Mortgage Loans

9 Months Ended

Sep. 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 “Investment gains, net” 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
	September 30, 2016												December 31, 2015
	Of Fannie Mae				Of Consolidated Trusts				Total				Of Fannie Mae				Of Consolidated Trusts				Total
	(Dollars in millions)
Single-family		$	221,384			$	2,586,398			$	2,807,782			$	238,237			$	2,574,174			$	2,812,411
Multifamily		10,678				211,182				221,860				13,099				185,243				198,342
Total unpaid principal balance of mortgage loans		232,062				2,797,580				3,029,642				251,336				2,759,417				3,010,753
Cost basis and fair value adjustments, net		(11,707		)		53,732				42,025				(12,939		)		49,781				36,842
Allowance for loan losses for loans held for investment		(21,858		)		(848		)		(22,706		)		(26,510		)		(1,441		)		(27,951		)
Total mortgage loans		$	198,497			$	2,850,464			$	3,048,961			$	211,887			$	2,807,757			$	3,019,644

During the three and nine months ended September 30, 2016, we redesignated loans with a carrying value of $652 million and $2.3 billion, respectively, from HFI to HFS. During the three and nine months ended September 30, 2015, we redesignated loans with a carrying value of $1.3 billion and $5.9 billion, respectively, from HFI to HFS. We sold loans with an unpaid principal balance of $1.6 billion and $4.2 billion during the three and nine months ended September 30, 2016, respectively. We sold loans with an unpaid principal balance of $1.9 billion and $2.5 billion during the three and nine months ended September 30, 2015, respectively.

The recorded investment of single-family mortgage loans for which formal foreclosure proceedings are in process was $19.5 billion and $25.6 billion as of September 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 loan 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 September 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		$	29,741		$	7,505		$	21,501		$	58,747	$	2,625,085	$	2,683,832		$	24	$	32,806
Government⁽²⁾		54			23			264			341		37,698		38,039			264		—
Alt-A		3,706			1,131			4,607			9,444		76,207		85,651			2		6,386
Other		1,401			450			1,654			3,505		27,778		31,283			6		2,337
Total single-family		34,902			9,109			28,026			72,037		2,766,768		2,838,805			296		41,529
Multifamily⁽³⁾		25			N/A			163			188		223,917		224,105			—		498
Total		$	34,927		$	9,109		$	28,189		$	72,225	$	2,990,685	$	3,062,910		$	296	$	42,027



	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
	September 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%	$	2,313,365	$	58,287		$	20,442	$	2,228,533	$	59,000		$	21,274
Greater than 80%and less than or equal to 90%	233,787		10,291			3,966		250,373		12,588			4,936
Greater than 90%and less than or equal to 100%	98,865		7,156			2,818		122,939		9,345			3,861
Greater than 100%and less than or equal to 110%	18,071		4,405			1,805		27,875		6,231			2,596
Greater than 110% and less than or equal to 120%	9,071		2,436			1,012		14,625		3,730			1,592
Greater than 120% and less than or equal to 125%	2,721		791			307		4,520		1,260			545
Greater than 125%	7,952		2,285			933		13,328		3,947			1,606
Total	$	2,683,832	$	85,651		$	31,283	$	2,662,193	$	96,101		$	36,410

__________


⁽¹⁾	Excludes $38.0 billion and $40.8 billion as of September 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
	September 30,			December 31,
	2016			2015
	(Dollars in millions)
Credit risk profile by internally assigned grade:⁽¹⁾
Pass		$	219,613		$	194,132
Special mention		1,851			3,202
Substandard		2,637			2,833
Doubtful		4			7
Total		$	224,105		$	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
	September 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		$	107,455		$	102,148		$	14,034		$	116,477		$	110,502		$	16,745
Government		302			306			58			322			327			59
Alt-A		29,294			26,763			5,204			31,888			29,103			6,217
Other		11,627			11,010			1,989			12,893			12,179			2,416
Total single-family		148,678			140,227			21,285			161,580			152,111			25,437
Multifamily		447			450			41			650			654			80
Total individually impaired loans with related allowance recorded		149,125			140,677			21,326			162,230			152,765			25,517
With no related allowance recorded:⁽¹⁾
Single-family:
Primary		16,798			15,574			—			15,891			14,725			—
Government		66			62			—			58			54			—
Alt-A		3,892			3,325			—			3,721			3,169			—
Other		1,256			1,119			—			1,222			1,102			—
Total single-family		22,012			20,080			—			20,892			19,050			—
Multifamily		315			316			—			353			354			—
Total individually impaired loans with no related allowance recorded		22,327			20,396			—			21,245			19,404			—
Total individually impaired loans⁽²⁾		$	171,452		$	161,073		$	21,326		$	183,475		$	172,169		$	25,517



	For the Three Months Ended September 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		$	103,523		$	992		$	68		$	113,634		$	1,090		$	71
Government		310			3			—			299			3			—
Alt-A		27,115			250			10			30,041			272			14
Other		11,220			91			4			12,652			95			6
Total single-family		142,168			1,336			82			156,626			1,460			91
Multifamily		492			3			—			878			9			—
Total individually impaired loans with related allowance recorded		142,660			1,339			82			157,504			1,469			91
With no related allowance recorded:⁽¹⁾
Single-family:
Primary		15,534			320			19			15,627			279			16
Government		61			1			—			53			1			—
Alt-A		3,312			81			—			3,674			64			1
Other		1,115			27			—			1,259			21			—
Total single-family		20,022			429			19			20,613			365			17
Multifamily		311			3			—			386			5			—
Total individually impaired loans with no related allowance recorded		20,333			432			19			20,999			370			17
Total individually impaired loans		$	162,993		$	1,771		$	101		$	178,503		$	1,839		$	108



	For the Nine Months Ended September 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		$	106,498		$	3,028		$	243		$	115,762		$	3,152		$	248
Government		317			9			—			290			9			—
Alt-A		27,899			759			40			30,760			774			41
Other		11,622			276			15			13,030			282			15
Total single-family		146,336			4,072			298			159,842			4,217			304
Multifamily		555			21			—			1,053			15			—
Total individually impaired loans with related allowance recorded		146,891			4,093			298			160,895			4,232			304
With no related allowance recorded:⁽¹⁾
Single-family:
Primary		15,398			915			69			15,967			779			76
Government		59			3			—			55			3			—
Alt-A		3,350			224			8			3,720			158			8
Other		1,128			79			3			1,287			56			2
Total single-family		19,935			1,221			80			21,029			996			86
Multifamily		330			9			—			463			8			—
Total individually impaired loans with no related allowance recorded		20,265			1,230			80			21,492			1,004			86
Total individually impaired loans		$	167,156		$	5,323		$	378		$	182,387		$	5,236		$	390

__________


⁽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 $159.6 billion and $170.3 billion as of September 30, 2016 and December 31, 2015, respectively. Includes multifamily loans restructured in a TDR with a recorded investment of $324 million and $451 million as of September 30, 2016 and December 31, 2015, respectively.

⁽³⁾

Total single-family interest income recognized of $1.8 billion for the three months ended September 30, 2016 consists of $1.4 billion of contractual interest and $320 million of effective yield adjustments. Total single-family interest income recognized of $1.8 billion for the three months ended September 30, 2015 consists of $1.5 billion of contractual interest and $327 million of effective yield adjustments. Total single-family interest income recognized of $5.3 billion for the nine months ended September 30, 2016 consists of $4.3 billion of contractual interest and $961 million of effective yield adjustments. Total single-family interest income recognized of $5.2 billion for the nine months ended September 30, 2015 consists of $4.3 billion of contractual interest and $907 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 September 30, 2016 and 2015, the average term extension of a single-family modified loan was 153 months and 159 months, respectively, and the average interest rate reduction was 0.82 and 0.69 percentage points, respectively. During the nine months ended September 30, 2016 and 2015, the average term extension of a single-family modified loan was 157 months and 161 months, respectively, and the average interest rate reduction was 0.76 and 0.75 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 September 30,
	2016					2015
	Number of Loans		RecordedInvestment			Number of Loans		RecordedInvestment
	(Dollars in millions)
Single-family:
Primary		13,983		$	1,922		14,926		$	2,021
Government		54		5			54		6
Alt-A		1,578		227			1,805		268
Other		317		57			324		57
Total single-family		15,932		2,211			17,109		2,352
Multifamily		2		5			3		10
Total TDRs		15,934		$	2,216		17,112		$	2,362



	For the Nine Months Ended September 30,
	2016					2015
	Number of Loans		RecordedInvestment			Number of Loans		RecordedInvestment
	(Dollars in millions)
Single-family:
Primary		45,987		$	6,282		54,284		$	7,443
Government		136		14			192		22
Alt-A		5,112		735			7,127		1,101
Other		1,078		190			1,453		265
Total single-family		52,313		7,221			63,056		8,831
Multifamily		6		50			7		16
Total TDRs		52,319		$	7,271		63,063		$	8,847

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 September 30,
	2016					2015
	Number of Loans		RecordedInvestment			Number of Loans		RecordedInvestment
	(Dollars in millions)
Single-family:
Primary		5,268		$	734		6,847		$	1,003
Government		31		4			31		3
Alt-A		734		116			1,052		183
Other		235		41			328		65
Total single-family		6,268		895			8,258		1,254
Multifamily		—		—			—		—
Total TDRs that subsequently defaulted		6,268		$	895		8,258		$	1,254



	For the Nine Months Ended September 30,
	2016					2015
	Number of Loans		RecordedInvestment			Number of Loans		RecordedInvestment
	(Dollars in millions)
Single-family:
Primary		15,377		$	2,174		19,726		$	2,870
Government		73		9			88		12
Alt-A		2,342		376			3,168		537
Other		767		130			922		186
Total single-family		18,559		2,689			23,904		3,605
Multifamily		—		—			3		6
Total TDRs that subsequently defaulted		18,559		$	2,689		23,907		$	3,611