Mortgage Loans (Tables)

6 Months Ended

Jun. 30, 2021

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]

Loans in Mortgage Portfolio

The following table displays the carrying value of our mortgage loans and allowance for loan losses.

	As of
	June 30, 2021		December 31, 2020
	(Dollars in millions)
Single-family	$	3,390,827	$	3,216,146
Multifamily	391,725		373,722
Total unpaid principal balance of mortgage loans	3,782,552		3,589,868
Cost basis and fair value adjustments, net	75,869		74,576
Allowance for loan losses for HFI loans	(7,114)		(10,552)
Total mortgage loans(1)	$	3,851,307	$	3,653,892

(1)Excludes $10.0 billion and $9.8 billion of accrued interest receivable, net of allowance as of June 30, 2021 and December 31, 2020, respectively.

The following table displays information about our redesignation of loans from HFI to HFS and the sales of mortgage loans during the period.

		For the Three Months Ended June 30,				For the Six Months Ended June 30,
		2021		2020		2021		2020
	(Dollars in millions)
Single-family loans redesignated from HFI to HFS:
Amortized cost		$	6,305	$	—	$	9,417	$	1,637
Lower of cost or fair value adjustment at time of redesignation(1)		(146)		—		(200)		(9)
Allowance reversed at time of redesignation		824		—		1,185		184
Single-family loans sold:
Unpaid principal balance		$	7,317	$	495	$	7,525	$	495
Realized gains, net		653		40		655		40

(1)Consists of the write-off against the allowance at the time of redesignation.

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 Coronavirus Aid, Relief, and Economic Security Act (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.

	As of June 30, 2021
	30 - 59 Days Delinquent		60 - 89 Days Delinquent		Seriously Delinquent(1)		Total Delinquent		Current		Total		Loans 90 Days or More Delinquent and Accruing Interest		Nonaccrual Loans with No Allowance
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	18,550	$	5,372	$	64,064	$	87,986	$	2,788,952	$	2,876,938	$	44,622	$	6,368
15-year or less, amortizing fixed-rate	1,773		358		3,331		5,462		506,307		511,769		2,851		202
Adjustable-rate	170		44		770		984		25,447		26,431		617		101
Other(2)	715		237		3,348		4,300		41,664		45,964		1,837		767
Total single-family	21,208		6,011		71,513		98,732		3,362,370		3,461,102		49,927		7,438
Multifamily(3)	1,219		N/A		2,027		3,246		391,673		394,919		110		108
Total	$	22,427	$	6,011	$	73,540	$	101,978	$	3,754,043	$	3,856,021	$	50,037	$	7,546

	As of December 31, 2020
	30 - 59 Days Delinquent		60 - 89 Days Delinquent		Seriously Delinquent(1)		Total Delinquent		Current		Total		Loans 90 Days or More Delinquent and Accruing Interest		Nonaccrual 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-rate	268		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/A		3,688		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

(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.

Troubled Debt Restructurings Activity

The following tables display the number of loans and amortized cost of loans classified as a TDR during the period.

		For the Three Months Ended June 30,
		2021			2020
		Number of Loans	Amortized Cost		Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate		2,907	$	458	8,511	$	1,497
15-year or less, amortizing fixed-rate		308	26		796	68
Adjustable-rate		37	6		142	22
Other		174	17		556	70
Total single-family		3,426	507		10,005	1,657
Multifamily		—	—		—	—
Total TDRs		3,426	$	507	10,005	$	1,657

		For the Six Months Ended June 30,
		2021			2020
		Number of Loans	Amortized Cost		Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate		5,896	$	929	19,367	$	3,406
15-year or less, amortizing fixed-rate		677	54		1,869	166
Adjustable-rate		78	12		286	46
Other		328	35		1,093	138
Total single-family		6,979	1,030		22,615	3,756
Multifamily		—	—		—	—
Total TDRs		6,979	$	1,030	22,615	$	3,756

For loans that defaulted in the periods presented and that were classified as a TDR in the twelve months prior to the default, the following tables display 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 Three Months Ended June 30,
		2021			2020
		Number of Loans	Amortized Cost		Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate		1,562	$	262	5,398	$	1,066
15-year or less, amortizing fixed-rate		103	8		35	3
Adjustable-rate		6	1		5	1
Other		211	38		548	94
Total single-family		1,882	309		5,986	1,164
Multifamily		—	—		2	14
Total TDRs that subsequently defaulted		1,882	$	309	5,988	$	1,178

		For the Six Months Ended June 30,
		2021			2020
		Number of Loans	Amortized Cost		Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate		3,972	$	675	8,573	$	1,587
15-year or less, amortizing fixed-rate		197	14		85	6
Adjustable-rate		15	3		12	2
Other		493	91		875	145
Total single-family		4,677	783		9,545	1,740
Multifamily		—	—		4	16
Total TDRs that subsequently defaulted		4,677	$	783	9,549	$	1,756

Financing Receivable, Nonaccrual

The tables below display the forgone interest and the accrued interest receivable written off through the reversal of interest income for nonaccrual loans.

		For the Three Months Ended June 30,
		2021		2020
	(Dollars in millions)
Single-family:
Interest income forgone(1)		$	178	$	246
Accrued interest receivable written off through the reversal of interest income		21		45
Multifamily:
Interest income forgone(1)		$	21	$	3
Accrued interest receivable written off through the reversal of interest income		—		2

		For the Six Months Ended June 30,
		2021		2020
	(Dollars in millions)
Single-family:
Interest income forgone(1)		$	398	$	420
Accrued interest receivable written off through the reversal of interest income		129		132
Multifamily:
Interest income forgone(1)		$	29	$	3
Accrued interest receivable written off through the reversal of interest income		1		2

(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 tables below include 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
		June 30, 2021		March 31, 2021		December 31, 2020
		Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate		$	24,728	$	30,173	$	22,907
15-year or less, amortizing fixed-rate		596		945		853
Adjustable-rate		179		284		270
Other		1,761		2,583		2,475
Total single-family		27,264		33,985		26,505
Multifamily		2,220		2,153		2,069
Total nonaccrual loans		$	29,484	$	36,138	$	28,574

	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2021		2020		2021		2020
	Total Interest Income Recognized(1)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	95	$	75	$	180	$	221
15-year or less, amortizing fixed-rate	2		2		3		6
Adjustable-rate	—		1		1		2
Other	6		10		11		27
Total single-family	103		88		195		256
Multifamily	4		—		13		1
Total nonaccrual loans	$	107	$	88	$	208	$	257

(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 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.

Single-family

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]

Credit Quality Indicators

The following tables display the total amortized cost of 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 loan-to-value (“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 June 30, 2021, by Year of Origination(1)
	2021		2020		2019		2018		2017		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%	$	420,585	$	896,208	$	221,164	$	112,444	$	139,038	$	795,999	$	2,585,438
Greater than 80% and less than or equal to 90%	69,029		141,426		12,239		2,578		1,133		3,351		229,756
Greater than 90% and less than or equal to 100%	51,418		7,105		839		414		85		912		60,773
Greater than 100%	2		11		9		17		39		893		971
Total 20- and 30-year or more, amortizing fixed-rate	541,034		1,044,750		234,251		115,453		140,295		801,155		2,876,938
15-year or less, amortizing fixed-rate:
Less than or equal to 80%	110,924		179,693		31,926		12,068		25,239		146,570		506,420
Greater than 80% and less than or equal to 90%	2,522		2,020		56		11		5		13		4,627
Greater than 90% and less than or equal to 100%	653		47		1		1		2		6		710
Greater than 100%	—		—		—		1		2		9		12
Total 15-year or less, amortizing fixed-rate	114,099		181,760		31,983		12,081		25,248		146,598		511,769
Adjustable-rate:
Less than or equal to 80%	1,857		2,602		1,416		1,680		3,376		15,131		26,062
Greater than 80% and less than or equal to 90%	148		104		18		12		6		6		294
Greater than 90% and less than or equal to 100%	73		1		—		—		—		1		75
Greater than 100%	—		—		—		—		—		—		—
Total adjustable-rate	2,078		2,707		1,434		1,692		3,382		15,138		26,431
Other:
Less than or equal to 80%	—		—		37		305		739		31,490		32,571
Greater than 80% and less than or equal to 90%	—		—		2		8		16		569		595
Greater than 90% and less than or equal to 100%	—		—		—		3		6		275		284
Greater than 100%	—		—		—		2		3		290		295
Total other	—		—		39		318		764		32,624		33,745
Total	$	657,211	$	1,229,217	$	267,707	$	129,544	$	169,689	$	995,515	$	3,448,883
Total for all classes by LTV ratio:(2)
Less than or equal to 80%	$	533,366	$	1,078,503	$	254,543	$	126,497	$	168,392	$	989,190	$	3,150,491
Greater than 80% and less than or equal to 90%	71,699		143,550		12,315		2,609		1,160		3,939		235,272
Greater than 90% and less than or equal to 100%	52,144		7,153		840		418		93		1,194		61,842
Greater than 100%	2		11		9		20		44		1,192		1,278
Total	$	657,211	$	1,229,217	$	267,707	$	129,544	$	169,689	$	995,515	$	3,448,883

	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-rate	1,061,427		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-rate	188,797		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-rate	3,225		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

(1)Excludes $12.2 billion and $13.5 billion as of June 30, 2021 and December 31, 2020, 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.

Multifamily

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]

Credit Quality Indicators

The following tables display the total amortized cost in 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 June 30, 2021, by Year of Origination
	2021		2020		2019		2018		2017		Prior		Total
	(Dollars in millions)
Internally assigned credit risk rating:
Non-classified(1)	$	22,243	$	81,446	$	67,290	$	60,608	$	49,030	$	102,818	$	383,435
Classified(2)	—		218		1,190		1,614		2,856		5,606		11,484
Total	$	22,243	$	81,664	$	68,480	$	62,222	$	51,886	$	108,424	$	394,919

	As of December 31, 2020, by Year of Origination
	2020		2019		2018		2017		2016		Prior		Total
	(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

(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. As of June 30, 2021 and December 31, 2020, we had loans with an amortized cost of $5 million and less than $1 million, respectively, classified as doubtful.