Mortgage Loans (Tables)

3 Months Ended

Mar. 31, 2022

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
	March 31, 2022		December 31, 2021
	(Dollars in millions)
Single-family	$	3,579,290	$	3,495,573
Multifamily	410,190		403,452
Total unpaid principal balance of mortgage loans	3,989,480		3,899,025
Cost basis and fair value adjustments, net	66,957		74,846
Allowance for loan losses for HFI loans	(5,899)		(5,629)
Total mortgage loans(1)	$	4,050,538	$	3,968,242

(1)Excludes $9.3 billion and $9.1 billion of accrued interest receivable, net of allowance as of March 31, 2022 and December 31, 2021.

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 March 31,
		2022		2021
	(Dollars in millions)
Single-family loans redesignated from HFI to HFS:
Amortized cost		$	1,181	$	3,112
Lower of cost or fair value adjustment at time of redesignation(1)		(13)		(54)
Allowance reversed at time of redesignation		63		361
Single-family loans sold:
Unpaid principal balance		$	—	$	208
Realized gains, net		—		2

(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 of financing receivable, excluding loans for which we have elected the fair value option.

	As of March 31, 2022
	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	$	19,604	$	5,276	$	30,615	$	55,495	$	2,990,605	$	3,046,100	$	19,646	$	5,135
15-year or less, amortizing fixed-rate	1,532		300		1,323		3,155		531,639		534,794		1,061		147
Adjustable-rate	146		36		266		448		25,743		26,191		198		55
Other(2)	594		188		1,497		2,279		33,548		35,827		735		459
Total single-family	21,876		5,800		33,701		61,377		3,581,535		3,642,912		21,640		5,796
Multifamily(3)	72		N/A		1,558		1,630		410,837		412,467		194		98
Total	$	21,948	$	5,800	$	35,259	$	63,007	$	3,992,372	$	4,055,379	$	21,834	$	5,894

	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

(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.

Financing Receivable, Loan Modification

The following table displays the amortized cost of HFI mortgage loans that were restructured during the period by portfolio segment and class of financing receivable as of March 31, 2022.

	For the Three Months Ended March 31, 2022
	Payment Delay (Only)
	Forbearance and Repayment Plans		Trial Modification		Payment Deferral		Payment Delay and Term Extension(1)		Payment Delay, Term Extension and Interest Rate Reduction(1)		Total		Percentage of Total by Financing Class(2)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	16,140	$	5,380	$	6,784	$	1,103	$	4,547	$	33,954	1	%
15-year or less, amortizing fixed-rate	831		211		394		—		1		1,437		*
Adjustable-rate	100		51		57		—		5		213		1
Other	399		224		197		93		226		1,139		3
Total single-family	17,470		5,866		7,432		1,196		4,779		36,743		1
Multifamily	267		—		—		29		—		296		*
Total(3)	$	17,737	$	5,866	$	7,432	$	1,225	$	4,779	$	37,039	1

*    Represents less than 0.5% of total by financing class.

(1)    Represents loans that received a contractual modification.

(2)    Based on the amortized cost basis as of period end, divided by the period end amortized cost basis of the corresponding class of financing receivable.

(3)    Excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale. Also excludes loans that paid off prior to period end. Loans may move from one category to another, as a result of the restructuring(s) they received during the period.

The following table summarizes the financial impacts of loan modifications and payment deferrals made to single-family HFI loans on or after January 1, 2022, the date we adopted ASU 2022-02, through March 31, 2022, presented by class of financing receivable. We discuss the qualitative impacts of forbearance plans, repayment plans, and trial modifications earlier in this footnote. As a result, those loss mitigation options are excluded from the table below.

	For the Three Months Ended March 31, 2022
	Weighted-Average Interest Rate Reduction		Weighted-Average Term Extension (in Months)	Average Amount Capitalized as a Result of a Payment Delay(1)
Loan by class of financing receivable(2):
20- and 30-year or more, amortizing fixed-rate	1.59	%	178	$	23,146
15-year or less, amortizing fixed-rate	0.88		52	20,664
Adjustable-rate	0.22		—	24,838
Other	1.62		186	24,759

(1)    Represents the average amount of delinquency-related amounts that were capitalized as part of the loan balance. Amounts are in whole dollars.

(2)    Excludes the financial effects of modifications for loans that were paid off or otherwise liquidated as of period end.

The following table displays an aging analysis of HFI mortgage loans that entered into a forbearance plan, repayment plan or trial modification on or after January 1, 2022, the date we adopted ASU 2022-02, through March 31, 2022 and remained in one of these loss mitigation options at period end, presented by portfolio segment and class of financing receivable. Loans that receive these loss mitigation options generally remain in default until the loan is no longer delinquent as a result of the payment of all past-due amounts or as a result of a loan modification or payment deferral.

The substantial majority of loans that received a completed modification or payment deferral during the first quarter of 2022 were not in a payment default. Therefore, such restructurings are not included in the aging table below.

	As of March 31, 2022
	30-59 Days Delinquent		60-89 Days Delinquent(1)		Seriously Delinquent		Total Delinquent		Current		Total
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	1,765	$	2,048	$	16,040	$	19,853	$	1,667	$	21,520
15-year or less, amortizing fixed-rate	98		108		715		921		121		1,042
Adjustable-rate	8		9		119		136		15		151
Other	35		42		507		584		39		623
Total single-family loans modified	1,906		2,207		17,381		21,494		1,842		23,336
Multifamily	—		N/A		243		243		24		267
Total loans restructured(2)	$	1,906	$	2,207	$	17,624	$	21,737	$	1,866	$	23,603

(1)    Multifamily loans 60-89 days delinquent are included in the seriously delinquent column.    

(2)    Represents the amortized cost basis as of period end.

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 Three Months Ended March 31, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	2,989	$	471
15-year or less, amortizing fixed-rate	369	28
Adjustable-rate	41	6
Other	154	18
Total single-family	3,553	523
Multifamily	—	—
Total TDRs	3,553	$	523

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 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 defined loans that had a payment default as: single-family and multifamily loans with completed modifications 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 March 31, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	7,172	$	1,327
15-year or less, amortizing fixed-rate	152	11
Adjustable-rate	11	2
Other	633	112
Total single-family	7,968	1,452
Multifamily	—	—
Total TDRs that subsequently defaulted	7,968	$	1,452

Financing Receivable, Nonaccrual

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

		For the Three Months Ended March 31,
		2022		2021
	(Dollars in millions)
Accrued interest receivable written off through the reversal of interest income:
Single-family		$	17	$	108
Multifamily		1		—

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				For the Three Months Ended March 31,
	March 31, 2022		December 31, 2021		2022
	Amortized Cost				Total Interest Income Recognized(1)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	13,692	$	17,599	$	47
15-year or less, amortizing fixed-rate	331		430		1
Adjustable-rate	84		107		—
Other	913		1,101		3
Total single-family	15,020		19,237		51
Multifamily	1,258		1,259		5
Total nonaccrual loans	$	16,278	$	20,496	$	56

	As of				For the Three Months Ended March 31,
	March 31, 2021		December 31, 2020		2021
	Amortized Cost				Total Interest Income Recognized(1)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	30,173	$	22,907	$	64
15-year or less, amortizing fixed-rate	945		853		2
Adjustable-rate	284		270		1
Other	2,583		2,475		4
Total single-family	33,985		26,505		71
Multifamily	2,153		2,069		8
Total nonaccrual loans	$	36,138	$	28,574	$	79

(1)Interest income recognized includes amortization of any deferred cost basis adjustments while the loan is performing and that is not reversed when the loan is placed on nonaccrual status. For loans negatively impacted by the COVID-19 pandemic, also includes amounts accrued but not collected prior to the loan being placed on nonaccrual status. For single-family, interest income recognized includes payments received on 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 of financing receivable, 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 March 31, 2022, by Year of Origination(1)
	2022		2021		2020		2019		2018		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%	$	92,062	$	878,578	$	867,141	$	165,154	$	80,064	$	730,193	$	2,813,192
Greater than 80% and less than or equal to 90%	12,914		131,409		20,233		1,851		842		1,786		169,035
Greater than 90% and less than or equal to 100%	21,743		38,695		1,911		474		161		405		63,389
Greater than 100%	—		47		11		10		15		401		484
Total 20- and 30-year or more, amortizing fixed-rate	126,719		1,048,729		889,296		167,489		81,082		732,785		3,046,100
15-year or less, amortizing fixed-rate:
Less than or equal to 80%	18,861		201,447		149,981		23,495		8,763		129,292		531,839
Greater than 80% and less than or equal to 90%	357		1,933		127		12		2		5		2,436
Greater than 90% and less than or equal to 100%	235		274		2		—		1		2		514
Greater than 100%	—		—		—		—		—		5		5
Total 15-year or less, amortizing fixed-rate	19,453		203,654		150,110		23,507		8,766		129,304		534,794
Adjustable-rate:
Less than or equal to 80%	812		6,736		2,116		969		1,098		13,825		25,556
Greater than 80% and less than or equal to 90%	71		416		16		3		4		3		513
Greater than 90% and less than or equal to 100%	52		68		1		—		—		1		122
Greater than 100%	—		—		—		—		—		—		—
Total adjustable-rate	935		7,220		2,133		972		1,102		13,829		26,191
Other:
Less than or equal to 80%	—		—		—		32		252		25,879		26,163
Greater than 80% and less than or equal to 90%	—		—		—		—		2		223		225
Greater than 90% and less than or equal to 100%	—		—		—		—		1		113		114
Greater than 100%	—		—		—		—		1		108		109
Total other	—		—		—		32		256		26,323		26,611
Total	$	147,107	$	1,259,603	$	1,041,539	$	192,000	$	91,206	$	902,241	$	3,633,696
Total for all classes by LTV ratio:(2)
Less than or equal to 80%	$	111,735	$	1,086,761	$	1,019,238	$	189,650	$	90,177	$	899,189	$	3,396,750
Greater than 80% and less than or equal to 90%	13,342		133,758		20,376		1,866		850		2,017		172,209
Greater than 90% and less than or equal to 100%	22,030		39,037		1,914		474		163		521		64,139
Greater than 100%	—		47		11		10		16		514		598
Total	$	147,107	$	1,259,603	$	1,041,539	$	192,000	$	91,206	$	902,241	$	3,633,696

	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

(1)Excludes $9.2 billion and $9.5 billion as of March 31, 2022 and December 31, 2021, 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 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 March 31, 2022, by Year of Origination
	2022		2021		2020		2019		2018		Prior		Total
	(Dollars in millions)
Internally assigned credit risk rating:
Non-classified(1)	$	7,429	$	66,972	$	78,830	$	62,884	$	53,920	$	124,949	$	394,984
Classified(2)	—		98		473		2,570		2,311		12,031		17,483
Total	$	7,429	$	67,070	$	79,303	$	65,454	$	56,231	$	136,980	$	412,467

	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

(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 March 31, 2022 and loans with an amortized cost of less than $1 million classified as doubtful as of December 31, 2021