Mortgage Loans

6 Months Ended

Jun. 30, 2012

Mortgage Loans on Real Estate [Abstract]

The following table displays our mortgage loans as of June 30, 2012 and December 31, 2011.



	As of
	June 30, 2012												December 31, 2011
	Of Fannie Mae				Of Consolidated Trusts				Total				Of Fannie Mae				Of Consolidated Trusts				Total
	(Dollars in millions)
Single-family		$	316,090			$	2,475,043			$	2,791,133			$	319,496			$	2,470,533			$	2,790,029
Multifamily		69,463				111,346				180,809				77,026				99,872				176,898
Total unpaid principal balance of mortgage loans		385,553				2,586,389				2,971,942				396,522				2,570,405				2,966,927
Cost basis and fair value adjustments, net		(15,510		)		30,185				14,675				(16,143		)		19,993				3,850
Allowance for loan losses for loans held for investment		(52,082		)		(11,293		)		(63,375		)		(57,309		)		(14,847		)		(72,156		)
Total mortgage loans		$	317,961			$	2,605,281			$	2,923,242			$	323,070			$	2,575,551			$	2,898,621

During the three and six months ended June 30, 2012, we redesignated loans with a carrying value of $14 million from held for investment (“HFI”) to held for sale (“HFS”). During the three months ended June 30, 2011, there were no loans redesignated from HFI to HFS. During the six months ended June 30, 2011, we redesignated loans with a carrying value of $561 million from HFI to HFS.

Nonaccrual Loans

We discontinue accruing interest on loans when we believe collectibility of principal or interest is not reasonably assured, which for single-family loans we have determined, based on our historical experience, to be when the loan becomes 60 days or more past due according to its contractual terms. We generally place multifamily loans on nonaccrual status when the loan is deemed to be individually impaired, unless the loan is well secured such that collectibility of principal and accrued interest is reasonably assured.

When a loan is placed on nonaccrual status, interest previously accrued but not collected becomes part of our recorded investment in the loan and is collectively reviewed for impairment. For single-family loans, we recognize interest income for loans on nonaccrual status when cash is received. For multifamily loans on nonaccrual status, we apply any payment received on a cost recovery basis to reduce principal on the mortgage loan.

We return a single-family loan to accrual status at the point that the borrower has made sufficient payments to reduce their delinquency below our nonaccrual threshold. For modified single-family loans, the loan is not returned to accrual status until the borrower successfully makes all required payments during the trial period (generally three to four months) and the modification is made permanent. We generally return a multifamily loan to accrual status when the borrower cures the delinquency of the loan or we otherwise determine that the loan is well secured such that collectibility is reasonably assured.

Aging Analysis

The following tables display an aging analysis of the total recorded investment in our HFI mortgage loans, excluding loans for which we have elected the fair value option, by portfolio segment and class as of June 30, 2012 and December 31, 2011.



	As of June 30, 2012⁽¹⁾
	30 - 59 Days Delinquent			60 - 89 Days Delinquent			Seriously Delinquent⁽²⁾			Total Delinquent			Current		Total		Recorded Investment in Loans 90 Days or More Delinquent and Accruing Interest			Recorded Investment in Nonaccrual Loans
	(Dollars in millions)
Single-family:
Primary⁽³⁾		$	38,978		$	12,844		$	73,084		$	124,906	$	2,387,341	$	2,512,247		$	105	$	85,781
Government⁽⁴⁾		86			42			328			456		50,884		51,340			328		—
Alt-A		6,297			2,522			25,048			33,867		131,105		164,972			16		27,549
Other⁽⁵⁾		2,911			1,158			9,829			13,898		66,441		80,339			76		10,842
Total single-family		48,272			16,566			108,289			173,127		2,635,771		2,808,898			525		124,172
Multifamily⁽⁶⁾		169			NA			540			709		182,640		183,349			—		2,072
Total		$	48,441		$	16,566		$	108,829		$	173,836	$	2,818,411	$	2,992,247		$	525	$	126,244



	As of December 31, 2011⁽¹⁾
	30 - 59 Days Delinquent			60 - 89 Days Delinquent			Seriously Delinquent⁽²⁾			Total Delinquent			Current		Total		Recorded Investment in Loans 90 Days or More Delinquent and Accruing Interest			Recorded Investment in Nonaccrual Loans
	(Dollars in millions)
Single-family:
Primary⁽³⁾		$	43,516		$	15,282		$	80,712		$	139,510	$	2,341,646	$	2,481,156		$	111	$	95,959
Government⁽⁴⁾		109			49			327			485		51,391		51,876			327		—
Alt-A		7,155			3,054			28,323			38,532		138,880		177,412			14		31,356
Other⁽⁵⁾		3,403			1,431			11,277			16,111		73,115		89,226			96		12,533
Total single-family		54,183			19,816			120,639			194,638		2,605,032		2,799,670			548		139,848
Multifamily⁽⁶⁾		210			NA			1,105			1,315		177,906		179,221			—		2,764
Total		$	54,393		$	19,816		$	121,744		$	195,953	$	2,782,938	$	2,978,891		$	548	$	142,612

__________


⁽¹⁾	Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable.


⁽²⁾	Single-family seriously delinquent loans are loans that are 90 days or more past due or in the foreclosure process. Multifamily seriously delinquent loans are loans that are 60 days or more past due.


⁽³⁾	Consists of mortgage loans that are not included in other loan classes.


⁽⁴⁾	Consists of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not Alt-A. Primarily consists of reverse mortgages which due to their nature are not aged and are included in the current column.


⁽⁵⁾	Includes loans with higher-risk loan characteristics, such as interest-only loans and negative-amortizing loans that are neither government nor Alt-A.


⁽⁶⁾	Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.

Credit Quality Indicators

The following table displays the total recorded investment in our single-family HFI loans, excluding loans for which we have elected the fair value option, by class and credit quality indicator as of June 30, 2012 and December 31, 2011. The single-family credit quality indicator is updated quarterly.



	As of
	June 30, 2012⁽¹⁾⁽²⁾							December 31, 2011⁽¹⁾⁽²⁾
	Primary⁽³⁾		Alt-A		Other⁽⁴⁾				Primary⁽³⁾		Alt-A		Other⁽⁴⁾
	(Dollars in millions)
Estimated mark-to-market LTV ratio:⁽⁵⁾
Less than or equal to 80%	$	1,582,116	$	58,906		$	22,573		$	1,464,348	$	61,618		$	23,414
Greater than 80%and less than or equal to 90%	372,620		19,484			8,067			412,342		21,369			9,224
Greater than 90%and less than or equal to 100%	233,739		18,011			8,228			246,648		19,790			9,445
Greater than 100%and less than or equal to 110%	116,616		15,292			7,985			128,428		16,164			8,951
Greater than 110% and less than or equal to 120%	67,940		11,992			7,223			73,836		12,534			7,912
Greater than 120% and less than or equal to 125%	24,343		4,852			3,118			25,750		5,087			3,557
Greater than 125%	114,873		36,435			23,145			129,804		40,850			26,723
Total	$	2,512,247	$	164,972		$	80,339		$	2,481,156	$	177,412		$	89,226

__________


⁽¹⁾	Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable.


⁽²⁾	Excludes $51.3 billion and $51.9 billion as of June 30, 2012 and December 31, 2011, respectively, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not Alt-A loans. The segment class is primarily reverse mortgages for which we do not calculate an estimated mark-to-market LTV.


⁽³⁾	Consists of mortgage loans that are not included in other loan classes.


⁽⁴⁾	Includes loans with higher-risk loan characteristics, such as interest-only loans and negative-amortizing loans that are neither government nor Alt-A.


⁽⁵⁾	The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan as of the end of each reported period divided by the estimated current value of the property, which we calculate using an internal valuation model that estimates periodic changes in home value.

The following table displays the total recorded investment in our multifamily HFI loans, excluding loans for which we have elected the fair value option, by credit quality indicator as of June 30, 2012 and December 31, 2011. The multifamily credit quality indicator is updated quarterly.



	As of
	June 30,			December 31,
	2012⁽¹⁾			2011⁽¹⁾
	(Dollars in millions)
Credit risk profile by internally assigned grade:⁽²⁾
Green		$	142,759		$	131,740
Yellow⁽³⁾		23,314			28,354
Orange		16,164			17,355
Red		1,112			1,772
Total		$	183,349		$	179,221

__________


⁽¹⁾	Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable.


⁽²⁾	Green (loan with acceptable risk); yellow (loan with signs of potential weakness); orange (loan with a well defined weakness that may jeopardize the timely full repayment); and red (loan with a weakness that makes timely collection or liquidation in full more questionable based on existing conditions and values).


⁽³⁾	Includes approximately $5.6 billion and $6.9 billion of unpaid principal balance as of June 30, 2012 and December 31, 2011, respectively, classified as yellow due to no available financial information.

Individually Impaired Loans

Individually impaired loans include TDRs, acquired credit-impaired loans, and multifamily loans that we have assessed as probable that we will not collect all contractual amounts due, regardless of whether we are currently accruing interest. The following tables display the total recorded investment, unpaid principal balance, and related allowance as of June 30, 2012 and December 31, 2011 and interest income recognized and average recorded investment for the three and six months ended June 30, 2012 and 2011 for individually impaired loans.



	As of
	June 30, 2012										December 31, 2011
	Unpaid Principal Balance			Total Recorded Investment⁽¹⁾			Related Allowance for Loan Losses		Related Allowance for Accrued Interest Receivable		Unpaid Principal Balance			Total Recorded Investment⁽¹⁾			Related Allowance for Loan Losses		Related Allowance for Accrued Interest Receivable
	(Dollars in millions)
Individually impaired loans:
With related allowance recorded:
Single-family:
Primary⁽²⁾		$	117,485		$	110,755	$	27,183	$	568		$	116,825		$	109,684	$	29,598	$	674
Government⁽³⁾		188			185		28		4			258			258		67		8
Alt-A		34,513			31,801		10,358		225			34,318			31,516		11,121		268
Other⁽⁴⁾		16,011			15,230		4,838		80			16,181			15,363		5,353		99
Total single-family		168,197			157,971		42,407		877			167,582			156,821		46,139		1,049
Multifamily		2,475			2,498		508		13			2,832			2,855		718		32
Total individually impaired loans with related allowance recorded		170,672			160,469		42,915		890			170,414			159,676		46,857		1,081

With no related allowance recorded:⁽⁵⁾
Single-family:
Primary⁽²⁾		11,364			8,410		—		—			9,370			6,471		—		—
Government⁽³⁾		116			112		—		—			25			17		—		—
Alt-A		3,297			1,825		—		—			3,056			1,538		—		—
Other⁽⁴⁾		749			441		—		—			680			367		—		—
Total single-family		15,526			10,788		—		—			13,131			8,393		—		—
Multifamily		1,755			1,764		—		—			1,759			1,771		—		—
Total individually impaired loans with no related allowance recorded		17,281			12,552		—		—			14,890			10,164		—		—
Total individually impaired loans⁽⁶⁾		$	187,953		$	173,021	$	42,915	$	890		$	185,304		$	169,840	$	46,857	$	1,081



	For the Three Months Ended June 30,
	2012									2011
	Average Recorded Investment			Total Interest Income Recognized⁽⁷⁾			Interest Income Recognized on a Cash Basis			Average Recorded Investment			Total Interest Income Recognized⁽⁷⁾			Interest Income Recognized on a Cash Basis
	(Dollars in millions)
Individually impaired loans:
With related allowance recorded:
Single-family:
Primary⁽²⁾		$	110,527		$	967		$	149		$	97,984		$	911		$	326
Government⁽³⁾		204			3			—			274			3			—
Alt-A		31,600			253			35			28,862			239			96
Other⁽⁴⁾		15,218			110			16			14,158			106			41
Total single-family		157,549			1,333			200			141,278			1,259			463
Multifamily		2,499			34			1			2,055			23			2
Total individually impaired loans with related allowance recorded		160,048			1,367			201			143,333			1,282			465

With no related allowance recorded:⁽⁵⁾
Single-family:
Primary⁽²⁾		7,367			254			61			7,399			144			31
Government⁽³⁾		88			1			—			15			3			—
Alt-A		1,672			60			13			1,959			53			7
Other⁽⁴⁾		399			20			6			541			13			3
Total single-family		9,526			335			80			9,914			213			41
Multifamily		1,712			26			—			686			10			2
Total individually impaired loans with no related allowance recorded		11,238			361			80			10,600			223			43
Total individually impaired loans		$	171,286		$	1,728		$	281		$	153,933		$	1,505		$	508



	For the Six Months Ended June 30,
	2012									2011
	Average Recorded Investment			Total Interest Income Recognized⁽⁷⁾			Interest Income Recognized on a Cash Basis			Average Recorded Investment			Total Interest Income Recognized⁽⁷⁾			Interest Income Recognized on a Cash Basis
	(Dollars in millions)
Individually impaired loans:
With related allowance recorded:
Single-family:
Primary⁽²⁾		$	110,154		$	1,940		$	322		$	97,723		$	1,815		$	367
Government⁽³⁾		227			6			—			265			6			—
Alt-A		31,543			506			74			29,213			481			98
Other⁽⁴⁾		15,232			220			34			14,108			212			47
Total single-family		157,156			2,672			430			141,309			2,514			512
Multifamily		2,620			65			1			2,135			48			3
Total individually impaired loans with related allowance recorded		159,776			2,737			431			143,444			2,562			515

With no related allowance recorded:⁽⁵⁾
Single-family:
Primary⁽²⁾		7,053			438			115			5,695			252			88
Government⁽³⁾		58			3			—			11			4			—
Alt-A		1,628			111			28			1,331			86			26
Other⁽⁴⁾		390			39			13			385			21			7
Total single-family		9,129			591			156			7,422			363			121
Multifamily		1,732			47			1			711			25			5
Total individually impaired loans with no related allowance recorded		10,861			638			157			8,133			388			126
Total individually impaired loans		$	170,637		$	3,375		$	588		$	151,577		$	2,950		$	641

__________


⁽¹⁾	Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable.


⁽²⁾	Consists of mortgage loans that are not included in other loan classes.


⁽³⁾	Consists of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not

Alt-A.


⁽⁴⁾	Includes loans with higher-risk characteristics, such as interest-only loans and negative-amortizing loans that are neither government nor Alt-A.


⁽⁵⁾	The discounted cash flows or collateral value equals or exceeds the carrying value of the loan and, as such, no valuation allowance is required.


⁽⁶⁾	Includes single-family loans restructured in a TDR with a recorded investment of $165.9 billion and $161.9 billion as of June 30, 2012 and December 31, 2011, respectively. Includes multifamily loans restructured in a TDR with a recorded investment of $1.0 billion and $956 million as of June 30, 2012 and December 31, 2011, respectively.

⁽⁷⁾

Total single-family interest income recognized of $1.7 billion and $1.5 billion for the three months ended June 30, 2012 and 2011, respectively, consists of $1.2 billion and $1.1 billion of contractual interest and $436 million and $383 million of effective yield adjustments. Total single-family interest income recognized of $3.3 billion and $2.9 billion for the six months ended June 30, 2012 and 2011, respectively, consists of $2.4 billion and $2.1 billion of contractual interest and $823 million and $735 million of effective yield adjustments.

Troubled Debt Restructurings

A modification to the contractual terms of a loan that results in granting a concession to a borrower experiencing financial difficulties is considered a TDR. In addition to formal loan modifications, we also engage in other loss mitigation activities with troubled borrowers, which include repayment plans and forbearance arrangements, both of which represent informal agreements with the borrower that do not result in the legal modification of the loan’s contractual terms. We account for these informal restructurings as a TDR if we defer more than three missed payments. The substantial majority of the loan modifications we complete result in term extensions, interest rate reductions or a combination of both. During the three months ended June 30, 2012 and 2011, the average term extension of a single-family modified loan was 119 and 76 months, respectively, and the average interest rate reduction was 2.34 and 3.37 percentage points, respectively. During the six months ended June 30, 2012 and 2011, the average term extension of a single-family modified loan was 124 and 71 months, respectively, and the average interest rate reduction was 2.30 and 3.46 percentage points, respectively.

The following table displays the number of loans and recorded investment in loans restructured in a TDR for the three and six months ended June 30, 2012 and 2011.



	For the Three Months Ended June 30,
	2012					2011
	Number of Loans		RecordedInvestment ⁽¹⁾			Number of Loans		RecordedInvestment ⁽¹⁾
	(Dollars in millions)
Single-family:
Primary⁽²⁾		31,886		$	5,367		35,192		$	6,365
Government⁽³⁾		92		14			122		21
Alt-A		6,293		1,286			7,292		1,586
Other⁽⁴⁾		2,193		549			3,399		851
Total single-family		40,464		7,216			46,005		8,823
Multifamily		8		65			19		109
Total troubled debt restructurings		40,472		$	7,281		46,024		$	8,932



	For the Six Months Ended June 30,
	2012					2011
	Number of Loans		RecordedInvestment ⁽¹⁾			Number of Loans		RecordedInvestment ⁽¹⁾
	(Dollars in millions)
Single-family:
Primary⁽²⁾		58,770		$	9,954		71,957		$	13,189
Government⁽³⁾		202		28			296		62
Alt-A		10,938		2,253			14,790		3,267
Other⁽⁴⁾		3,853		958			6,995		1,771
Total single-family		73,763		13,193			94,038		18,289
Multifamily		21		133			29		175
Total troubled debt restructurings		73,784		$	13,326		94,067		$	18,464

__________

⁽¹⁾

Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable. Based on the nature of our modification programs, which do not include principal or interest forgiveness, there is not a material difference between the recorded investment in our loans pre- and post- modification, therefore amounts represent recorded investment post-modification.


⁽²⁾	Consists of mortgage loans that are not included in other loan classes.


⁽³⁾	Consists of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not Alt-A.


⁽⁴⁾	Includes loans with higher-risk characteristics, such as interest-only loans and negative-amortizing loans that are neither government nor Alt-A.

The following table displays the number of loans and recorded investment in loans that had a payment default for the three and six months ended June 30, 2012 and 2011 and were modified in a TDR in the twelve months prior to the payment default. For purposes of this disclosure, we define loans that had a payment default as single-family and multifamily loans with completed TDRs that liquidated during the period, either through foreclosure, deed-in-lieu of foreclosure or a short sale, single-family loans with completed modifications that are two or more months delinquent during the period or multifamily loans with completed modifications that are one or more months delinquent during the period.



	For the Three Months Ended June 30,
	2012					2011
	Number of Loans		RecordedInvestment ⁽¹⁾			Number of Loans		RecordedInvestment ⁽¹⁾
	(Dollars in millions)
Single-family:
Primary⁽²⁾		10,704		$	1,827		16,041		$	2,822
Government⁽³⁾		49		7			104		30
Alt-A		2,016		403			3,687		813
Other⁽⁴⁾		961		235			1,673		407
Total single-family		13,730		2,472			21,505		4,072
Multifamily		1		1			5		25
Total TDRs that subsequently defaulted		13,731		$	2,473		21,510		$	4,097



	For the Six Months Ended June 30,
	2012					2011
	Number of Loans		RecordedInvestment ⁽¹⁾			Number of Loans		RecordedInvestment ⁽¹⁾
	(Dollars in millions)
Single-family:
Primary⁽²⁾		22,576		$	3,901		37,987		$	6,696
Government⁽³⁾		99		17			182		51
Alt-A		4,259		869			8,696		1,879
Other⁽⁴⁾		2,156		523			3,865		937
Total single-family		29,090		5,310			50,730		9,563
Multifamily		2		3			8		49
Total TDRs that subsequently defaulted		29,092		$	5,313		50,738		$	9,612

__________


⁽¹⁾	Recorded investment consists of unpaid principal balance, unamortized premiums, discounts and other cost basis adjustments, and accrued interest receivable. Represents our recorded investment in the loan at time of payment default.


⁽²⁾	Consists of mortgage loans that are not included in other loan classes.


⁽³⁾	Consists of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies that are not Alt-A.


⁽⁴⁾	Includes loans with higher-risk characteristics, such as interest-only loans and negative-amortizing loans that are neither government nor Alt-A.