XML 92 R9.htm IDEA: XBRL DOCUMENT v3.20.4
Mortgage Loans
 12 Months Ended
Dec. 31, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]  
Mortgage Loans Mortgage Loans
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 HFI or HFS. We report the amortized cost of HFI loans for which we have not elected the fair value option at the unpaid principal balance, net of unamortized premiums and discounts, other cost basis adjustments, and accrued interest receivable, net. For purposes of our consolidated balance sheets, we present accrued interest receivable, net separately from the amortized cost of our loans held for investment. 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 consolidated statements of operations and comprehensive income.
For purposes of the single-family mortgage loan disclosures below, we display loans by class of financing receivable type. In the current period, we revised the financing receivable classes used for disclosure to consist of: “20- and 30-year or more, amortizing fixed-rate,” “15-year or less, amortizing fixed-rate,” “Adjustable-rate” and “Other.” The “Other” class primarily consists of reverse mortgage loans, interest-only loans, negative-amortizing loans and second liens. We believe the revised classifications are more aligned with how we assess and manage the credit risk of our loans. We have revised the presentation of certain loan disclosures for prior periods to conform with the revised current-period classes of financing receivables.
The following table displays the carrying value of our mortgage loans and allowance for loan losses.
As of December 31,
20202019
(Dollars in millions)
Single-family$3,216,146 $2,972,361 
Multifamily373,722 327,593 
Total unpaid principal balance of mortgage loans3,589,868 3,299,954 
Cost basis and fair value adjustments, net74,576 43,224 
Allowance for loan losses for HFI loans(10,552)(9,016)
Total mortgage loans(1)
$3,653,892 $3,334,162 
(1)Excludes $9.8 billion and $8.4 billion of accrued interest receivable, net of allowance as of December 31, 2020 and 2019, respectively.
The following tables display information about our redesignation of loans, and the sales of mortgage loans during the period.
For the Year Ended December 31,
202020192018
(Dollars in millions)
Single family loans redesignated from HFI to HFS:
Amortized cost$8,309 $18,245 $23,494 
Lower of cost or fair value adjustment at time of redesignation(1)
(291)(995)(1,478)
Allowance reversed at time of redesignation963 2,484 3,385 
Single family loans redesignated from HFS to HFI:
Amortized cost$144 $28 $46 
Allowance established at time of redesignation(15)(1)(2)
Single-family loans sold:
Unpaid principal balance$9,519 $19,737 $21,918 
Realized gains, net831 1,238 444 
(1)Consists of the write-off against the allowance at the time of redesignation.
The amortized cost of single-family mortgage loans for which formal foreclosure proceedings were in process was $5.0 billion and $7.6 billion as of December 31, 2020 and 2019, 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. In addition, in response to the COVID-19 pandemic, we have prohibited our servicers from completing foreclosures on our single-family loans through March 31, 2021, except in the case of vacant or abandoned properties.
Aging Analysis
The following tables display an aging analysis of the total amortized cost of our HFI mortgage loans by portfolio segment and class, excluding loans for which we have elected the fair value option.
Pursuant to the CARES Act, for purposes of reporting to the credit bureaus, servicers must report a borrower receiving a COVID-19-related payment accommodation during the covered period, such as a forbearance plan or loan modification, as current if the borrower was current prior to receiving the accommodation and the borrower makes all required payments in accordance with the accommodation. For purposes of our disclosures regarding delinquency status, we report loans receiving COVID-19-related payment forbearance as delinquent according to the contractual terms of the loan. The increase in loans classified as delinquent as of December 31, 2020 compared with December 31, 2019 was primarily attributable to the economic dislocation caused by the COVID-19 pandemic.
As of December 31, 2020
30 - 59 Days
Delinquent		60 - 89 Days Delinquent
Seriously Delinquent(1)
Total DelinquentCurrentTotalLoans 90 Days or More Delinquent and Accruing InterestNonaccrual Loans with No Allowance
(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate
$24,928 $9,414 $88,276 $122,618 $2,619,585 $2,742,203 $68,526 $6,028 
15-year or less, amortizing fixed-rate
1,987 601 5,028 7,616 449,443 457,059 4,292 240 
Adjustable-rate268 97 1,143 1,508 29,933 31,441 907 114 
Other(2)
1,150 458 5,037 6,645 47,937 54,582 2,861 771 
Total single-family
28,333 10,570 99,484 138,387 3,146,898 3,285,285 76,586 7,153 
Multifamily(3)
1,140 N/A3,688 4,828 372,598 377,426 610 302 
Total$29,473 $10,570 $103,172 $143,215 $3,519,496 $3,662,711 $77,196 $7,455 

As of December 31, 2019
30 - 59 Days
Delinquent
60 - 89 Days Delinquent
Seriously Delinquent(1)
Total DelinquentCurrentTotalLoans 90 Days or More Delinquent and Accruing Interest
(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate
$26,882 $7,126 $13,082 $47,090 $2,470,457 $2,517,547 $28 
15-year or less, amortizing fixed-rate
1,616 286 445 2,347 371,740 374,087 — 
Adjustable-rate412 85 167 664 44,244 44,908 — 
Other(2)
2,323 829 1,891 5,043 64,726 69,769 136 
Total single-family31,233 8,326 15,585 55,144 2,951,167 3,006,311 164 
Multifamily(3)
7 N/A115 122 330,496 330,618 — 
Total$31,240 $8,326 $15,700 $55,266 $3,281,663 $3,336,929 $164 
(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)Reverse mortgage loans included in “Other” are not aged due to their nature 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 amortized cost in our single-family HFI loans by class, year of origination and credit quality indicator, excluding loans for which we have elected the fair value option. The estimated mark-to-market LTV ratio is a primary factor we consider when estimating our allowance for loan losses for single-family loans. As LTV ratios increase, the borrower’s equity in the home decreases, which may negatively affect the borrower’s ability to refinance or to sell the property for an amount at or above the outstanding balance of the loan.
As of December 31, 2020, by Year of Origination(1)
2020
2019
2018
2017
2016
Prior
Total
(Dollars in millions)
Estimated mark-to-market LTV ratio:(2)
20- and 30-year or more, amortizing fixed-rate:
Less than or equal to 80%$794,156 $233,994 $135,849 $183,315 $221,172 $775,636 $2,344,122 
Greater than 80% and less than or equal to 90%157,500 85,227 23,440 5,270 1,592 5,958 278,987 
Greater than 90% and less than or equal to 100%109,743 4,186 820 250 124 1,994 117,117 
Greater than 100%28 7 28 77 81 1,756 1,977 
Total 20 and 30-year or more, amortizing fixed-rate1,061,427 323,414 160,137 188,912 222,969 785,344 2,742,203 
15-year or less, amortizing fixed-rate:
Less than or equal to 80%181,418 41,374 15,768 31,497 46,088 132,596 448,741 
Greater than 80% and less than or equal to 90%6,105 811 35 14 8 20 6,993 
Greater than 90% and less than or equal to 100%1,274 9 3 4 3 10 1,303 
Greater than 100%— — 3 3 3 13 22 
Total 15-year or less, amortizing fixed-rate188,797 42,194 15,809 31,518 46,102 132,639 457,059 
Adjustable-rate:
Less than or equal to 80%2,935 1,839 2,412 4,765 2,678 16,248 30,877 
Greater than 80% and less than or equal to 90%234 152 79 19 5 12 501 
Greater than 90% and less than or equal to 100%56 3 1 — — 2 62 
Greater than 100%— — — — — 1 1 
Total adjustable-rate3,225 1,994 2,492 4,784 2,683 16,263 31,441 
Other:
Less than or equal to 80%— 41 328 811 1,028 36,216 38,424 
Greater than 80% and less than or equal to 90%— 2 20 43 30 1,298 1,393 
Greater than 90% and less than or equal to 100%— 2 8 16 10 602 638 
Greater than 100%— — 4 8 9 631 652 
Total other— 45 360 878 1,077 38,747 41,107 
Total$1,253,449 $367,647 $178,798 $226,092 $272,831 $972,993 $3,271,810 
Total for all classes by LTV ratio:(2)
Less than or equal to 80%$978,509 $277,248 $154,357 $220,388 $270,966 $960,696 $2,862,164 
Greater than 80% and less than or equal to 90%163,839 86,192 23,574 5,346 1,635 7,288 287,874 
Greater than 90% and less than or equal to 100%111,073 4,200 832 270 137 2,608 119,120 
Greater than 100%28 7 35 88 93 2,401 2,652 
Total$1,253,449 $367,647 $178,798 $226,092 $272,831 $972,993 $3,271,810 
As of December 31, 2019(1)
20- and 30-Year or More, Amortizing Fixed-Rate15-Year or Less, Amortizing Fixed-RateAdjustable-RateOtherTotal
(Dollars in millions)
Estimated mark-to-market LTV ratio:(2)
Less than or equal to 80%$2,145,018 $368,181 $43,415 $47,005 $2,603,619 
Greater than 80% and less than or equal to 90%
237,623 4,556 1,275 2,872 246,326 
Greater than 90% and less than or equal to 100%
130,152 1,284 215 1,398 133,049 
Greater than 100%4,754 66 3 1,365 6,188 
Total$2,517,547 $374,087 $44,908 $52,640 $2,989,182 
(1)Excludes $13.5 billion and $17.1 billion as of December 31, 2020 and 2019, respectively, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies, which represents 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 divided by the estimated current value of the property as of the end of each reported period, which we calculate using an internal valuation model that estimates periodic changes in home value.
The following table displays the total amortized cost of our multifamily HFI loans by year of origination and credit-risk rating, excluding loans for which we have elected the fair value option. Property rental income and property valuations are key inputs to our internally assigned credit risk ratings.
As of December 31, 2020, by Year of Origination
20202019201820172016PriorTotal
(Dollars in millions)
Internally assigned credit risk rating:
Non-classified(1)
$71,977 $68,296 $62,087 $50,907 $43,174 $70,933 $367,374 
Classified(2)
37 1,041 1,529 2,616 1,579 3,250 10,052 
Total$72,014 $69,337 $63,616 $53,523 $44,753 $74,183 $377,426 

As of December 31, 2019
(Dollars in millions)
Credit risk profile by internally assigned grade:
Non-classified(1)
$323,773 
Classified(2)
6,845 
Total$330,618 
(1)A loan categorized as “Non-classified” is current or adequately protected by the current financial strength and debt service capability of the borrower.
(2)Represents loans classified as “Substandard” or “Doubtful.” Loans classified as “Substandard” have a well-defined weakness that jeopardizes the timely full repayment. “Doubtful” refers to a loan with a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions and values. We had loans with an amortized cost of less than $1 million classified as doubtful as of December 31, 2020, and loans with an amortized cost of $5 million classified as doubtful as of December 31, 2019.
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. However, our current TDR accounting described herein is temporarily impacted by our election to account for certain eligible loss mitigation activities under the COVID-19 Relief granted pursuant to the CARES Act, as extended by the Consolidated Appropriations Act of 2021. See “Note 1, Summary of Significant Accounting Policies” for more information on the relief from TDR accounting and disclosure requirements.
The substantial majority of the loan modifications accounted for as a TDR result in term extensions, interest rate reductions or a combination of both. The average term extension of a single-family modified loan was 163 months, 162 months and 109 months for the years ended December 31, 2020, 2019 and 2018, respectively. The average interest rate reduction was 0.37, 0.13 and 0.21 percentage points for the years ended December 31, 2020, 2019 and 2018, respectively.
The following table displays the number of loans and amortized cost of loans classified as a TDR during the period.
For the Year Ended December 31,
202020192018
Number of LoansAmortized CostNumber of LoansAmortized CostNumber of LoansAmortized Cost
(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed rate29,938 $5,125 43,283 $7,140 79,397 $12,485 
15-year or less, amortizing fixed rate2,956 257 4,762 424 8,953 823 
Adjustable-rate467 72 813 123 844 129 
Other1,688 211 3,001 403 6,618 916 
Total single-family35,049 5,665 51,859 8,090 95,812 14,353 
Multifamily— — 11 56 14 74 
Total TDRs35,049 $5,665 51,870 $8,146 95,826 $14,427 
For loans that defaulted in the period presented and that were classified as a TDR in the twelve months prior to the default, the following table displays the number of loans and the amortized cost of these loans at the time of 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,
202020192018
Number of LoansAmortized CostNumber of LoansAmortized CostNumber of LoansAmortized Cost
(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed rate14,127 $2,578 15,189 $2,366 18,344 $2,675 
15-year or less, amortizing fixed rate148 10 594 45 206 15 
Adjustable-rate16 2 91 14 63 8 
Other1,291 208 1,975 315 3,129 523 
Total single-family15,582 2,798 17,849 2,740 21,742 3,221 
Multifamily4 16 2 18 2 3 
Total TDRs that subsequently defaulted15,586 $2,814 17,851 $2,758 21,744 $3,224 
Nonaccrual Loans
The table below displays the forgone interest and the accrued interest receivable written off through the reversal of interest income for nonaccrual loans. For updates to our application of our nonaccrual policy for loans negatively impacted by the COVID-19 pandemic, see “Note 1, Summary of Significant Accounting Policies.”

For the Year Ended December 31, 2020
(Dollars in millions)
Single-family:
Interest income forgone(1)
$739 
Accrued interest receivable written off through the reversal of interest income206 
Multifamily:
Interest income forgone(1)
$19 
Accrued interest receivable written off through the reversal of interest income19 
(1)For loans on nonaccrual status held as of period end, represents the amount of interest income we did not recognize but would have recognized if the loans had performed in accordance with their original contractual terms.
The table below includes the amortized cost of and interest income recognized on our HFI single-family and multifamily loans on nonaccrual status by class, excluding loans for which we have elected the fair value option.

As of December 31,For the Year Ended December 31, 2020
20202019
Amortized Cost
Total Interest Income Recognized(1)
(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate$22,907 $23,427 $461 
15-year or less, amortizing fixed-rate853 858 15 
Adjustable-rate270 288 5 
Other2,475 2,973 43 
Total single-family26,505 27,546 524 
Multifamily2,069 435 59 
Total nonaccrual loans$28,574 $27,981 $583 
(1)Single-family interest income recognized includes amounts accrued while the loans were performing, including the amortization of any deferred cost basis adjustments, as well as payments received on nonaccrual loans, for nonaccrual loans held as of period end. Multifamily interest income recognized includes amounts accrued while the loans were performing and the amortization of any deferred cost basis adjustments, for nonaccrual loans held as of period end.
Individually Impaired Loans
Prior to the adoption of the CECL standard, we recorded a specific loss reserve for individually impaired loans and a collective loss reserve for all other 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, excluding loans classified as HFS and loans for which we have elected the fair value option. The following tables display the unpaid principal balance, total amortized cost and related allowance for loan losses as of December 31, 2019 and average amortized cost, total interest income recognized and interest income recognized on a cash basis for individually impaired loans for the years ended December 31, 2019 and 2018.
As of December 31, 2019
Unpaid Principal BalanceTotal Amortized CostRelated Allowance for Loan Losses
(Dollars in millions)
Individually impaired loans:
With related allowance recorded:
Single-family:
20- and 30-year or more, amortizing fixed-rate$63,091 $61,033 $(5,851)
15-year or less, amortizing fixed-rate954 960 (24)
Adjustable-rate156 157 (9)
Other15,181 14,078 (2,291)
Total single-family79,382 76,228 (8,175)
Multifamily314 315 (45)
Total individually impaired loans with related allowance recorded79,696 76,543 (8,220)
With no related allowance recorded:(1)
Single-family:
20- and 30-year or more, amortizing fixed-rate18,372 17,578 — 
15-year or less, amortizing fixed-rate410 407 — 
Adjustable-rate265 265 — 
Other3,014 2,718 — 
Total single-family22,061 20,968 — 
Multifamily363 365 — 
Total individually impaired loans with no related allowance recorded22,424 21,333 — 
Total individually impaired loans(2)
$102,120 $97,876 $(8,220)
(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 an amortized cost of $96.9 billion as of December 31, 2019. Includes multifamily loans restructured in a TDR with an amortized cost of $102 million as of December 31, 2019.
For the Year Ended December 31,
20192018
Average Amortized CostTotal Interest Income RecognizedInterest Income Recognized on a Cash BasisAverage Amortized CostTotal Interest Income RecognizedInterest Income Recognized on a Cash Basis
(Dollars in millions)
Individually impaired loans:
With related allowance recorded:
Single-family:
20- and 30-year or more, amortizing fixed-rate$69,731 $2,908 $260 $83,498 $3,463 $372 
15-year or less, amortizing fixed-rate1,176 40 3 1,410 53 8 
Adjustable-rate141 6 1 154 6 1 
Other17,125 705 51 25,170 1,039 76 
Total single-family88,173 3,659 315 110,232 4,561 457 
Multifamily287 7 — 235 3 — 
Total individually impaired loans with related allowance recorded88,460 3,666 315 110,467 4,564 457 
With no related allowance recorded:(1)
Single-family:
20- and 30-year or more, amortizing fixed-rate15,569 977 143 14,347 938 113 
15-year or less, amortizing fixed-rate339 15 4 192 10 4 
Adjustable-rate331 15 2 466 19 2 
Other2,836 212 20 3,489 278 22 
Total single-family19,075 1,219 169 18,494 1,245 141 
Multifamily375 31 — 336 14 — 
Total individually impaired loans with no related allowance recorded19,450 1,250 169 18,830 1,259 141 
Total individually impaired loans$107,910 $4,916 $484 $129,297 $5,823 $598 
(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.