We invest in mortgage loans through the Mortgage Partnership Finance (MPF) program. These mortgage loans are either guaranteed or insured by federal agencies, as is the case with government mortgage loans, or are credit-enhanced, directly or indirectly, by the related entity that sold the loan (a participating financial institution), as is the case with conventional mortgage loans. All such investments are held for portfolio.

Table 6.1 - Mortgage Loans Held for Portfolio (dollars in thousands)

	March 31, 2020			December 31, 2019
Real estate
Fixed-rate 15-year single-family mortgages	$	327,700		$	339,042
Fixed-rate 20- and 30-year single-family mortgages	4,134,314			4,093,416
Premiums	66,933			66,776
Discounts	(1,535		)	(1,607		)
Deferred derivative gains, net	4,562			4,124
Total mortgage loans held for portfolio⁽¹⁾	4,531,974			4,501,751
Less: allowance for credit losses	(3,500		)	(500		)
Total mortgage loans, net of allowance for credit losses	$	4,528,474		$	4,501,251

Table 6.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (dollars in thousands)

	March 31, 2020		December 31, 2019
Conventional mortgage loans	$	4,180,145	$	4,140,255
Government mortgage loans	281,869		292,203
Total par value	$	4,462,014	$	4,432,458

Credit Enhancements. Our allowance for credit losses factors in the credit-enhancements associated with conventional mortgage loans under the MPF program. These credit-enhancements can include primary and/or supplemental mortgage insurance or other kinds of credit enhancement. Potential recoveries from credit enhancements for conventional loans are evaluated at the individual master commitment level to determine the credit-enhancements available to recover losses on loans under each individual master commitment.

Payment Status of Mortgage Loans. Payment status is a key credit quality indicator for conventional mortgage loans and allows us to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and

loans in process of foreclosure. Tables 6.3 and 6.4 present the payment status for conventional mortgage loans and other delinquency statistics for all mortgage loans at March 31, 2020, and December 31, 2019.

Table 6.3 - Credit Quality Indicator for Conventional Mortgage Loans (dollars in thousands)

	March 31, 2020
	Origination Year
Payment Status at Amortized Cost⁽¹⁾	Prior to 2016		2016 to 2020		Total
Past due 30-59 days delinquent	$	14,166	$	14,575	$	28,741
Past due 60-89 days delinquent	3,502		3,717		7,219
Past due 90 days or more delinquent	6,830		4,129		10,959
Total past due	24,498		22,421		46,919
Total current loans	1,643,888		2,553,578		4,197,466
Total mortgage loans	$	1,668,386	$	2,575,999	$	4,244,385



	December 31, 2019
Payment Status at Recorded Investment⁽¹⁾	Conventional Mortgage Loans
Past due 30-59 days delinquent	$	36,336
Past due 60-89 days delinquent	6,911
Past due 90 days or more delinquent	10,696
Total past due	53,943
Total current loans	4,171,676
Total mortgage loans	$	4,225,619

Table 6.4 - Other Delinquency Statistics of Mortgage Loans (dollars in thousands)

	March 31, 2020
	Amortized Cost in Conventional Mortgage Loans			Amortized Cost in Government Mortgage Loans			Total
In process of foreclosure ⁽¹⁾	$	2,816		$	1,655		$	4,471
Serious delinquency rate ⁽²⁾	0.26		%	1.85		%	0.36		%
Past due 90 days or more still accruing interest	$	—		$	5,317		$	5,317
Loans on nonaccrual status ⁽³⁾	$	11,890		$	—		$	11,890



	December 31, 2019
	Recorded Investment in Conventional Mortgage Loans			Recorded Investment in Government Mortgage Loans			Total
In process of foreclosure ⁽¹⁾	$	2,813		$	2,222		$	5,035
Serious delinquency rate ⁽²⁾	0.26		%	1.86		%	0.36		%
Past due 90 days or more still accruing interest	$	—		$	5,570		$	5,570
Loans on nonaccrual status ⁽³⁾	$	11,510		$	—		$	11,510

See Part II — Item 8 — Financial Statements and Supplementary Data — Note 11 — Allowance for Credit Losses in the 2019 Annual Report for information on the prior methodology for evaluating credit losses, as well as a discussion on classes of financing receivables, our policies for impairing financing receivables, placing them on non-accrual status, and charging them off when necessary.

Conventional Mortgage Loans. Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. We determine our allowance for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. We use a discounted cash flow model to project our expected losses. We use a third-party model to project cash flows to estimate the expected credit losses over the life of the loans. The model relies on a number of inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior. We incorporate associated credit enhancements and expected recoveries, if any, to determine our estimate of expected credit losses.

Certain conventional loans may be evaluated for credit losses by using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. We estimate the fair value of this collateral by using a third-party property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. We will reserve for these estimated losses or record a direct charge-off of the loan balance if certain triggering criteria are met.

Table 6.5 - Allowance for Credit Losses on Conventional Mortgage Loans (dollars in thousands)

	For the Three Months Ended March 31,
	2020			2019
Allowance for credit losses
Balance, beginning of period	$	500		$	500
Adjustment for cumulative effect of accounting change	2,221			—
Charge-offs	(77		)	(3		)
Provision for credit losses	856			3
Balance, end of period	$	3,500		$	500

Government Mortgage Loans Held for Portfolio. We invest in government mortgage loans secured by one- to four-family residential properties. Government mortgage loans are mortgage loans insured or guaranteed by the Federal Housing Administration (the FHA), the U.S. Department of Veterans Affairs (the VA), the Rural Housing Service of the U.S. Department of Agriculture (RHS), or by the U.S. Department of Housing and Urban Development (HUD).

The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable insurance

or guaranty with respect to defaulted government-guaranteed mortgage loans. Any losses incurred on these loans that are not recovered from the insurer or guarantor are absorbed by the related servicer. Therefore, we only have credit risk for these loans if the servicer fails to pay for losses not covered by insurance or guarantees. Due to government guarantees or insurance on our government loans, there is no allowance for credit losses for the government mortgage loan portfolio as of March 31, 2020, and December 31, 2019. Additionally, these mortgage loans are not placed on nonaccrual status due to the government guarantee or insurance on these loans and the contractual obligation of the loan servicers to repurchase their related loans when certain criteria are met.