Mortgage Loans

9 Months Ended

Sep. 30, 2012

Mortgage Loans on Real Estate [Abstract]

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



	As of
	September 30, 2012												December 31, 2011
	Of Fannie Mae				Of Consolidated Trusts				Total				Of Fannie Mae				Of Consolidated Trusts				Total
	(Dollars in millions)
Single-family		$	312,824			$	2,486,010			$	2,798,834			$	319,496			$	2,470,533			$	2,790,029
Multifamily		65,677				118,601				184,278				77,026				99,872				176,898
Total unpaid principal balance of mortgage loans		378,501				2,604,611				2,983,112				396,522				2,570,405				2,966,927
Cost basis and fair value adjustments, net		(15,042		)		37,838				22,796				(16,143		)		19,993				3,850
Allowance for loan losses for loans held for investment		(54,214		)		(8,798		)		(63,012		)		(57,309		)		(14,847		)		(72,156		)
Total mortgage loans		$	309,245			$	2,633,651			$	2,942,896			$	323,070			$	2,575,551			$	2,898,621

During the three and nine months ended September 30, 2012, we redesignated loans with a carrying value of $19 million and $33 million, respectively, from held for investment (“HFI”) to held for sale (“HFS”). During the three months ended September 30, 2011, there were no loans redesignated from HFI to HFS. During the nine months ended September 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 September 30, 2012 and December 31, 2011.



	As of September 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⁾		$	42,795		$	13,814		$	70,279		$	126,888	$	2,410,890	$	2,537,778		$	109	$	83,933
Government⁽⁴⁾		89			42			334			465		50,614		51,079			334		—
Alt-A		6,598			2,601			23,588			32,787		125,493		158,280			15		26,166
Other⁽⁵⁾		3,081			1,192			9,139			13,412		61,556		74,968			86		10,176
Total single-family		52,563			17,649			103,340			173,552		2,648,553		2,822,105			544		120,275
Multifamily⁽⁶⁾		182			NA			462			644		186,225		186,869			—		1,880
Total		$	52,745		$	17,649		$	103,802		$	174,196	$	2,834,778	$	3,008,974		$	544	$	122,155



	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 September 30, 2012 and December 31, 2011. The single-family credit quality indicator is updated quarterly.



	As of
	September 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%	$	1,678,404	$	59,408		$	22,737	$	1,464,348	$	61,618		$	23,414
Greater than 80%and less than or equal to 90%	350,088		19,010			7,729		412,342		21,369			9,224
Greater than 90%and less than or equal to 100%	219,307		17,503			7,888		246,648		19,790			9,445
Greater than 100%and less than or equal to 110%	104,161		14,588			7,591		128,428		16,164			8,951
Greater than 110% and less than or equal to 120%	61,721		11,261			6,709		73,836		12,534			7,912
Greater than 120% and less than or equal to 125%	21,803		4,504			2,844		25,750		5,087			3,557
Greater than 125%	102,294		32,006			19,470		129,804		40,850			26,723
Total	$	2,537,778	$	158,280		$	74,968	$	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 $51.1 billion and $51.9 billion as of September 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 September 30, 2012 and December 31, 2011. The multifamily credit quality indicator is updated quarterly.



	As of
	September 30,			December 31,
	2012⁽¹⁾			2011⁽¹⁾
	(Dollars in millions)
Credit risk profile by internally assigned grade:⁽²⁾
Green		$	146,755		$	131,740
Yellow⁽³⁾		23,500			28,354
Orange		15,500			17,355
Red		1,114			1,772
Total		$	186,869		$	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 $6.7 billion and $6.9 billion of unpaid principal balance as of September 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 September 30, 2012 and December 31, 2011 and interest income recognized and average recorded investment for the three and nine months ended September 30, 2012 and 2011 for individually impaired loans.



	As of
	September 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⁾		$	135,515		$	128,530	$	31,132	$	668		$	116,825		$	109,684	$	29,598	$	674
Government⁽³⁾		213			207		39		4			258			258		67		8
Alt-A		38,962			36,147		11,707		285			34,318			31,516		11,121		268
Other⁽⁴⁾		17,359			16,565		5,281		92			16,181			15,363		5,353		99
Total single-family		192,049			181,449		48,159		1,049			167,582			156,821		46,139		1,049
Multifamily		2,323			2,342		451		13			2,832			2,855		718		32
Total individually impaired loans with related allowance recorded		194,372			183,791		48,610		1,062			170,414			159,676		46,857		1,081

With no related allowance recorded:⁽⁵⁾
Single-family:
Primary⁽²⁾		11,171			8,875		—		—			9,370			6,471		—		—
Government⁽³⁾		98			98		—		—			25			17		—		—
Alt-A		3,062			1,858		—		—			3,056			1,538		—		—
Other⁽⁴⁾		694			446		—		—			680			367		—		—
Total single-family		15,025			11,277		—		—			13,131			8,393		—		—
Multifamily		1,620			1,631		—		—			1,759			1,771		—		—
Total individually impaired loans with no related allowance recorded		16,645			12,908		—		—			14,890			10,164		—		—
Total individually impaired loans⁽⁶⁾		$	211,017		$	196,699	$	48,610	$	1,062		$	185,304		$	169,840	$	46,857	$	1,081



	For the Three Months Ended September 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⁾		$	115,042		$	1,014		$	157		$	102,555		$	949		$	183
Government⁽³⁾		197			3			—			280			3			—
Alt-A		32,875			259			35			29,755			247			45
Other⁽⁴⁾		15,523			110			15			14,630			111			22
Total single-family		163,637			1,386			207			147,220			1,310			250
Multifamily		2,420			31			1			2,485			26			2
Total individually impaired loans with related allowance recorded		166,057			1,417			208			149,705			1,336			252

With no related allowance recorded:⁽⁵⁾
Single-family:
Primary⁽²⁾		8,709			267			59			7,118			175			58
Government⁽³⁾		102			2			—			21			2			—
Alt-A		1,865			61			14			1,832			68			21
Other⁽⁴⁾		443			21			6			483			18			6
Total single-family		11,119			351			79			9,454			263			85
Multifamily		1,698			23			—			836			12			2
Total individually impaired loans with no related allowance recorded		12,817			374			79			10,290			275			87
Total individually impaired loans		$	178,874		$	1,791		$	287		$	159,995		$	1,611		$	339



	For the Nine Months Ended September 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⁾		$	112,050		$	2,954		$	479		$	99,495		$	2,764		$	550
Government⁽³⁾		220			9			—			270			9			—
Alt-A		32,050			765			109			29,459			728			143
Other⁽⁴⁾		15,348			330			49			14,295			323			69
Total single-family		159,668			4,058			637			143,519			3,824			762
Multifamily		2,551			96			2			2,324			74			5
Total individually impaired loans with related allowance recorded		162,219			4,154			639			145,843			3,898			767

With no related allowance recorded:⁽⁵⁾
Single-family:
Primary⁽²⁾		7,579			705			174			6,019			427			146
Government⁽³⁾		71			5			—			14			6			—
Alt-A		1,703			172			42			1,443			154			47
Other⁽⁴⁾		406			60			19			403			39			13
Total single-family		9,759			942			235			7,879			626			206
Multifamily		1,707			70			1			799			37			7
Total individually impaired loans with no related allowance recorded		11,466			1,012			236			8,678			663			213
Total individually impaired loans		$	173,685		$	5,166		$	875		$	154,521		$	4,561		$	980

__________


⁽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 $190.1 billion and $161.9 billion as of September 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 September 30, 2012 and December 31, 2011, respectively. As of September 30, 2012, we began classifying as TDRs loans to certain borrowers who have received bankruptcy relief. These loans had a recorded investment of $22.9 billion and a related allowance of $1.1 billion as of September 30, 2012.

⁽⁷⁾

Total single-family interest income recognized of $1.7 billion and $1.6 billion for the three months ended September 30, 2012 and 2011, respectively, consists of $1.3 billion and $1.1 billion of contractual interest and $444 million and $427 million of effective yield adjustments. Total single-family interest income recognized of $5.0 billion and $4.5 billion for the nine months ended September 30, 2012 and 2011, respectively, consists of $3.7 billion and $3.3 billion of contractual interest and $1.3 billion and $1.2 billion 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. We also classify as TDRs loans to certain borrowers who have received bankruptcy relief.

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 September 30, 2012 and 2011, the average term extension of a single-family modified loan was 133 and 103 months, respectively, and the average interest rate reduction was 2.08 and 2.63 percentage points, respectively. During the nine months ended September 30, 2012 and 2011, the average term extension of a single-family modified loan was 127 and 82 months, respectively, and the average interest rate reduction was 2.23 and 3.14 percentage points, respectively.

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



	For the Three Months Ended September 30,
	2012⁽¹⁾					2011
	Number of Loans		RecordedInvestment⁽²⁾			Number of Loans		RecordedInvestment⁽²⁾
	(Dollars in millions)
Single-family:
Primary⁽³⁾		165,395		$	22,068		60,725		$	10,594
Government⁽⁴⁾		112		13			201		24
Alt-A		31,088		5,284			12,932		2,691
Other⁽⁵⁾		8,868		1,865			5,429		1,324
Total single-family		205,463		29,230			79,287		14,633
Multifamily		4		19			13		39
Total troubled debt restructurings		205,467		$	29,249		79,300		$	14,672



	For the Nine Months Ended September 30,
	2012⁽¹⁾					2011
	Number of Loans		RecordedInvestment⁽²⁾			Number of Loans		RecordedInvestment⁽²⁾
	(Dollars in millions)
Single-family:
Primary⁽³⁾		224,165		$	32,022		132,682		$	23,783
Government⁽⁴⁾		314		41			497		86
Alt-A		42,026		7,537			27,722		5,958
Other⁽⁵⁾		12,721		2,823			12,424		3,095
Total single-family		279,226		42,423			173,325		32,922
Multifamily		25		152			42		214
Total troubled debt restructurings		279,251		$	42,575		173,367		$	33,136

__________


⁽¹⁾	As of September 30, 2012, we classified as TDRs approximately 170,000 loans to certain borrowers who have received bankruptcy relief. These loans had a recorded investment of $22.9 billion.

⁽²⁾

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.


⁽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.


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

The increase in our TDR activity during the three and nine months ended September 30, 2012 was due to the classification of loans as TDRs where the borrower used the bankruptcy process to receive a discharge of the mortgage debt or to cure a mortgage delinquency over time. These loans were identified and classified as TDRs as of September 30, 2012.

The following table displays the number of loans and recorded investment in loans that had a payment default for the three and nine months ended September 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 September 30,
	2012					2011
	Number of Loans		RecordedInvestment ⁽¹⁾			Number of Loans		RecordedInvestment ⁽¹⁾
	(Dollars in millions)
Single-family:
Primary⁽²⁾		10,870		$	1,798		14,545		$	2,531
Government⁽³⁾		51		8			70		17
Alt-A		1,854		377			2,929		620
Other⁽⁴⁾		841		196			1,519		378
Total single-family		13,616		2,379			19,063		3,546
Multifamily		1		9			—		—
Total TDRs that subsequently defaulted		13,617		$	2,388		19,063		$	3,546



	For the Nine Months Ended September 30,
	2012					2011
	Number of Loans		RecordedInvestment ⁽¹⁾			Number of Loans		RecordedInvestment ⁽¹⁾
	(Dollars in millions)
Single-family:
Primary⁽²⁾		33,446		$	5,699		52,532		$	9,227
Government⁽³⁾		150		25			252		68
Alt-A		6,113		1,246			11,625		2,499
Other⁽⁴⁾		2,997		719			5,384		1,315
Total single-family		42,706		7,689			69,793		13,109
Multifamily		3		12			8		49
Total TDRs that subsequently defaulted		42,709		$	7,701		69,801		$	13,158

__________


⁽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.