expense). Increases in mortgage interest rates tend to lengthen the expected lives of our loans, which generally increases the expected impairment and provision for credit losses on such loans. Decreases in mortgage interest rates tend to shorten the expected lives of our loans, which reduces the impairment and provision for credit losses on such loans.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Key Market Economic Indicators
In January 2021, we began applying fair value hedge accounting to reduce the impact of changes in interest rates, or the interest-rate effect, on our financial results. For additional information on how hedge accounting supports our interest-rate risk management strategy and our fair value hedge accounting policy, see “Consolidated Results of Operations—Hedge Accounting Impact,” “Risk Management—Market Risk Management, including Interest-Rate Risk Management—Earnings Exposure to Interest-Rate Risk” and “Note 1, Summary of Significant Accounting Policies.”
Single-Family Quarterly Home Price Growth Rate(1)

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(1)Calculated internally using property data on loans purchased by Fannie Mae, Freddie Mac and other third-party home sales data. Fannie Mae’s home price index is a weighted repeat-transactions index, measuring average price changes in repeat sales on the same properties. Fannie Mae’s home price index excludes prices on properties sold in foreclosure. Fannie Mae’s home price estimates are based on preliminary data and are subject to change as additional data becomes available.
Home prices and how they can affect our financial results
Actual and forecasted home prices impact our provision or benefit for credit losses.
Changes in home prices affect the amount of equity that borrowers have in their homes. Borrowers with less equity typically have higher delinquency and default rates.
As home prices increase, the severity of losses we incur on defaulted loans that we hold or guarantee decreases because the amount we can recover from the properties securing the loans increases. Declines in home prices increase the losses we incur on defaulted loans.
Home prices also impact the growth and size of our guaranty book of business. As home prices rise, the principal balance of loans associated with purchase money mortgages may increase, which affects the size of our book. Additionally, rising home prices can increase the amount of equity borrowers have in their home, which may lead to an increase in origination volumes for cash-out refinance loans with higher principal balances than the existing loan. Replacing existing loans with newly acquired cash-out refinances can affect the growth and size of our book.
Home price growth in the first half of 2021 was 10.5%, the highest six-month home price growth rate in the history of the Fannie Mae national home price index, driven by continued low interest rates and low levels of housing supply relative to the level of demand.
We currently expect home price growth on a national basis in 2021 of 14.8%, which is a significant increase compared to our prior forecast for the year and higher than the strong home price growth realized in 2020 of 10.5%. We expect significant regional variation in the timing and rate of home price growth and expect home price growth to moderate next year.
Our forecasts and expectations are subject to many uncertainties and may change, perhaps substantially, from our current forecasts and expectations. For example, home price growth could slow if growth in gross domestic product ("GDP") is weaker than we currently expect, if unemployment, particularly among existing homeowners and potential new home buyers, is higher than we expect, or if the housing market is more sensitive to economic and labor-market weaknesses than we expect. For further discussion on housing activity, see “Single-Family Business—Single-Family Mortgage Market” and “Multifamily Business—Multifamily Mortgage Market.”

Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Key Market Economic Indicators
New Housing Starts(1)
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(1)According to U.S. Census Bureau and subject to revision.
How housing activity can affect our financial results
Two key aspects of economic activity that can impact supply and demand for housing and thus mortgage lending are the rates of household formation and housing construction.
Household formation is a key driver of demand for both single-family and multifamily housing. A newly formed household will either rent or purchase a home. Thus, changes in the pace of household formation can affect prices and credit performance as well as the degree of loss on defaulted loans.
Growth of household formation stimulates homebuilding. Homebuilding has typically been a cyclical leader, weakening prior to a slowdown in U.S. economic activity and accelerating prior to a recovery, which contributes to the growth of GDP and employment. However, the housing sector’s performance may vary from its historical precedent due to the many uncertainties surrounding future economic or housing policy as well as the continued impact of the COVID-19 pandemic on the economy and the housing market.
With regard to housing construction, a decline in housing starts results in fewer new homes being available for purchase and potentially a lower volume of mortgage originations. Construction activity can also affect credit losses through its impact on home prices. If the growth of demand exceeds the growth of supply, prices will appreciate and impact the risk profile of newly originated home purchase mortgages, depending on where in the housing cycle the market is. A reduced pace of construction is often associated with a broader economic slowdown and may signal expected increases in delinquency and losses on defaulted loans.
Home sales fell in the second quarter of 2021, declining from the high pace seen at the end of 2020, due in part to a lack of available homes for sale, along with the associated surge in home prices, which reduced housing affordability. We expect a continued lack of inventory for both new and existing homes will likely continue to constrain sales into the third quarter. Due to the current strength in housing demand and low supply of homes for sale, we expect single-family housing starts to be higher in 2021 than in 2020. Despite the constraints on home sales, we continue to expect housing activity to remain solid throughout 2021.
Construction demand in the multifamily sector strengthened in the first half of 2021, with multifamily starts posting a solid increase during the period. While we expect multifamily starts to decline in the second half of 2021, we expect they will increase overall in 2021 on annual basis.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Key Market Economic Indicators
GDP, Unemployment Rate and Personal Consumption
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(1)Real GDP growth (decline) and real personal consumption growth (decline) are based on the quarterly series calculated by the Bureau of Economic Analysis and are subject to revision.
(2)According to the U.S. Bureau of Labor Statistics and subject to revision.
How GDP, the unemployment rate and personal consumption can affect our financial results
Changes in GDP, the unemployment rate and personal consumption can affect several mortgage market factors, including the demand for both single-family and multifamily housing and the level of loan delinquencies, which in turn can lead to credit losses.
Economic growth is a key factor for the performance of mortgage-related assets. In a growing economy, employment and income are typically rising, thus allowing existing borrowers to meet payment requirements, existing homeowners to consider purchasing and moving to another home, and renters to consider becoming homeowners. Homebuilding typically increases to meet the rise in demand. Mortgage delinquencies typically fall in an expanding economy, thereby decreasing credit losses.
In a slowing economy, employment, income growth and housing activity typically slow as an early indicator of reduced economic activity. Typically, as an economic slowdown intensifies, households reduce their spending. This reduction in consumption then accelerates the slowdown. An economic slowdown can lead to employment losses, impairing the ability of borrowers and renters to meet mortgage and rental payments, thus causing loan delinquencies to rise. Home sales and mortgage originations also typically fall in a slowing economy.
The economic recovery from the impact of the COVID-19 pandemic began in the second half of 2020 and continued its momentum through the first half of 2021, with the second quarter 2021 GDP number pushing GDP above its pre-pandemic level. The pace of vaccinations, along with the lifting of business restrictions across the country, has led to further strength in consumer spending and GDP growth. While GDP has surpassed its pre-pandemic level, the pace and strength of economic expansion remains uncertain and will depend on a number of factors, including current labor market shortages, recovery of economic activity outside the U.S., global supply chain disruptions, the impact of the highly transmissible Delta variant of the coronavirus or the emergence of other new, more infectious variants of the coronavirus, COVID-19 vaccination rates, and the potential for higher inflation.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Key Market Economic Indicators
See “Risk Factors” in this report and in our 2020 Form 10-K for further discussion of risks to our business and financial results associated with interest rates, home prices, housing activity and economic conditions, as well as the COVID-19 pandemic.

Consolidated Results of Operations
This section discusses our condensed consolidated results of operations and should be read together with our condensed consolidated financial statements and the accompanying notes.
Summary of Condensed Consolidated Results of Operations
For the Three Months Ended June 30,For the Six Months Ended June 30,
20212020Variance20212020Variance
(Dollars in millions)
Net interest income(1)
$8,286 $5,777 $2,509 $15,028 $11,124 $3,904 
Fee and other income103 90 13 190 210 (20)
Net revenues8,389 5,867 2,522 15,218 11,334 3,884 
Investment gains (losses), net646 149 497 691 (9)700 
Fair value gains (losses), net(1)
(446)(1,018)572 338 (1,294)1,632 
Administrative expenses(746)(754)(1,494)(1,503)
Credit-related income (expenses):
Benefit (provision) for credit losses2,588 (12)2,600 3,353 (2,595)5,948 
Foreclosed property expense(41)(10)(31)(36)(90)54 
Total credit-related income (expenses)2,547 (22)2,569 3,317 (2,685)6,002 
TCCA fees
(758)(660)(98)(1,489)(1,297)(192)
Credit enhancement expense(2)
(274)(360)86 (558)(736)178 
Change in expected credit enhancement recoveries(3)
(44)273 (317)(75)461 (536)
Other expenses, net(4)
(280)(261)(19)(599)(479)(120)
Income before federal income taxes9,034 3,214 5,820 15,349 3,792 11,557 
Provision for federal income taxes(1,882)(669)(1,213)(3,204)(786)(2,418)
Net income$7,152 $2,545 $4,607 $12,145 $3,006 $9,139 
Total comprehensive income$7,120 $2,532 $4,588 $12,086 $3,008 $9,078 
(1)In January 2021, we began applying fair value hedge accounting. For qualifying hedging relationships, fair value changes attributable to movements in the designated benchmark interest rates for hedged mortgage loans and funding debt and the fair value change of the designated portion of the paired interest-rate swaps are recognized in “Net interest income.” In prior years, all fair value changes for interest-rate swaps were recognized in “Fair value gains (losses), net.” See “Hedge Accounting Impact” below and “Note 1, Summary of Significant Accounting Policies” for more information about our hedge accounting program.
(2)Consists of costs associated with our freestanding credit enhancements, which primarily include our Connecticut Avenue Securities® (“CAS”) and Credit Insurance Risk TransferTM (“CIRTTM”) programs, enterprise-paid mortgage insurance (“EPMI”), and certain lender risk-sharing programs.
(3)Consists of increase (decrease) in benefits recognized from our freestanding credit enhancements, including any realized amounts.
(4)Consists of debt extinguishment gains and losses, housing trust fund expenses, loan subservicing costs, servicer fees paid in connection with certain loss mitigation activities, and gains and losses from partnership investments.
Hedge Accounting Impact
Our earnings can experience volatility due to interest-rate changes and differing accounting treatments that apply to certain financial instruments on our balance sheet. Specifically, we have exposure to earnings volatility that is driven by changes in interest rates in two primary areas: our net portfolio and our consolidated MBS trusts. The exposure in the net portfolio is primarily driven by changes in the fair value of risk management derivatives, mortgage commitments, and certain assets, primarily securities, that are carried at fair value. The exposure related to our consolidated MBS trusts relates to changes in our credit loss reserves driven by changes in interest rates.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Consolidated Results of Operations
To help address this volatility, we began applying fair value hedge accounting in January 2021 to reduce the current-period impact on our earnings related to changes in interest rates, particularly the London Inter-bank Offered Rate (“LIBOR”) and the Secured Overnight Financing Rate (“SOFR”). Hedge accounting aligns the timing of when we recognize fair value changes in hedged items attributable to these benchmark interest-rate movements with fair value changes in the hedging instrument.
Under our hedge accounting program, we establish fair value hedging relationships between risk management derivatives, specifically interest-rate swaps, and qualifying portfolios of mortgage loans or funding debt. For hedging relationships that are highly effective, we recognize changes in the fair value of the hedged mortgage loans or funding debt attributable to movements in the benchmark interest rate in net interest income. We then offset that impact with the changes in fair value of the designated interest-rate swap. This has the effect of deferring the recognition of gains and losses on the hedging instrument to future periods by recognizing the offsetting gain or loss on the hedged item as a cost basis adjustment on the underlying loans or funding debt at the end of the hedge term. The cost basis adjustment is then subsequently amortized back into earnings. Accordingly, we deferred $284 million in fair value gains and $875 million in fair value losses as cost basis adjustments in the second quarter and first half of 2021, respectively, on our hedged loans and funding debt that will be amortized through “Net interest income” over the contractual life of the respective hedged items.
Although hedge accounting reduces the earnings volatility related to benchmark interest rate movements in any given period, it does not impact the amount of interest-rate-driven gains or losses we will ultimately recognize through earnings.
While we expect the earnings volatility related to benchmark interest rate movements to be meaningfully reduced as a result of our adoption of hedge accounting, earnings variability driven by other factors, such as spreads, remains. In addition, hedge accounting is not designed to address earnings volatility driven by changes in cost basis amortization recognized in net interest income, which can be influenced by interest rate changes.
See “Note 1, Summary of Significant Accounting Policies” and “Note 8, Derivative Instruments” for additional discussion of our fair value hedge accounting policy and related disclosures.
Net Interest Income
Our primary source of net interest income is guaranty fees we receive for managing the credit risk on loans underlying Fannie Mae MBS held by third parties.
Guaranty fees consist of two primary components:
base guaranty fees that we receive over the life of the loan; and
upfront fees that we receive at the time of loan acquisition primarily related to single-family loan-level pricing adjustments and other fees we receive from lenders, which are amortized into net interest income as cost basis adjustments over the contractual life of the loan. We refer to this as amortization income.
We recognize almost all of our guaranty fee revenue in net interest income because we consolidate the substantial majority of loans underlying our Fannie Mae MBS in consolidated trusts in our condensed consolidated balance sheets. Guaranty fees from these loans account for nearly all of the difference between the interest income on loans in consolidated trusts and the interest expense on the debt of consolidated trusts.
The timing of when we recognize amortization income can vary based on a number of factors, the most significant of which is a change in mortgage interest rates. In a rising interest-rate environment, our mortgage loans tend to prepay more slowly, which typically results in lower net amortization income. Conversely, in a declining interest-rate environment, our mortgage loans tend to prepay faster, typically resulting in higher net amortization income.
We also recognize net interest income on the difference between interest income earned on the assets in our retained mortgage portfolio and our other investments portfolio (collectively, our “portfolios”) and the interest expense associated with the debt that funds those assets. See “Retained Mortgage Portfolio” and “Liquidity and Capital Management—Liquidity Management—Other Investments Portfolio” for more information about our portfolios.
Beginning in January 2021, we recognize fair value changes attributable to movements in benchmark interest rates for hedged mortgage loans and funding debt and total fair value changes for designated interest-rate swaps, as well as the amortization of hedge-related basis adjustments on the associated mortgage loans or funding debt and any related interest accrual on the swap, as a component of net interest income. The income or expense associated with this activity is presented in the “Income from hedge accounting” line item in the table below.
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Consolidated Results of Operations
The table below displays the components of our net interest income from our guaranty book of business, which we discuss in “Guaranty Book of Business,” and from our portfolios, as well as from hedge accounting.
Components of Net Interest Income
For the Three Months Ended June 30,For the Six Months Ended June 30,
20212020Variance20212020Variance
(Dollars in millions)
Net interest income from guaranty book of business:
Base guaranty fee income(1)
$3,420 $2,677 $743 $6,617 $5,277 $1,340 
Base guaranty fee income related to TCCA(2)
758 660 98 1,489 1,297 192 
Net amortization income(3)
3,736 1,955 1,781 6,262 3,461 2,801 
Total net interest income from guaranty book of business
7,914 5,292 2,622 14,368 10,035 4,333 
Net interest income from portfolios306 485 (179)572 1,089 (517)
Income from hedge accounting(4)
66 — 66 88 — 88 
Total net interest income
$8,286 $5,777 $2,509 $15,028 $11,124 $3,904 
(1)Excludes revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA, which is remitted to Treasury and not retained by us.
(2)Represents revenues generated by the 10 basis point guaranty fee increase we implemented pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by us. See “Note 1, Summary of Significant Accounting Policies” for more information on guidance we received from FHFA regarding TCCA fee amounts that we are not required to accrue or remit to Treasury with respect to delinquent loans backing MBS trusts.
(3)Net amortization income refers to the amortization of premiums and discounts on mortgage loans and debt of consolidated trusts. These cost basis adjustments represent the difference between the initial fair value and the carrying value of these instruments as well upfront fees we receive at the time of loan acquisition. It does not include the amortization of cost basis adjustments resulting from hedge accounting, which is included in income from hedge accounting.
(4)Consists of gains and losses from fair value hedging relationships that have been presented in net interest income. See “Note 8, Derivative Instruments” for additional information on the effect of our fair value hedge accounting program and related disclosures.
Net interest income increased in the second quarter and first half of 2021 compared with the second quarter and first half of 2020, primarily driven by higher net amortization income and higher base guaranty fee income, partially offset by lower income from portfolios.
Higher net amortization income. A continued low interest-rate environment in the second quarter and first half of 2021 led to elevated prepayment volumes as loans refinanced, which accelerated the amortization of cost basis adjustments, including upfront fees we recognize over the contractual life of the loans, on mortgage loans of consolidated trusts and the related debt.
Higher base guaranty fee income. An increase in the size of our guaranty book of business over the prior year was the primary driver of the increase in base guaranty fee income in the second quarter and first half of 2021.
Lower income from portfolios. Lower yields in the second quarter and first half of 2021 on mortgage loans and assets in our other investments portfolio, partially offset by a decrease in interest expense on our funding debt due to a decrease in average borrowing costs, contributed to a decline in income from portfolios in the second quarter and first half of 2021.
We have been in a historically low interest-rate environment over the last 18 months, which has contributed to continued strong mortgage refinance activity and high levels of amortization income. Over half of our single-family guaranty book of business has been originated in the last 18 months as borrowers took advantage of the low rate environment. Refinancing activity began to taper in the second quarter of 2021 as fewer borrowers could benefit from refinancing. We expect that lower levels of refinancing in the future will likely slow the rate at which we amortize cost basis adjustments. This will likely result in lower amortization income in any one period as the average life of our outstanding book of business may extend as our book of business turns over more slowly. In addition, a slower turnover rate would limit the impact that changes in our guaranty fees have on our future revenues as any changes would take longer to meaningfully impact the average charged guaranty fee on our total book of business.
For loans negatively impacted by the COVID-19 pandemic, we continue to recognize interest for up to six months of delinquency provided that the loans were either current at March 1, 2020 or originated after March 1, 2020. We continue to accrue interest income beyond six months of delinquency provided that the collection of principal and interest
Fannie Mae Second Quarter 2021 Form 10-Q
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MD&A | Consolidated Results of Operations
continues to be reasonably assured. This resulted in a large portion of delinquent loans, including those in a forbearance arrangement, remaining on accrual status as of June 30, 2021. See “Note 3, Mortgage Loans” for more information about our nonaccrual accounting policy and “Single-Family Business—Single-Family Mortgage Credit Risk Management—Single-Family Problem Loan Management” and “Multifamily Business—Multifamily Mortgage Credit Risk Management—Multifamily Problem Loan Management and Foreclosure Prevention” for details about loans in forbearance, as well as on-balance sheet loans past due 90 days or more and continuing to accrue interest.
Analysis of Net Interest Income
The table below displays an analysis of our net interest income, average balances, and related yields earned on assets and incurred on liabilities. For most components of the average balances, we use a daily weighted average of unpaid principal balance net of unamortized cost basis adjustments. When daily average balance information is not available, such as for mortgage loans, we use monthly averages. For the second quarter and first half of 2021, net interest income was impacted by the application of fair value hedge accounting beginning in January 2021.
Analysis of Net Interest Income and Yield(1)
For the Three Months Ended June 30,
20212020
Average Balance
Interest Income/ (Expense)
Average Rates Earned/Paid
Average Balance
Interest Income/ (Expense)
Average Rates Earned/Paid
(Dollars in millions)
Interest-earning assets:
Mortgage loans of Fannie Mae(2)
$99,364 $782 3.15 %$115,310 $1,028 3.57 %
Mortgage loans of consolidated trusts(2)
3,712,015 24,150 2.60 3,311,267 25,979 3.14 
Total mortgage loans(3)
3,811,379 24,932 2.62 3,426,577 27,007 3.15 
Mortgage-related securities
6,637 42 2.53 10,976 116 4.23 
Non-mortgage-related securities(4)
132,921 98 0.29 103,935 129 0.49 
Federal funds sold and securities purchased under agreements to resell or similar arrangements
61,428 4 0.03 46,487 14 0.12 
Advances to lenders
7,910 31 1.57 7,917 25 1.25 
Total interest-earning assets
$4,020,275 25,107 2.50 %$3,595,892 27,291 3.04 %
Interest-bearing liabilities:
Short-term funding debt
$3,790 (1)0.11 %$50,777 (54)0.42 %
Long-term funding debt(2)
246,045 (673)1.09 189,906 (777)1.64 
Connecticut Avenue Securities® (“CAS”) debt
14,321 (149)4.16 18,993 (219)4.61 
Total debt of Fannie Mae
264,156 (823)1.25 259,676 (1,050)1.62 
Debt securities of consolidated trusts held by third parties
3,742,947 (15,998)1.71 3,350,210 (20,464)2.44 
Total interest-bearing liabilities
$4,007,103 (16,821)1.68 %$3,609,886 (21,514)2.38 %
Net interest income/net interest yield
$8,286 0.81 %$5,777 0.64 %
Fannie Mae Second Quarter 2021 Form 10-Q
14

MD&A | Consolidated Results of Operations
For the Six Months Ended June 30,
20212020
Average Balance
Interest Income/ (Expense)
Average Rates Earned/Paid
Average Balance
Interest Income/ (Expense)
Average Rates Earned/Paid
(Dollars in millions)
Interest-earning assets:
Mortgage loans of Fannie Mae(2)
$103,372 $1,607 3.11 %$108,668 $2,044 3.76 %
Mortgage loans of consolidated trusts(2)
3,658,573 46,678 2.55 3,287,673 53,901 3.28 
Total mortgage loans(3)
3,761,945 48,285 2.57 3,396,341 55,945 3.29 
Mortgage-related securities
7,018 84 2.39 10,926 215 3.94 
Non-mortgage-related securities(4)
148,576 215 0.29 84,370 377 0.88 
Federal funds sold and securities purchased under agreements to resell or similar arrangements
60,769 12 0.04 37,911 121 0.63 
Advances to lenders
9,438 73 1.54 7,167 59 1.63 
Total interest-earning assets
$3,987,746 48,669 2.44 %$3,536,715 56,717 3.21 %
Interest-bearing liabilities:
Short-term funding debt
$6,768 (4)0.12 %$41,309 (156)0.75 %
Long-term funding debt(2)
252,853 (1,433)1.13 162,661 (1,564)1.92 
CAS debt
14,561 (302)4.15 19,765 (508)5.14 
Total debt of Fannie Mae
274,182 (1,739)1.27 223,735 (2,228)1.99 
Debt securities of consolidated trusts held by third parties
3,693,674 (31,902)1.73 3,315,963 (43,365)2.62 
Total interest-bearing liabilities
$3,967,856 (33,641)1.70 %$3,539,698 (45,593)2.58 %
Net interest income/net interest yield
$15,028 0.75 %$11,124 0.63 %
(1)Includes the effects of discounts, premiums and other cost basis adjustments. For the second quarter and first half of 2021, includes cost basis adjustments related to hedge accounting.
(2)Includes income of $66 million and $88 million from hedged funding debt, hedged mortgage loans and paired interest-rate swaps for the second quarter and first half of 2021, respectively. Substantially all of this amount is related to the hedged funding debt and paired interest-rate swaps. There was no income or expense from hedge accounting for the second quarter or first half of 2020.
(3)Average balance includes mortgage loans on nonaccrual status. For nonaccrual mortgage loans not subject to the COVID-19-related nonaccrual guidance, interest income is recognized when cash is received. Interest income from the amortization of loan fees, primarily consisting of upfront cash fees and yield maintenance fees, was $2.4 billion and $4.9 billion, respectively, for the second quarter and first half of 2021, compared to $2.4 billion and $4.0 billion, respectively, for the second quarter and first half of 2020.
(4)Consists of cash, cash equivalents and U.S. Treasury securities.
Fannie Mae Second Quarter 2021 Form 10-Q
15

MD&A | Consolidated Results of Operations
Analysis of Deferred Amortization Income
We initially recognize mortgage loans and debt of consolidated trusts in our condensed consolidated balance sheets at fair value. The difference between the initial fair value and the carrying value of these instruments is recorded as a cost basis adjustment, either as a premium or a discount, in our condensed consolidated balance sheets. We amortize these cost basis adjustments over the contractual lives of the loans or debt. On a net basis, for mortgage loans and debt of consolidated trusts, we are in a premium position with respect to debt of consolidated trusts, which represents deferred income we will recognize in our condensed consolidated statements of operations and comprehensive income as net interest income in future periods.
Deferred Income Represented by Net Premium Position
on Debt of Consolidated Trusts
(Dollars in billions)
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Investment Gains (Losses), Net
Investment gains (losses), net primarily includes gains and losses recognized from the sale of available-for-sale (“AFS”) securities, sale of loans, gains and losses recognized on the consolidation and deconsolidation of securities, and lower of cost or fair value adjustments on held for sale (“HFS”) loans.
The increase in net investment gains in the second quarter of 2021 compared with the second quarter of 2020 and the shift from net investment losses in the first half of 2020 to net investment gains in the first half of 2021 was primarily driven by a significant increase in the volume of sales of single-family HFS loans in the 2021 periods.
Fair Value Gains (Losses), Net
The estimated fair value of our derivatives, trading securities and other financial instruments carried at fair value may fluctuate substantially from period to period because of changes in interest rates, the yield curve, mortgage and credit spreads and implied volatility, as well as activity related to these financial instruments.
As discussed above in “Hedge Accounting Impact,” we began applying fair value hedge accounting in January 2021 to reduce earnings volatility in our financial statements driven by changes in interest rates. Accordingly, we now recognize the fair value gains and losses and the contractual interest income and expense associated with risk management derivatives designated in qualifying hedging relationships in net interest income. Prior to the implementation of our hedge accounting program, these fair value changes were included in fair value gains (losses), net. Derivatives not designated in hedging relationships are unaffected by this change.
Fannie Mae Second Quarter 2021 Form 10-Q
16

MD&A | Consolidated Results of Operations
The table below displays the components of our fair value gains and losses.
Fair Value Gains (Losses), Net
For the Three Months Ended June 30,For the Six Months Ended June 30,
2021202020212020
(Dollars in millions)
Risk management derivatives fair value gains (losses) attributable to:
Net contractual interest income (expense) on interest-rate swaps$61 $(64)$104 $(170)
Net change in fair value during the period374 126 (637)(129)
Impact of the presentation of fair value gains (losses) in net interest income for risk management derivatives designated in fair value hedges(1)
(371)— 753 — 
Risk management derivatives fair value gains (losses), net64 62 220 (299)
Mortgage commitment derivatives fair value gains (losses), net
(553)(662)529 (1,655)
Credit enhancement derivatives fair value gains (losses), net
(18)31 (108)20 
Total derivatives fair value gains (losses), net
(507)(569)641 (1,934)
Trading securities gains (losses), net
161 135 (597)782 
CAS debt fair value gains (losses), net
(25)(163)(26)474 
Other, net(2)
(75)(421)320 (616)
Fair value gains (losses), net$(446)$(1,018)$338 $(1,294)
(1)Consists of the presentation of $317 million in fair value gains and $54 million in contractual interest income for the three months ended June 30, 2021 and $861 million in fair value losses and $108 million in contractual interest income for the six months ended June 30, 2021 in net interest income, for designated interest-rate swaps as a result of fair value hedge accounting.
(2)Consists of fair value gains and losses on non-CAS debt and mortgage loans held at fair value.
Fair value losses, net in the second quarter of 2021 were primarily driven by decreases in the fair value of mortgage commitment derivatives due to losses on commitments to sell mortgage-related securities as prices increased during the commitment period as interest rates declined. These losses were partially offset by gains on trading securities due to decreases in U.S. Treasury yields during the second quarter of 2021, which resulted in gains on fixed-rate securities held in our other investments portfolio as prices rose.
Fair value gains, net in the first half of 2021 were primarily driven by:
the application of hedge accounting resulting in the presentation of fair value losses on designated interest-rate swaps in “net interest income;”
increases in the fair value of mortgage commitment derivatives due to gains on commitments to sell mortgage-related securities as prices decreased during the commitment period as interest rates increased; and
decreases in the fair value of long-term debt of consolidated trusts held at fair value, which are included in “Other, net,” due to increases in interest rates.
These gains were partially offset by fair value losses in the first half of 2021 on trading securities, primarily driven by increases in interest rates during the first quarter, which resulted in losses on fixed-rate securities held in our other investments portfolio.
Fair value losses, net in the second quarter of 2020 were primarily driven by:
decreases in the fair value of mortgage commitment derivatives due to losses on commitments to sell mortgage-related securities as prices increased during the commitment period as interest rates declined, which were partially offset by gains on commitments to buy mortgage-related securities;
increases in the fair value of long-term debt of consolidated trusts held at fair value, which are included in “Other, net,” due to declines in interest rates; and
losses on CAS debt reported at fair value resulting from tightening spreads between CAS debt yields and LIBOR during the period.
These losses were partially offset by fair value gains in the second quarter of 2020 on trading securities primarily driven by declines in interest rates, which resulted in gains on mortgage-related securities held in our retained mortgage portfolio.
Fannie Mae Second Quarter 2021 Form 10-Q
17

MD&A | Consolidated Results of Operations
Fair value losses, net in the first half of 2020 were primarily driven by:
•     decreases in the fair value of mortgage commitment derivatives due to losses on commitments to sell mortgage-related securities as prices increased during the commitment period as interest rates declined, which were partially offset by gains on commitments to buy mortgage-related securities;
•     increases in the fair value of long-term debt of consolidated trusts held at fair value, which are included in “Other, net,” due to declines in interest rates; and
•     net interest expense on risk management derivatives combined with decreases in the fair value of pay-fixed risk management derivatives due to declines in swap rates, which were partially offset by increases in the fair value of receive-fixed risk management derivatives.
These losses were partially offset by fair value gains in the first half of 2020 on trading securities and CAS debt, primarily driven by declines in interest rates and widened spreads between CAS debt yields and LIBOR, which resulted in gains on fixed-rate securities held in our other investments portfolio and our CAS debt held at fair value.
Credit-Related Income (Expense)
Our credit-related income or expense can vary substantially from period to period based on a number of factors, such as changes in actual and forecasted home prices or property valuations, fluctuations in actual and forecasted interest rates, borrower payment behavior, events such as natural disasters or pandemics, the types and volume of our loss mitigation activities, including forbearances and loan modifications, the volume of foreclosures completed and the redesignation of loans from held for investment (“HFI”) to HFS.
Our credit-related income or expense and our loss reserves can also be impacted by updates to the models, assumptions and data used in determining our allowance for loan losses. As described below, since the onset of the COVID-19 pandemic in early 2020, our credit-related income or expense and our loss reserves have been significantly affected by our estimates of the impact of the pandemic and the pace and strength of the economy’s subsequent recovery, which require significant management judgment. Changes in our expectations regarding the length of time borrowers remain in forbearance, and even more significantly, the loss mitigation outcomes of affected borrowers after the forbearance period ends, remain uncertain and can affect the amount of credit-related income or expense we recognize. Although we believe the estimates underlying our allowance are reasonable, we may observe future volatility in these estimates as we continue to observe actual loan performance data and update our models and assumptions relating to this unprecedented event.
Fannie Mae Second Quarter 2021 Form 10-Q
18

MD&A | Consolidated Results of Operations
Benefit (Provision) for Credit Losses
The table below provides a quantitative analysis of the drivers of our single-family and multifamily benefit or provision for credit losses and the change in expected credit enhancement recoveries. The benefit or provision for credit losses includes our benefit or provision for loan losses, accrued interest receivable losses and our guaranty loss reserves, and excludes credit losses on our AFS securities. It also excludes the transition impact of adopting Accounting Standards Update (“ASU”) 2016-13, Financial Instruments—Credit Losses, Measurement of Credit Losses on Financial Instruments, (the “CECL standard”), which was recorded as an adjustment to retained earnings as of January 1, 2020. Many of the drivers that contribute to our benefit or provision for credit losses overlap or are interdependent. The attribution shown below is based on internal allocation estimates.
Components of Benefit (Provision) for Credit Losses and Change in Expected Credit Enhancement Recoveries
For the Three Months Ended June 30,For the Six Months Ended June 30,
2021202020212020
(Dollars in millions)
Single-family benefit (provision) for credit losses:
Changes in loan activity(1)
$33 $(70)$(30)$(67)
Redesignation of loans from HFI to HFS
678 — 985 175 
Actual and forecasted home prices
1,124 337 2,303 (584)
Actual and projected interest rates
304 84