Mortgage Loans

12 Months Ended

Dec. 31, 2012

Mortgage Loans on Real Estate [Abstract]

We own both single-family mortgage loans, which are secured by four or fewer residential dwelling units, and multifamily mortgage loans, which are secured by five or more residential dwelling units. We classify these loans as either HFI or HFS. We report HFI loans at the unpaid principal balance, net of unamortized premiums and discounts, other cost basis adjustments, and an allowance for loan losses. We report HFS loans at the lower of cost or fair value determined on a pooled basis, and record valuation changes in our consolidated statements of operations and comprehensive income (loss).

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



	As of December 31,
	2012												2011
	Of Fannie Mae				Of Consolidated Trusts				Total				Of Fannie Mae				Of Consolidated Trusts				Total
	(Dollars in millions)
Single-family		$	309,277			$	2,480,999			$	2,790,276			$	319,496			$	2,470,533			$	2,790,029
Multifamily		61,464				126,953				188,417				77,026				99,872				176,898
Total unpaid principal balance of mortgage loans		370,741				2,607,952				2,978,693				396,522				2,570,405				2,966,927
Cost basis and fair value adjustments, net		(14,805		)		44,313				29,508				(16,143		)		19,993				3,850
Allowance for loan losses for loans held for investment		(50,519		)		(8,276		)		(58,795		)		(57,309		)		(14,847		)		(72,156		)
Total mortgage loans		$	305,417			$	2,643,989			$	2,949,406			$	323,070			$	2,575,551			$	2,898,621

For the year ended December 31, 2012, we redesignated loans with a carrying value of $33 million from HFI to HFS. For the year ended December 31, 2011, we redesignated loans with a carrying value of $561 million from HFI to HFS. For the year ended December 31, 2010, we did not redesignate loans between HFI and HFS other than at the transition date.

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 December 31, 2012 and 2011.



	As of December 31, 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⁽³⁾			Recorded Investment in Nonaccrual Loans
	(Dollars in millions)
Single-family:
Primary⁽⁴⁾		$	39,043		$	13,513		$	67,737		$	120,293	$	2,424,022	$	2,544,315		$	2,162	$	78,822
Government⁽⁵⁾		82			40			340			462		50,408		50,870			340		—
Alt-A		6,009			2,417			22,181			30,607		121,099		151,706			502		24,048
Other⁽⁶⁾		2,613			1,053			8,527			12,193		57,336		69,529			297		9,209
Total single-family		47,747			17,023			98,785			163,555		2,652,865		2,816,420			3,301		112,079
Multifamily⁽⁷⁾		178			NA			428			606		190,445		191,051			—		2,214
Total		$	47,925		$	17,023		$	99,213		$	164,161	$	2,843,310	$	3,007,471		$	3,301	$	114,293



	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⁽⁴⁾		$	43,516		$	15,282		$	80,712		$	139,510	$	2,341,646	$	2,481,156		$	111	$	95,959
Government⁽⁵⁾		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⁽⁶⁾		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⁽⁷⁾		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⁾	Includes loans with a recorded investment of $2.8 billion, which were repurchased in January 2013 pursuant to our resolution agreement with Bank of America. These loans were returned to accrual status to reflect the change in our assessment of collectibility resulting from this agreement, see “Note 20, Subsequent Events.”


⁽⁴⁾	Consists of mortgage loans that are not included in other loan classes.


⁽⁵⁾	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.


⁽⁶⁾	Includes loans with higher-risk loan characteristics, such as interest-only loans and negative-amortizing loans that are neither government nor Alt-A.


⁽⁷⁾	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 December 31, 2012 and 2011. The single-family credit quality indicator is updated quarterly.



	As of December 31,
	2012⁽¹⁾⁽²⁾							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%	$	1,703,384	$	57,419		$	21,936	$	1,464,348	$	61,618		$	23,414
Greater than 80%and less than or equal to 90%	346,018		18,313			7,287		412,342		21,369			9,224
Greater than 90%and less than or equal to 100%	219,736		16,930			7,369		246,648		19,790			9,445
Greater than 100%and less than or equal to 110%	100,302		14,293			7,169		128,428		16,164			8,951
Greater than 110% and less than or equal to 120%	59,723		10,994			6,231		73,836		12,534			7,912
Greater than 120% and less than or equal to 125%	20,620		4,387			2,665		25,750		5,087			3,557
Greater than 125%	94,532		29,370			16,872		129,804		40,850			26,723
Total	$	2,544,315	$	151,706		$	69,529	$	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 $50.9 billion and $51.9 billion as of December 31, 2012 and 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 December 31, 2012 and 2011. The multifamily credit quality indicator is updated quarterly.



	As of December 31,
	2012⁽¹⁾			2011⁽¹⁾
	(Dollars in millions)
Credit risk profile by internally assigned grade:⁽²⁾
Green		$	154,235		$	131,740
Yellow⁽³⁾		21,304			28,354
Orange		14,199			17,355
Red		1,313			1,772
Total		$	191,051		$	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 $5.1 billion and $6.9 billion of unpaid principal balance as of December 31, 2012 and 2011, respectively, classified as yellow due to no available current 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 December 31, 2012 and 2011 and interest income recognized and average recorded investment for the years ended December 31, 2012 and 2011 for individually impaired loans.



	As of December 31,
	2012										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⁾		$	132,754		$	126,106	$	28,610	$	628		$	116,825		$	109,684	$	29,598	$	674
Government⁽³⁾		214			208		38		4			258			258		67		8
Alt-A		38,387			35,620		11,154		267			34,318			31,516		11,121		268
Other⁽⁴⁾		16,873			16,114		4,743		86			16,181			15,363		5,353		99
Total single-family		188,228			178,048		44,545		985			167,582			156,821		46,139		1,049
Multifamily		2,449			2,471		489		13			2,832			2,855		718		32
Total individually impaired loans with related allowance recorded		190,677			180,519		45,034		998			170,414			159,676		46,857		1,081

With no related allowance recorded:⁽⁵⁾
Single-family:
Primary⁽²⁾		16,222			13,901		—		—			9,370			6,471		—		—
Government⁽³⁾		104			104		—		—			25			17		—		—
Alt-A		3,994			2,822		—		—			3,056			1,538		—		—
Other⁽⁴⁾		1,218			977		—		—			680			367		—		—
Total single-family		21,538			17,804		—		—			13,131			8,393		—		—
Multifamily		2,056			2,068		—		—			1,759			1,771		—		—
Total individually impaired loans with no related allowance recorded		23,594			19,872		—		—			14,890			10,164		—		—
Total individually impaired loans⁽⁶⁾		$	214,271		$	200,391	$	45,034	$	998		$	185,304		$	169,840	$	46,857	$	1,081



	For the Year Ended December 31,
	2012									2011									2010
	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			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⁾		$	115,767		$	4,077		$	654		$	100,797		$	3,735		$	733		$	81,258		$	3,314		$	1,470
Government⁽³⁾		216			11			—			229			12			—			141			9			—
Alt-A		32,978			1,048			151			29,561			982			186			25,361			897			407
Other⁽⁴⁾		15,593			444			65			14,431			435			90			12,094			384			204
Total single-family		164,554			5,580			870			145,018			5,164			1,009			118,854			4,604			2,081
Multifamily		2,535			125			2			2,430			103			5			1,496			202			10
Total individually impaired loans with related allowance recorded		167,089			5,705			872			147,448			5,267			1,014			120,350			4,806			2,091

With no related allowance recorded:⁽⁵⁾
Single-family:
Primary⁽²⁾		8,264			1,075			231			6,884			606			204			7,860			336			55
Government⁽³⁾		78			7			—			12			7			—			11			8			—
Alt-A		1,811			253			55			1,771			205			63			2,091			121			20
Other⁽⁴⁾		455			95			24			467			57			19			589			36			7
Total single-family		10,608			1,430			310			9,134			875			286			10,551			501			82
Multifamily		1,781			56			2			993			48			8			642			71			5
Total individually impaired loans with no related allowance recorded		12,389			1,486			312			10,127			923			294			11,193			572			87
Total individually impaired loans⁽⁶⁾		$	179,478		$	7,191		$	1,184		$	157,575		$	6,190		$	1,308		$	131,543		$	5,378		$	2,178

__________


⁽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 $193.4 billion and $161.9 billion as of December 31, 2012 and 2011, respectively. Includes multifamily loans restructured in a TDR with a recorded investment of $1.1 billion and $956 million as of December 31, 2012 and 2011, respectively.

⁽⁷⁾

Total single-family interest income recognized of $7.0 billion for the year ended December 31, 2012 consists of $5.3 billion of contractual interest and $1.7 billion of effective yield adjustments. Total single-family interest income recognized of $6.0 billion for the year ended December 31, 2011 consists of $4.5 billion of contractual interest and $1.6 billion of effective yield adjustments. Total single-family interest income recognized of $5.1 billion for the year ended December 31, 2010 consists of $3.9 billion of contractual interest and $1.3 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 years ended December 31, 2012 and 2011, the average term extension of a single-family modified loan was 131 and 90 months, respectively, and the average interest rate reduction was 2.15 and 2.95 percentage points, respectively.

The following table displays the number of loans and recorded investment in loans restructured in a TDR for the years ended December 31, 2012 and 2011.



	For the Year Ended December 31,
	2012					2011
	Number of Loans		RecordedInvestment⁽¹⁾			Number of Loans		RecordedInvestment⁽¹⁾
	(Dollars in millions)
Single-family:
Primary⁽²⁾		270,913		$	39,527		160,227		$	28,329
Government⁽³⁾		394		50			497		86
Alt-A		50,572		9,116			33,416		7,108
Other⁽⁴⁾		15,484		3,489			14,724		3,644
Total single-family		337,363		52,182			208,864		39,167
Multifamily		46		324			47		223
Total troubled debt restructurings		337,409		$	52,506		208,911		$	39,390

__________

⁽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 past-due 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 years ended December 31, 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 Year Ended December 31,
	2012					2011
	Number of Loans		RecordedInvestment ⁽¹⁾			Number of Loans		RecordedInvestment ⁽¹⁾
	(Dollars in millions)
Single-family:
Primary⁽²⁾		46,824		$	7,828		66,088		$	11,585
Government⁽³⁾		200		33			376		95
Alt-A		8,848		1,761			14,223		3,045
Other⁽⁴⁾		4,011		948			6,843		1,670
Total single-family		59,883		10,570			87,530		16,395
Multifamily		7		35			8		49
Total TDRs that subsequently defaulted		59,890		$	10,605		87,538		$	16,444

__________


⁽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.