v3.26.1
Fair Value Disclosures
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Fair Value Disclosures
Fair Value Disclosures
We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or non-recurring basis.
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option.
Table 13.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2026
(In millions)
Level 1Level 2Level 3
Netting Adjustments(1)
Total
Assets:
Investment securities:
Available-for-sale$— $2,263 $649 $— $2,912 
Trading:
Mortgage-related securities— 8,551 2,676 — 11,227 
Non-mortgage-related securities61,551 249 — — 61,800 
Total trading securities61,551 8,800 2,676 — 73,027 
Total investment securities61,551 11,063 3,325 — 75,939 
Mortgage loans held-for-investment— 6,190 716 — 6,906 
Other assets:
 Guarantee assets— — 4,495 — 4,495 
 Derivative assets, net31 5,243 60 (3,773)1,561 
 Other assets— — 238 — 238 
 Total other assets31 5,243 4,793 (3,773)6,294 
Total assets carried at fair value on a recurring basis$61,582 $22,496 $8,834 ($3,773)$89,139 
Liabilities:
Debt issued by consolidated trusts$— $5,936 $35 $— $5,971 
Long-term debt— 122 67 — 189 
Other liabilities:
Derivative liabilities, net3 4,879 96 (3,995)983 
Total liabilities carried at fair value on a recurring basis$3 $10,937 $198 ($3,995)$7,143 
 December 31, 2025
(In millions)Level 1Level 2Level 3
Netting Adjustments(1)
Total
Assets:
Investment securities:
Available-for-sale$— $2,616 $700 $— $3,316 
Trading:
Mortgage-related securities— 8,146 2,786 — 10,932 
Non-mortgage-related securities70,916 248 — — 71,164 
Total trading securities70,916 8,394 2,786 — 82,096 
Total investment securities70,916 11,010 3,486 — 85,412 
Mortgage loans held-for-investment— 5,587 1,418 — 7,005 
Other assets:
Guarantee assets— — 4,728 — 4,728 
Derivative assets, net 5 5,261 74 (3,874)1,466 
Other assets— — 227 — 227 
 Total other assets5 5,261 5,029 (3,874)6,421 
Total assets carried at fair value on a recurring basis$70,921 $21,858 $9,933 ($3,874)$98,838 
Liabilities:
Debt issued by consolidated trusts$— $5,808 $33 $— $5,841 
Long-term debt— 125 70 — 195 
Other liabilities:
Derivative liabilities, net— 4,708 52 (3,979)781 
 Total liabilities carried at fair value on a recurring basis$— $10,641 $155 ($3,979)$6,817 
(1)     Represents counterparty netting and cash collateral netting, and includes accrued interest receivable and payable.
Level 3 Fair Value Measurements
The table below presents a reconciliation of all assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of income for Level 3 assets and liabilities.
Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs
1Q 2026
(In millions)Investment SecuritiesMortgage Loans Held-for-InvestmentOther
Assets		Total
Liabilities
Balance at January 1, 2026$3,486 $1,418 $5,029 $155 
Total realized/unrealized gains/losses(1)
Included in earnings(84)(6)(27)24 
Included in other comprehensive income(22)— — — 
Purchases21 — (11)— 
Issues— — 20 21 
Sales— — — — 
Settlements, net(76)(57)(218)(2)
Transfers into Level 3— 39 — — 
Transfers out of Level 3— (678)— — 
Balance at March 31, 2026$3,325 $716 $4,793 $198 
Change in unrealized gains/losses(1) included in net income related to assets and liabilities still held as of March 31, 2026(2)
($19)($11)($28)$14 
Change in unrealized gains/losses(1), net of tax, included in OCI related to assets and liabilities still held as of March 31, 2026
(18)— — — 
 1Q 2025
(In millions)Investment SecuritiesMortgage Loans Held-for-SaleMortgage Loans Held-for-InvestmentOther
Assets		Total
Liabilities
Balance at January 1, 2025$3,610 $1,295 $841 $5,439 $241 
Total realized/unrealized gains/losses(1)
Included in earnings(17)3 10 79 (36)
Included in other comprehensive income5 — — — — 
Purchases88 32 — — — 
Issues— — — 153 3 
Sales— — — (6)— 
Settlements, net(42)— (55)(274)(3)
Transfers into Level 3— — 31 — 17 
Transfers out of Level 3— (1,175)(90)— (18)
Balance at March 31, 2025$3,644 $155 $737 $5,391 $204 
Change in unrealized gains/losses(1) included in net income related to assets and liabilities still held as of March 31, 2025(2)
$109 $3 $6 $79 ($36)
Change in unrealized gains/losses(1), net of tax, included in OCI related to assets and liabilities still held as of March 31, 2025
4 — — — — 
(1)For assets, increase and decrease in earnings and other comprehensive income is shown as gains and (losses), respectively. For liabilities, increase and decrease in earnings and comprehensive income is shown as (gains) and losses, respectively.
(2)Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at March 31, 2026 and March 31, 2025, respectively.
The table below provides the valuation technique, range, and weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis.
Table 13.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements
March 31, 2026
 
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(Dollars in millions, except for certain unobservable inputs as shown)

TypeRange
Weighted
Average(1)
Assets
Investment securities$2,402 External pricing sourcesPrice
$0.0 - $3,138.1
$77.2 
923 Other
Mortgage loans held-for-investment716 External pricing sourcesPrice
$25.3 - $104.9
$83.2 
Other assets4,197 Discounted cash flowsOAS
20 - 840 bps
49 bps
596 Other
Total Level 3 assets$8,834 
Liabilities
Total Level 3 liabilities$198 
 December 31, 2025
 
Level 3
Fair
Value
Predominant
Valuation
Technique(s)
Unobservable Inputs
(Dollars in millions, except for certain unobservable inputs as shown)

Type
Range
Weighted
Average(1)
Assets
Investment securities$2,532 External pricing sourcesPrice
$0.0 - $3,520.6
$82.1 
954 Other
Mortgage loans held-for-investment1,418 External pricing sourcesPrice
$48.4 - $105.8
$89.0 
Other assets4,424 Discounted cash flowsOAS
17 - 8,850 bps
50 bps
605 Other
Total Level 3 assets$9,933 
Liabilities
Total Level 3 liabilities$155 
(1)     Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.
Assets Measured at Fair Value on a Non-Recurring Basis
We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis. These adjustments usually result from the application of lower-of-cost-or-fair-value accounting or an allowance for credit losses based on the fair value of the underlying collateral.
The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.
Table 13.4 - Assets Measured at Fair Value on a Non-Recurring Basis
(In millions)March 31, 2026December 31, 2025
Mortgage loans held-for-investment:(1)
Level 2— 109 
Level 3(2)
754 508 
Total$754 $617 
(1)Includes loans that are classified as held-for-investment where we recognize credit losses, either through an allowance for credit losses or charge-off, based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost. The valuation date for certain items may occur during the period and not at period end.
(2)The predominant valuation technique used for Level 3 non-recurring fair value measurement at both March 31, 2026 and December 31, 2025 was external pricing sources. The unobservable inputs included a range of $77.2 - $104.5 and weighted average of $87.9 at March 31, 2026 and a range of $24.0 - $104.3 and weighted average of $85.7 at December 31, 2025.
Fair Value of Financial Instruments
The table below presents the carrying value and estimated fair value of our financial instruments. For certain types of financial instruments, such as cash and cash equivalents, securities purchased under agreements to resell, secured lending, and certain debt, the carrying value on our condensed consolidated balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility.
Table 13.5 - Fair Value of Financial Instruments
March 31, 2026
GAAP Measurement Category(1)
Carrying  Amount(2)
Fair Value
(In millions)Level 1Level 2Level 3
Netting 
Adjustments(3)
Total
Financial assets
Cash and cash equivalentsAmortized cost$4,469 $4,469 $— $— $— $4,469 
Securities purchased under agreements to resellAmortized cost74,804 — 79,128 — (4,324)74,804 
Investment securities:
Available-for-saleFV - OCI2,912 — 2,263 649 — 2,912 
TradingFV - NI73,027 61,551 8,800 2,676 — 73,027 
 Total investment securities75,939 61,551 11,063 3,325 — 75,939 
Mortgage loans held-for-saleLower-of-cost-or fair -value1,225 — 19 1,272 — 1,291 
Mortgage loans held-for-investment, net of allowance for credit losses
Various(4)
3,302,306 — 2,614,200 390,594 — 3,004,794 
Other assets:
Guarantee assetsFV - NI4,495 — — 4,497 — 4,497 
Derivative assets, netFV - NI1,561 31 5,243 60 (3,773)1,561 
Other assets(5)
Various(6)
3,356 — 504 3,073 — 3,577 
   Total other assets9,412 31 5,747 7,630 (3,773)9,635 
Total financial assets$3,468,155 $66,051 $2,710,157 $402,821 ($8,097)$3,170,932 
Financial liabilities
Debt issued by consolidated trusts
Various(7)
$3,214,995 $— $2,914,620 $376 $— $2,914,996 
Short-term debtAmortized cost24,408 — 24,405 — — 24,405 
Long-term debt
Various(8)
169,850 — 167,673 2,669 — 170,342 
Securities sold under agreements to repurchaseAmortized cost— — 4,324 — (4,324)— 
Other liabilities:
Guarantee obligationsAmortized cost4,258 — 91 5,799 — 5,890 
Derivative liabilities, netFV - NI983 3 4,879 96 (3,995)983 
Other liabilities(5)
FV - NI— — 291 54 — 345 
 Total other liabilities5,241 3 5,261 5,949 (3,995)7,218 
Total financial liabilities$3,414,494 $3 $3,116,283 $8,994 ($8,319)$3,116,961 
December 31, 2025
 
GAAP Measurement Category(1)
Carrying  Amount(2)
Fair Value
(In millions)Level 1Level 2Level 3
Netting Adjustments(3)
Total
Financial assets
Cash and cash equivalentsAmortized cost$5,327 $5,327 $— $— $— $5,327 
Securities purchased under agreements to resellAmortized cost71,919 — 78,378 — (6,459)71,919 
Investment securities:
Available-for-saleFV - OCI3,316 — 2,616 700 — 3,316 
TradingFV - NI82,096 70,916 8,394 2,786 — 82,096 
Total investment securities85,412 70,916 11,010 3,486 — 85,412 
Mortgage loans held-for-saleLower-of-cost-or fair -value1,014 — 139 939 — 1,078 
Mortgage loans held-for-investment, net of allowance for credit losses
Various(4)
3,290,066 — 2,626,057 382,754 — 3,008,811 
Other assets:
Guarantee assetsFV - NI4,728 — — 4,730 — 4,730 
Derivative assets, netFV - NI1,466 5 5,261 74 (3,874)1,466 
Other assets(5)
Various(6)
2,607 — 445 2,442 — 2,887 
Total other assets8,801 5 5,706 7,246 (3,874)9,083 
Total financial assets$3,462,539 $76,248 $2,721,290 $394,425 ($10,333)$3,181,630 
Financial liabilities
Debt issued by consolidated trusts
Various(7)
$3,198,008 $— $2,913,353 $434 $— $2,913,787 
Short-term debtAmortized cost37,718 — 37,727 — — 37,727 
Long-term debt
Various(8)
169,296 — 167,440 2,674 — 170,114 
Securities sold under agreements to repurchaseAmortized cost— — 6,459 — (6,459)— 
Other liabilities:
Guarantee obligationsAmortized cost4,494 — 92 6,104 — 6,196 
Derivative liabilities, netFV - NI781 — 4,708 52 (3,979)781 
Other liabilities(5)
FV - NI— — 184 78 — 262 
Total other liabilities5,275 — 4,984 6,234 (3,979)7,239 
Total financial liabilities$3,410,297 $— $3,129,963 $9,342 ($10,438)$3,128,867 
(1)FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.
(2)Excludes allowance for credit losses on off-balance sheet credit exposure.
(3)Represents counterparty netting and cash collateral netting, and includes accrued interest receivable and payable.
(4)The GAAP carrying amounts measured at amortized cost and FV - NI were $3.3 trillion and $6.9 billion as of March 31, 2026, respectively, and $3.3 trillion and $7.0 billion as of December 31, 2025, respectively.
(5)For other assets, includes advances to lenders, secured lending, and loan commitments. For other liabilities, includes loan commitments.
(6)The GAAP carrying amounts measured at amortized cost and FV - NI were $3.1 billion and $0.2 billion as of March 31, 2026, respectively, and $2.4 billion and $0.2 billion as of December 31, 2025, respectively.
(7)The GAAP carrying amounts measured at amortized cost and FV - NI were $3.2 trillion and $6.0 billion as of March 31, 2026, respectively, and $3.2 trillion and $5.8 billion as of December 31, 2025, respectively.
(8)The GAAP carrying amounts measured at amortized cost and FV - NI were $0.2 trillion and $0.2 billion as of March 31, 2026, respectively, and $0.2 trillion and $0.2 billion as of December 31, 2025, respectively.
Fair Value Option
We elected the fair value option for certain mortgage loans and loan commitments and certain debt issuances.
The table below presents the fair value and UPB related to items for which we have elected the fair value option.
Table 13.6 - Difference Between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected(1)
March 31, 2026December 31, 2025
(In millions)Fair ValueUPBDifferenceFair ValueUPBDifference
Mortgage loans held-for-investment6,906 7,073 (167)7,005 7,148 (143)
Long-term debt49 46 3 51 48 3 
Debt issued by consolidated trusts5,441 5,526 (85)5,387 5,445 ($58)
(1)    Excludes interest-only securities related to debt issued by consolidated trusts and long-term debt with a fair value of $0.7 billion as of March 31, 2026 and $0.6 billion as of December 31, 2025.
The table below presents the changes in fair value related to items for which we have elected the fair value option. These amounts are included in investment gains, net, on our condensed consolidated statements of income.
Table 13.7 - Changes in Fair Value Under the Fair Value Option Election
1Q 20261Q 2025
(In millions)Gains (Losses)
Mortgage loans held-for-sale$— $227 
Mortgage loans held-for-investment(24)48 
Long-term debt3 11 
Debt issued by consolidated trusts34 (47)
Other assets/other liabilities— 100 
Changes in fair value attributable to instrument-specific credit risk were not material for the periods presented for assets or liabilities for which we elected the fair value option.