Mortgage Loans (Tables)

9 Months Ended

Sep. 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
	September 30, 2021		December 31, 2020
	(Dollars in millions)
Single-family	$	3,435,023	$	3,216,146
Multifamily	398,168		373,722
Total unpaid principal balance of mortgage loans	3,833,191		3,589,868
Cost basis and fair value adjustments, net	76,812		74,576
Allowance for loan losses for HFI loans	(6,334)		(10,552)
Total mortgage loans(1)	$	3,903,669	$	3,653,892

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

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 September 30,				For the Nine Months Ended September 30,
		2021		2020		2021		2020
	(Dollars in millions)
Single-family loans redesignated from HFI to HFS:
Amortized cost		$	3,427	$	5,305	$	12,844	$	6,942
Lower of cost or fair value adjustment at time of redesignation(1)		(47)		(227)		(247)		(236)
Allowance reversed at time of redesignation		165		737		1,350		921
Single-family loans sold:
Unpaid principal balance		$	3,063	$	4,593	$	10,588	$	5,088
Realized gains, net		300		424		955		464

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

Financing Receivable, Past Due

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 September 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	$	19,980	$	5,013	$	48,802	$	73,795	$	2,838,393	$	2,912,188	$	33,274	$	5,608
15-year or less, amortizing fixed-rate	1,960		337		2,477		4,774		519,238		524,012		2,083		185
Adjustable-rate	165		32		537		734		26,235		26,969		434		72
Other(2)	715		212		2,425		3,352		39,285		42,637		1,360		541
Total single-family	22,820		5,594		54,241		82,655		3,423,151		3,505,806		37,151		6,406
Multifamily(3)	368		N/A		1,656		2,024		399,217		401,241		122		126
Total	$	23,188	$	5,594	$	55,897	$	84,679	$	3,822,368	$	3,907,047	$	37,273	$	6,532

	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 September 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		2,126	$	345	5,993	$	1,006
15-year or less, amortizing fixed-rate		209	16		579	50
Adjustable-rate		18	2		109	16
Other		88	8		371	47
Total single-family		2,441	371		7,052	1,119
Multifamily		—	—		—	—
Total TDRs		2,441	$	371	7,052	$	1,119

		For the Nine Months Ended September 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		8,022	$	1,274	25,360	$	4,412
15-year or less, amortizing fixed-rate		886	70		2,448	216
Adjustable-rate		96	14		395	62
Other		416	43		1,464	185
Total single-family		9,420	1,401		29,667	4,875
Multifamily		—	—		—	—
Total TDRs		9,420	$	1,401	29,667	$	4,875

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 September 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		1,782	$	294	2,956	$	532
15-year or less, amortizing fixed-rate		133	10		21	1
Adjustable-rate		11	1		3	—
Other		200	37		219	35
Total single-family		2,126	342		3,199	568
Multifamily		—	—		—	—
Total TDRs that subsequently defaulted		2,126	$	342	3,199	$	568

		For the Nine Months Ended September 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		5,754	$	969	11,529	$	2,119
15-year or less, amortizing fixed-rate		330	24		106	7
Adjustable-rate		26	4		15	2
Other		693	128		1,094	180
Total single-family		6,803	1,125		12,744	2,308
Multifamily		—	—		4	16
Total TDRs that subsequently defaulted		6,803	$	1,125	12,748	$	2,324

Financing Receivable, Nonaccrual

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

		For the Three Months Ended September 30,
		2021		2020
	(Dollars in millions)
Single-family:
Interest income forgone(1)		$	133	$	219
Accrued interest receivable written off through the reversal of interest income		15		33
Multifamily:
Interest income forgone(1)		$	13	$	8
Accrued interest receivable written off through the reversal of interest income		—		5

		For the Nine Months Ended September 30,
		2021		2020
	(Dollars in millions)
Single-family:
Interest income forgone(1)		$	450	$	573
Accrued interest receivable written off through the reversal of interest income		144		165
Multifamily:
Interest income forgone(1)		$	33	$	9
Accrued interest receivable written off through the reversal of interest income		1		7

(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
		September 30, 2021		June 30, 2021		December 31, 2020
		Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate		$	20,083	$	24,728	$	22,907
15-year or less, amortizing fixed-rate		491		596		853
Adjustable-rate		126		179		270
Other		1,277		1,761		2,475
Total single-family		21,977		27,264		26,505
Multifamily		2,253		2,220		2,069
Total nonaccrual loans		$	24,230	$	29,484	$	28,574

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2021		2020		2021		2020
	Total Interest Income Recognized(1)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	67	$	68	$	241	$	309
15-year or less, amortizing fixed-rate	1		2		4		9
Adjustable-rate	—		1		1		3
Other	3		5		14		31
Total single-family	71		76		260		352
Multifamily	9		—		24		3
Total nonaccrual loans	$	80	$	76	$	284	$	355

(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 September 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%	$	613,085	$	912,984	$	199,883	$	99,052	$	123,581	$	724,677	$	2,673,262
Greater than 80% and less than or equal to 90%	107,349		63,299		3,821		1,250		731		2,226		178,676
Greater than 90% and less than or equal to 100%	55,381		2,642		626		302		60		585		59,596
Greater than 100%	3		6		7		12		27		599		654
Total 20- and 30-year or more, amortizing fixed-rate	775,818		978,931		204,337		100,616		124,399		728,087		2,912,188
15-year or less, amortizing fixed-rate:
Less than or equal to 80%	157,618		167,706		28,311		10,712		22,806		133,000		520,153
Greater than 80% and less than or equal to 90%	2,642		564		23		5		3		9		3,246
Greater than 90% and less than or equal to 100%	589		9		—		1		1		4		604
Greater than 100%	—		—		—		1		1		7		9
Total 15-year or less, amortizing fixed-rate	160,849		168,279		28,334		10,719		22,811		133,020		524,012
Adjustable-rate:
Less than or equal to 80%	4,791		2,424		1,239		1,424		2,880		13,636		26,394
Greater than 80% and less than or equal to 90%	377		39		7		5		2		3		433
Greater than 90% and less than or equal to 100%	141		1		—		—		—		—		142
Greater than 100%	—		—		—		—		—		—		—
Total adjustable-rate	5,309		2,464		1,246		1,429		2,882		13,639		26,969
Other:
Less than or equal to 80%	—		—		35		287		697		29,199		30,218
Greater than 80% and less than or equal to 90%	—		—		—		5		9		387		401
Greater than 90% and less than or equal to 100%	—		—		1		1		2		185		189
Greater than 100%	—		—		—		2		2		189		193
Total other	—		—		36		295		710		29,960		31,001
Total	$	941,976	$	1,149,674	$	233,953	$	113,059	$	150,802	$	904,706	$	3,494,170
Total for all classes by LTV ratio:(2)
Less than or equal to 80%	$	775,494	$	1,083,114	$	229,468	$	111,475	$	149,964	$	900,512	$	3,250,027
Greater than 80% and less than or equal to 90%	110,368		63,902		3,851		1,265		745		2,625		182,756
Greater than 90% and less than or equal to 100%	56,111		2,652		627		304		63		774		60,531
Greater than 100%	3		6		7		15		30		795		856
Total	$	941,976	$	1,149,674	$	233,953	$	113,059	$	150,802	$	904,706	$	3,494,170

	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 $11.6 billion and $13.5 billion as of September 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 September 30, 2021, by Year of Origination
	2021		2020		2019		2018		2017		Prior		Total
	(Dollars in millions)
Internally assigned credit risk rating:
Non-classified(1)	$	38,547	$	81,070	$	66,157	$	59,144	$	47,164	$	95,395	$	387,477
Classified(2)	56		264		1,679		1,871		3,353		6,541		13,764
Total	$	38,603	$	81,334	$	67,836	$	61,015	$	50,517	$	101,936	$	401,241

	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. We had no loans classified as doubtful as of September 30, 2021 and loans with an amortized cost of less than $1 million classified as doubtful as of December 31, 2020.