Mortgage Loans (Tables)

12 Months Ended

Dec. 31, 2021

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


	As of December 31,
	2021		2020
	(Dollars in millions)
Single-family	$	3,495,573	$	3,216,146
Multifamily	403,452		373,722
Total unpaid principal balance of mortgage loans	3,899,025		3,589,868
Cost basis and fair value adjustments, net	74,846		74,576
Allowance for loan losses for HFI loans	(5,629)		(10,552)
Total mortgage loans(1)	$	3,968,242	$	3,653,892

(1)Excludes $9.1 billion and $9.8 billion of accrued interest receivable, net of allowance as of December 31, 2021 and 2020, respectively.

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


	For the Year Ended December 31,
	2021		2020		2019
	(Dollars in millions)
Single family loans redesignated from HFI to HFS:
Amortized cost	$	16,606	$	8,309	$	18,245
Lower of cost or fair value adjustment at time of redesignation(1)	(372)		(291)		(995)
Allowance reversed at time of redesignation	1,605		963		2,484

Single family loans redesignated from HFS to HFI:
Amortized cost	$	5	$	144	$	28
Allowance established at time of redesignation	(1)		(15)		(1)

Single-family loans sold:
Unpaid principal balance	$	16,977	$	9,519	$	19,737
Realized gains, net	1,624		831		1,238

(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 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 December 31, 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		$	22,862	$	5,192	$	38,288	$	66,342	$	2,902,763	$	2,969,105	$	24,236	$	6,271
15-year or less, amortizing fixed-rate		2,024		326		1,799		4,149		529,278		533,427		1,454		193
Adjustable-rate		161		36		374		571		25,771		26,342		287		63
Other(2)		786		204		1,942		2,932		35,013		37,945		1,008		545
Total single-family		25,833		5,758		42,403		73,994		3,492,825		3,566,819		26,985		7,072
Multifamily(3)		114		N/A		1,693		1,807		404,398		406,205		317		107
Total		$	25,947	$	5,758	$	44,096	$	75,801	$	3,897,223	$	3,973,024	$	27,302	$	7,179


	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.

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 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, 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%	$	798,830	$	881,290	$	177,909	$	87,825	$	111,059	$	666,327	$	2,723,240
Greater than 80% and less than or equal to 90%	129,340		39,689		2,689		1,056		622		1,687		175,083
Greater than 90% and less than or equal to 100%	66,667		2,278		544		229		57		460		70,235
Greater than 100%	21		12		9		16		22		467		547
Total 20- and 30-year or more, amortizing fixed-rate	994,858		923,269		181,151		89,126		111,760		668,941		2,969,105
15-year or less, amortizing fixed-rate:
Less than or equal to 80%	196,163		157,076		25,390		9,595		20,715		121,027		529,966
Greater than 80% and less than or equal to 90%	2,576		259		16		4		2		7		2,864
Greater than 90% and less than or equal to 100%	579		5		—		1		1		4		590
Greater than 100%	—		—		—		—		2		5		7
Total 15-year or less, amortizing fixed-rate	199,318		157,340		25,406		9,600		20,720		121,043		533,427
Adjustable-rate:
Less than or equal to 80%	6,166		2,235		1,065		1,236		2,524		12,501		25,727
Greater than 80% and less than or equal to 90%	438		25		7		4		2		3		479
Greater than 90% and less than or equal to 100%	135		1		—		—		—		—		136
Greater than 100%	—		—		—		—		—		—		—
Total adjustable-rate	6,739		2,261		1,072		1,240		2,526		12,504		26,342
Other:
Less than or equal to 80%	—		—		34		268		655		26,930		27,887
Greater than 80% and less than or equal to 90%	—		—		—		3		6		275		284
Greater than 90% and less than or equal to 100%	—		—		—		1		2		133		136
Greater than 100%	—		—		—		1		1		141		143
Total other	—		—		34		273		664		27,479		28,450
Total	$	1,200,915	$	1,082,870	$	207,663	$	100,239	$	135,670	$	829,967	$	3,557,324

Total for all classes by LTV ratio:(2)
Less than or equal to 80%	$	1,001,159	$	1,040,601	$	204,398	$	98,924	$	134,953	$	826,785	$	3,306,820
Greater than 80% and less than or equal to 90%	132,354		39,973		2,712		1,067		632		1,972		178,710
Greater than 90% and less than or equal to 100%	67,381		2,284		544		231		60		597		71,097
Greater than 100%	21		12		9		17		25		613		697
Total	$	1,200,915	$	1,082,870	$	207,663	$	100,239	$	135,670	$	829,967	$	3,557,324


	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 $9.5 billion and $13.5 billion as of December 31, 2021 and 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.

The following tables display 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, 2021, by Year of Origination
	2021		2020		2019		2018		2017		Prior		Total
	(Dollars in millions)
Internally assigned credit risk rating:
Non-classified(1)	$	58,986	$	79,602	$	64,278	$	55,552	$	44,037	$	87,549	$	390,004
Classified(2)	21		595		2,288		2,114		4,091		7,092		16,201
Total	$	59,007	$	80,197	$	66,566	$	57,666	$	48,128	$	94,641	$	406,205


	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 loans with an amortized cost of less than $1 million classified as doubtful as of December 31, 2021 and 2020.

Troubled Debt Restructurings Activity

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,
	2021					2020					2019
	Number of Loans		Amortized Cost			Number of Loans		Amortized Cost			Number of Loans		Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed rate		10,815		$	1,717		29,938		$	5,125		43,283		$	7,140
15-year or less, amortizing fixed rate		1,165		93			2,956		257			4,762		424
Adjustable-rate		116		17			467		72			813		123
Other		524		56			1,688		211			3,001		403
Total single-family		12,620		1,883			35,049		5,665			51,859		8,090
Multifamily		—		—			—		—			11		56
Total TDRs		12,620		$	1,883		35,049		$	5,665		51,870		$	8,146

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,
	2021					2020					2019
	Number of Loans		Amortized Cost			Number of Loans		Amortized Cost			Number of Loans		Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed rate		7,799		$	1,302		14,127		$	2,578		15,189		$	2,366
15-year or less, amortizing fixed rate		489		37			148		10			594		45
Adjustable-rate		33		5			16		2			91		14
Other		922		166			1,291		208			1,975		315
Total single-family		9,243		1,510			15,582		2,798			17,849		2,740
Multifamily		—		—			4		16			2		18
Total TDRs that subsequently defaulted		9,243		$	1,510		15,586		$	2,814		17,851		$	2,758

Financing Receivable, Nonaccrual

The table below displays the accrued interest receivable written off through the reversal of interest income for nonaccrual loans.


		For the Year Ended December 31, 2021
		2021		2020
	(Dollars in millions)
Accrued interest receivable written off through the reversal of interest income:
Single-family		$	163	$	206
Multifamily		1		19

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,
	2021		2020		2019		2021		2020
	Amortized Cost						Total Interest Income Recognized(1)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	17,599	$	22,907	$	23,427	$	292	$	461
15-year or less, amortizing fixed-rate	430		853		858		6		15
Adjustable-rate	107		270		288		1		5
Other	1,101		2,475		2,973		15		43
Total single-family	19,237		26,505		27,546		314		524
Multifamily	1,259		2,069		435		14		59
Total nonaccrual loans	$	20,496	$	28,574	$	27,981	$	328	$	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 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.