Mortgage Loans

6 Months Ended

Jun. 30, 2016

Mortgage Loans on Real Estate [Abstract]

We own 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 held for investment (“HFI”) or held for sale (“HFS”). We report the carrying value of 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 the carrying value of HFS loans at the lower of cost or fair value and record valuation changes in our condensed consolidated statements of operations and comprehensive income. We define the recorded investment of HFI loans as unpaid principal balance, net of unamortized premiums and discounts, other cost basis adjustments, and accrued interest receivable.

For purposes of the single-family mortgage loan disclosures below, we define “primary” class as mortgage loans that are not included in other loan classes; “government” class as 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; and “other” class as 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 carrying value of our mortgage loans.



	As of
	June 30, 2016												December 31, 2015
	Of Fannie Mae				Of Consolidated Trusts				Total				Of Fannie Mae				Of Consolidated Trusts				Total
	(Dollars in millions)
Single-family		$	228,866			$	2,574,334			$	2,803,200			$	238,237			$	2,574,174			$	2,812,411
Multifamily		11,641				199,037				210,678				13,099				185,243				198,342
Total unpaid principal balance of mortgage loans		240,507				2,773,371				3,013,878				251,336				2,759,417				3,010,753
Cost basis and fair value adjustments, net		(12,202		)		51,992				39,790				(12,939		)		49,781				36,842
Allowance for loan losses for loans held for investment		(22,793		)		(1,006		)		(23,799		)		(26,510		)		(1,441		)		(27,951		)
Total mortgage loans		$	205,512			$	2,824,357			$	3,029,869			$	211,887			$	2,807,757			$	3,019,644

During the three and six months ended June 30, 2016, we redesignated loans with a carrying value of $1.0 billion and $1.6 billion, respectively, from HFI to HFS. During the three and six months ended June 30, 2015, we redesignated loans with a carrying value of $4.3 billion and $4.6 billion, respectively, from HFI to HFS. We sold loans with an unpaid principal balance of $1.5 billion and $2.6 billion during the three and six months ended June 30, 2016, respectively. We sold loans with an unpaid principal balance of $633 million during the three and six months ended June 30, 2015.

The recorded investment of single-family mortgage loans for which formal foreclosure proceedings are in process was $21.5 billion and $25.6 billion as of June 30, 2016 and December 31, 2015, respectively. As a result of our various loss mitigation and foreclosure prevention efforts, we expect that a portion of the loans in the process of formal foreclosure proceedings will not ultimately foreclose.

Nonaccrual Loans

We discontinue accruing interest on loans when we believe collectibility of principal or interest is not reasonably assured, which for a single-family loan we have determined, based on our historical experience, to be when the loan becomes two months or more past due according to its contractual terms. Interest previously accrued but not collected is reversed through interest income at the date a loan is placed on nonaccrual status. We return a non-modified single-family loan to accrual status at the point that the borrower brings the loan current. We return a modified single-family loans to accrual status at the point that the borrower successfully makes all required payments during the trial period (generally three to four months) and the modification is made permanent. We place a multifamily loan on nonaccrual status when the loan becomes three months or more past due according to its contractual terms or is deemed to be individually impaired, unless the loan is well secured such that collectibility of principal and accrued interest is reasonably assured. We 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 by portfolio segment and class, excluding loans for which we have elected the fair value option.



	As of June 30, 2016
	30 - 59 Days Delinquent			60 - 89 Days Delinquent			Seriously Delinquent⁽¹⁾			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		$	28,547		$	7,002		$	22,221		$	57,770	$	2,611,816	$	2,669,586		$	41	$	32,854
Government⁽²⁾		56			22			268			346		38,831		39,177			268		—
Alt-A		3,725			1,111			4,925			9,761		79,383		89,144			6		6,684
Other		1,453			425			1,757			3,635		29,460		33,095			6		2,411
Total single-family		33,781			8,560			29,171			71,512		2,759,490		2,831,002			321		41,949
Multifamily⁽³⁾		80			N/A			101			181		212,578		212,759			—		475
Total		$	33,861		$	8,560		$	29,272		$	71,693	$	2,972,068	$	3,043,761		$	321	$	42,424



	As of December 31, 2015
	30 - 59 Days Delinquent			60 - 89 Days Delinquent			Seriously Delinquent⁽¹⁾			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		$	29,154		$	7,937		$	26,346		$	63,437	$	2,598,756	$	2,662,193		$	46	$	34,216
Government⁽²⁾		58			24			291			373		40,461		40,834			291		—
Alt-A		4,085			1,272			6,141			11,498		84,603		96,101			6		7,407
Other		1,494			484			2,160			4,138		32,272		36,410			6		2,632
Total single-family		34,791			9,717			34,938			79,446		2,756,092		2,835,538			349		44,255
Multifamily⁽³⁾		23			N/A			123			146		200,028		200,174			—		591
Total		$	34,814		$	9,717		$	35,061		$	79,592	$	2,956,120	$	3,035,712		$	349	$	44,846

__________


⁽¹⁾	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.


⁽²⁾	Primarily consists of reverse mortgages, which due to their nature, are not aged and are included in the current column.


⁽³⁾	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 by class and credit quality indicator, excluding loans for which we have elected the fair value option.



	As of
	June 30, 2016⁽¹⁾							December 31, 2015⁽¹⁾
	Primary		Alt-A		Other			Primary		Alt-A		Other
	(Dollars in millions)
Estimated mark-to-market LTV ratio:⁽²⁾
Less than or equal to 80%	$	2,279,064	$	58,301		$	20,834	$	2,228,533	$	59,000		$	21,274
Greater than 80%and less than or equal to 90%	238,897		11,003			4,225		250,373		12,588			4,936
Greater than 90%and less than or equal to 100%	104,938		7,907			3,162		122,939		9,345			3,861
Greater than 100%and less than or equal to 110%	21,829		5,066			2,076		27,875		6,231			2,596
Greater than 110% and less than or equal to 120%	11,218		2,951			1,216		14,625		3,730			1,592
Greater than 120% and less than or equal to 125%	3,459		946			391		4,520		1,260			545
Greater than 125%	10,181		2,970			1,191		13,328		3,947			1,606
Total	$	2,669,586	$	89,144		$	33,095	$	2,662,193	$	96,101		$	36,410

__________


⁽¹⁾	Excludes $39.2 billion and $40.8 billion as of June 30, 2016 and December 31, 2015, 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 ratio.


⁽²⁾	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 by credit quality indicator, excluding loans for which we have elected the fair value option.



	As of
	June 30,			December 31,
	2016			2015
	(Dollars in millions)
Credit risk profile by internally assigned grade:⁽¹⁾
Pass		$	207,481		$	194,132
Special mention		2,476			3,202
Substandard		2,792			2,833
Doubtful		10			7
Total		$	212,759		$	200,174

_________

⁽¹⁾

Pass (loan is current and adequately protected by the current financial strength and debt service capacity of the borrower); special mention (loan with signs of potential weakness); substandard (loan with a well defined weakness that jeopardizes the timely full repayment); and doubtful (loan with a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions and values).

Individually Impaired Loans

Individually impaired loans include troubled debt restructurings (“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; excluding loans classified as HFS. The following tables display the total unpaid principal balance, recorded investment, related allowance, average recorded investment and interest income recognized for individually impaired loans.



	As of
	June 30, 2016									December 31, 2015
	Unpaid Principal Balance			Total Recorded Investment			Related Allowance for Loan Losses			Unpaid Principal Balance			Total Recorded Investment			Related Allowance for Loan Losses
	(Dollars in millions)
Individually impaired loans:
With related allowance recorded:
Single-family:
Primary		$	110,529		$	104,999		$	14,536		$	116,477		$	110,502		$	16,745
Government		310			314			58			322			327			59
Alt-A		30,100			27,477			5,401			31,888			29,103			6,217
Other		12,092			11,441			2,080			12,893			12,179			2,416
Total single-family		153,031			144,231			22,075			161,580			152,111			25,437
Multifamily		532			535			59			650			654			80
Total individually impaired loans with related allowance recorded		153,563			144,766			22,134			162,230			152,765			25,517
With no related allowance recorded:⁽¹⁾
Single-family:
Primary		16,603			15,414			—			15,891			14,725			—
Government		65			60			—			58			54			—
Alt-A		3,827			3,285			—			3,721			3,169			—
Other		1,226			1,100			—			1,222			1,102			—
Total single-family		21,721			19,859			—			20,892			19,050			—
Multifamily		305			306			—			353			354			—
Total individually impaired loans with no related allowance recorded		22,026			20,165			—			21,245			19,404			—
Total individually impaired loans⁽²⁾		$	175,589		$	164,931		$	22,134		$	183,475		$	172,169		$	25,517



	For the Three Months Ended June 30,
	2016									2015
	Average Recorded Investment			Total Interest Income Recognized⁽³⁾			Interest Income Recognized on a Cash Basis			Average Recorded Investment			Total Interest Income Recognized⁽³⁾			Interest Income Recognized on a Cash Basis
	(Dollars in millions)
Individually impaired loans:
With related allowance recorded:
Single-family:
Primary		$	106,674		$	1,015		$	71		$	115,856		$	1,028		$	73
Government		317			3			—			288			3			—
Alt-A		27,901			256			11			30,642			251			10
Other		11,639			93			3			12,994			93			2
Total single-family		146,531			1,367			85			159,780			1,375			85
Multifamily		556			13			—			1,090			3			—
Total individually impaired loans with related allowance recorded		147,087			1,380			85			160,870			1,378			85
With no related allowance recorded:⁽¹⁾
Single-family:
Primary		15,377			327			30			16,453			253			19
Government		59			1			—			54			1			—
Alt-A		3,361			81			5			4,010			50			—
Other		1,126			30			2			1,378			17			—
Total single-family		19,923			439			37			21,895			321			19
Multifamily		326			3			—			460			2			—
Total individually impaired loans with no related allowance recorded		20,249			442			37			22,355			323			19
Total individually impaired loans		$	167,336		$	1,822		$	122		$	183,225		$	1,701		$	104



	For the Six Months Ended June 30,
	2016									2015
	Average Recorded Investment			Total Interest Income Recognized⁽³⁾			Interest Income Recognized on a Cash Basis			Average Recorded Investment			Total Interest Income Recognized⁽³⁾			Interest Income Recognized on a Cash Basis
	(Dollars in millions)
Individually impaired loans:
With related allowance recorded:
Single-family:
Primary		$	107,984		$	2,036		$	175		$	116,811		$	2,062		$	177
Government		320			6			—			285			6			—
Alt-A		28,287			509			30			31,094			502			27
Other		11,827			185			11			13,216			187			9
Total single-family		148,418			2,736			216			161,406			2,757			213
Multifamily		589			18			—			1,140			6			—
Total individually impaired loans with related allowance recorded		149,007			2,754			216			162,546			2,763			213
With no related allowance recorded:⁽¹⁾
Single-family:
Primary		15,323			595			50			16,178			500			60
Government		58			2			—			56			2			—
Alt-A		3,362			143			8			3,775			94			7
Other		1,131			52			3			1,311			35			2
Total single-family		19,874			792			61			21,320			631			69
Multifamily		335			6			—			496			3			—
Total individually impaired loans with no related allowance recorded		20,209			798			61			21,816			634			69
Total individually impaired loans		$	169,216		$	3,552		$	277		$	184,362		$	3,397		$	282

__________


⁽¹⁾	The discounted cash flows or collateral value equals or exceeds the carrying value of the loan and, as such, no valuation allowance is required.


⁽²⁾	Includes single-family loans restructured in a TDR with a recorded investment of $163.4 billion and $170.3 billion as of June 30, 2016 and December 31, 2015, respectively. Includes multifamily loans restructured in a TDR with a recorded investment of $415 million and $451 million as of June 30, 2016 and December 31, 2015, respectively.

⁽³⁾

Total single-family interest income recognized of $1.8 billion for the three months ended June 30, 2016 consists of $1.5 billion of contractual interest and $331 million of effective yield adjustments. Total single-family interest income recognized of $1.7 billion for the three months ended June 30, 2015 consists of $1.4 billion of contractual interest and $304 million of effective yield adjustments. Total single-family interest income recognized of $3.5 billion for the six months ended June 30, 2016 consists of $2.9 billion of contractual interest and $641 million of effective yield adjustments. Total single-family interest income recognized of $3.4 billion for the six months ended June 30, 2015 consists of $2.8 billion of contractual interest and $580 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. We also classify loans to certain borrowers who have received bankruptcy relief as TDRs.

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, 2016 and 2015, the average term extension of a single-family modified loan was 159 months and 162 months, respectively, and the average interest rate reduction was 0.72 and 0.77 percentage points, respectively. During the six months ended June 30, 2016 and 2015, the average term extension of a single-family modified loan was 159 months and 162 months, respectively, and the average interest rate reduction was 0.73 and 0.77 percentage points, respectively.

The following tables display the number of loans and recorded investment in loans restructured in a TDR.



	For the Three Months Ended June 30,
	2016					2015
	Number of Loans		RecordedInvestment			Number of Loans		RecordedInvestment
	(Dollars in millions)
Single-family:
Primary		14,814		$	2,028		17,951		$	2,477
Government		28		3			64		8
Alt-A		1,623		238			2,533		395
Other		362		61			539		100
Total single-family		16,827		2,330			21,087		2,980
Multifamily		4		45			1		1
Total TDRs		16,831		$	2,375		21,088		$	2,981



	For the Six Months Ended June 30,
	2016					2015
	Number of Loans		RecordedInvestment			Number of Loans		RecordedInvestment
	(Dollars in millions)
Single-family:
Primary		32,004		$	4,360		39,358		$	5,422
Government		82		9			138		16
Alt-A		3,534		508			5,322		833
Other		761		133			1,129		208
Total single-family		36,381		5,010			45,947		6,479
Multifamily		4		45			4		6
Total TDRs		36,385		$	5,055		45,951		$	6,485

The following tables display the number of loans and our recorded investment in these loans at the time of payment default for loans that were restructured 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,
	2016					2015
	Number of Loans		RecordedInvestment			Number of Loans		RecordedInvestment
	(Dollars in millions)
Single-family:
Primary		4,648		$	638		6,156		$	864
Government		27		3			37		6
Alt-A		756		116			963		151
Other		289		40			290		55
Total single-family		5,720		797			7,446		1,076
Multifamily		—		—			1		2
Total TDRs that subsequently defaulted		5,720		$	797		7,447		$	1,078



	For the Six Months Ended June 30,
	2016					2015
	Number of Loans		RecordedInvestment			Number of Loans		RecordedInvestment
	(Dollars in millions)
Single-family:
Primary		10,109		$	1,440		12,879		$	1,867
Government		42		5			57		9
Alt-A		1,608		260			2,116		354
Other		532		89			594		121
Total single-family		12,291		1,794			15,646		2,351
Multifamily		—		—			3		6
Total TDRs that subsequently defaulted		12,291		$	1,794		15,649		$	2,357