Mortgage Loans (Tables)

6 Months Ended

Jun. 30, 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
	June 30, 2022		December 31, 2021
	(Dollars in millions)
Single-family	$	3,623,404	$	3,495,573
Multifamily	416,341		403,452
Total unpaid principal balance of mortgage loans	4,039,745		3,899,025
Cost basis and fair value adjustments, net	58,255		74,846
Allowance for loan losses for HFI loans	(6,069)		(5,629)
Total mortgage loans(1)	$	4,091,931	$	3,968,242

(1)Excludes $9.4 billion and $9.1 billion of accrued interest receivable, net of allowance as of June 30, 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 June 30,				For the Six Months Ended June 30,
		2022		2021		2022		2021
	(Dollars in millions)
Single-family loans redesignated from HFI to HFS:
Amortized cost		$	3,192	$	6,305	$	4,373	$	9,417
Lower of cost or fair value adjustment at time of redesignation(1)		(209)		(146)		(222)		(200)
Allowance reversed at time of redesignation		155		824		218		1,185
Single-family loans sold:
Unpaid principal balance		$	4,310	$	7,317	$	4,310	$	7,525
Realized gains, net		71		653		71		655

(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 June 30, 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	$	23,117	$	5,016	$	23,501	$	51,634	$	3,045,736	$	3,097,370	$	15,579	$	4,635
15-year or less, amortizing fixed-rate	1,863		263		990		3,116		520,848		523,964		805		122
Adjustable-rate	164		29		178		371		25,577		25,948		130		39
Other(2)	624		164		1,126		1,914		31,752		33,666		566		379
Total single-family	25,768		5,472		25,795		57,035		3,623,913		3,680,948		17,080		5,175
Multifamily(3)	174		N/A		1,392		1,566		416,287		417,853		28		77
Total	$	25,942	$	5,472	$	27,187	$	58,601	$	4,040,200	$	4,098,801	$	17,108	$	5,252

	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 three and six months ended June 30, 2022, presented by portfolio segment and class of financing receivable.

	For the Three Months Ended June 30, 2022
	Payment Delay (Only)
	Forbearance Plan		Payment Deferral		Trial Modification and Repayment Plans		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	$	11,213	$	5,203	$	3,815	$	769	$	4,671	$	25,671	1	%
15-year or less, amortizing fixed-rate	571		287		154		—		—		1,012		*
Adjustable-rate	61		27		28		—		4		120		*
Other	231		121		144		46		148		690		2
Total single-family	12,076		5,638		4,141		815		4,823		27,493		1
Multifamily	23		—		—		—		11		34		*
Total(3)	$	12,099	$	5,638	$	4,141	$	815	$	4,834	$	27,527	1
	For the Six Months Ended June 30, 2022
	Payment Delay (Only)
	Forbearance Plan		Payment Deferral		Trial Modification and Repayment Plans		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	$	14,428	$	11,518	$	6,064	$	1,831	$	9,165	$	43,006	1	%
15-year or less, amortizing fixed-rate	735		653		253		1		1		1,643		*
Adjustable-rate	84		77		53		—		12		226		1
Other	319		304		232		139		374		1,368		4
Total single-family	15,566		12,552		6,602		1,971		9,552		46,243		1
Multifamily	237		—		—		—		11		248		*
Total(3)	$	15,803	$	12,552	$	6,602	$	1,971	$	9,563	$	46,491	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 $269 million and $1.7 billion for the three and six months ended June 30, 2022, respectively, for loans that paid off prior to period end. Also excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale. Loans may move from one category to another, as a result of the restructuring(s) they received during the period.

The following tables summarize the financial impacts of loan modifications and payment deferrals made to single-family HFI loans during the three and six months ended June 30, 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 June 30, 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	1.45	%	180	$	22,997
15-year or less, amortizing fixed-rate	1.88		51	18,394
Adjustable-rate	0.78		—	19,528
Other	1.81		183	22,666
	For the Six Months Ended June 30, 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	1.52	%	179	$	23,372
15-year or less, amortizing fixed-rate	2.69		61	20,361
Adjustable-rate	0.53		—	23,406
Other	1.87		185	24,310

(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 the amortized cost of HFI loans that received a completed modification or payment deferral on or after January 1, 2022, the date we adopted ASU 2022-02, through June 30, 2022 and that defaulted in the period presented. The substantial majority of loans that received a completed modification or a payment deferral during the second quarter of 2022 did not default during the period. For purposes of this disclosure, we define loans that had a payment default as 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 loans that receive a forbearance plan, repayment plan or trial modification, 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. Therefore, forbearance plans, repayment plans and trial modifications are not included in default tables below.

	For the Six Months Ended June 30, 2022(1)
		Payment Delay as a Result of a Payment Deferral (Only)		Payment Delay and Term Extension(1)		Payment Delay, Term Extension and Interest Rate Reduction(1)		Total
	(Dollars in Millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate		$	492	$	62	$	109	$	663
15-year or less, amortizing fixed-rate		21		1		—		22
Adjustable-rate		3		—		1		4
Other		14		5		9		28
Total single-family		530		68		119		717
Multifamily		—		—		—		—
Total loans that subsequently defaulted(2)		$	530	$	68	$	119	$	717

(1)    The substantial majority of loans that subsequently defaulted during the six months ended June 30, 2022, defaulted during the second quarter; therefore we are not separately presenting a table for the three months ended June 30, 2022.

(2)     Represents amortized cost as of period end. Excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale.

The following table displays an aging analysis of HFI mortgage loans that were restructured on or after January 1, 2022, the date we adopted ASU 2022-02, through June 30, 2022, presented by portfolio segment and class of financing receivable. The substantial majority of loans that received a completed modification or a payment deferral during the second quarter of 2022 were not delinquent.

	As of June 30, 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	$	2,351	$	1,680	$	15,203	$	19,234	$	13,130	$	32,364
15-year or less, amortizing fixed-rate	112		87		649		848		507		1,355
Adjustable-rate	14		8		103		125		71		196
Other	65		44		440		549		504		1,053
Total single-family loans modified	2,542		1,819		16,395		20,756		14,212		34,968
Multifamily	—		—		237		237		11		248
Total loans restructured(2)	$	2,542	$	1,819	$	16,632	$	20,993	$	14,223	$	35,216

(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 June 30, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	2,907	$	458
15-year or less, amortizing fixed-rate	308	26
Adjustable-rate	37	6
Other	174	17
Total single-family	3,426	507
Multifamily	—	—
Total TDRs	3,426	$	507

	For the Six Months Ended June 30, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	5,896	$	929
15-year or less, amortizing fixed-rate	677	54
Adjustable-rate	78	12
Other	328	35
Total single-family	6,979	1,030
Multifamily	—	—
Total TDRs	6,979	$	1,030

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 June 30, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	1,562	$	262
15-year or less, amortizing fixed-rate	103	8
Adjustable-rate	6	1
Other	211	38
Total single-family	1,882	309
Multifamily	—	—
Total TDRs that subsequently defaulted	1,882	$	309

	For the Six Months Ended June 30, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	3,972	$	675
15-year or less, amortizing fixed-rate	197	14
Adjustable-rate	15	3
Other	493	91
Total single-family	4,677	783
Multifamily	—	—
Total TDRs that subsequently defaulted	4,677	$	783

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 June 30,
		2022		2021
	(Dollars in millions)
Accrued interest receivable written off through the reversal of interest income:
Single-family		$	15	$	21
Multifamily		1		—

		For the Six Months Ended June 30,
		2022		2021
	(Dollars in millions)
Accrued interest receivable written off through the reversal of interest income:
Single-family		$	32	$	129
Multifamily		1		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 June 30, 2022		For the Six Months Ended June 30, 2022
	June 30, 2022		March 31, 2022		December 31, 2021
	Amortized Cost						Total Interest Income Recognized(1)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	10,241	$	13,692	$	17,599	$	34	$	82
15-year or less, amortizing fixed-rate	245		331		430		1		2
Adjustable-rate	59		84		107		—		—
Other	698		913		1,101		2		5
Total single-family	11,243		15,020		19,237		37		89
Multifamily	1,317		1,258		1,259		8		14
Total nonaccrual loans	$	12,560	$	16,278	$	20,496	$	45	$	103

	As of						For the Three Months Ended June 30, 2021		For the Six Months Ended June 30, 2021
	June 30, 2021		March 31, 2021		December 31, 2020
	Amortized Cost						Total Interest Income Recognized(1)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	24,728	$	30,173	$	22,907	$	95	$	180
15-year or less, amortizing fixed-rate	596		945		853		2		3
Adjustable-rate	179		284		270		—		1
Other	1,761		2,583		2,475		6		11
Total single-family	27,264		33,985		26,505		103		195
Multifamily	2,220		2,153		2,069		4		13
Total nonaccrual loans	$	29,484	$	36,138	$	28,574	$	107	$	208

(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 June 30, 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%	$	190,136	$	937,515	$	856,222	$	157,885	$	75,387	$	695,506	$	2,912,651
Greater than 80% and less than or equal to 90%	47,716		84,022		5,527		1,037		606		1,262		140,170
Greater than 90% and less than or equal to 100%	36,786		5,414		1,270		375		102		273		44,220
Greater than 100%	1		11		9		11		13		284		329
Total 20- and 30-year or more, amortizing fixed-rate	274,639		1,026,962		863,028		159,308		76,108		697,325		3,097,370
15-year or less, amortizing fixed-rate:
Less than or equal to 80%	31,599		196,511		143,922		22,168		8,165		119,586		521,951
Greater than 80% and less than or equal to 90%	802		745		44		6		1		3		1,601
Greater than 90% and less than or equal to 100%	374		31		1		—		—		2		408
Greater than 100%	—		—		—		—		—		4		4
Total 15-year or less, amortizing fixed-rate	32,775		197,287		143,967		22,174		8,166		119,595		523,964
Adjustable-rate:
Less than or equal to 80%	1,920		6,755		2,009		894		1,001		12,698		25,277
Greater than 80% and less than or equal to 90%	310		207		7		1		2		3		530
Greater than 90% and less than or equal to 100%	125		15		1		—		—		—		141
Greater than 100%	—		—		—		—		—		—		—
Total adjustable-rate	2,355		6,977		2,017		895		1,003		12,701		25,948
Other:
Less than or equal to 80%	—		—		—		31		238		24,297		24,566
Greater than 80% and less than or equal to 90%	—		—		—		—		2		151		153
Greater than 90% and less than or equal to 100%	—		—		—		—		1		71		72
Greater than 100%	—		—		—		—		—		71		71
Total other	—		—		—		31		241		24,590		24,862
Total	$	309,769	$	1,231,226	$	1,009,012	$	182,408	$	85,518	$	854,211	$	3,672,144
Total for all classes by LTV ratio:(2)
Less than or equal to 80%	$	223,655	$	1,140,781	$	1,002,153	$	180,978	$	84,791	$	852,087	$	3,484,445
Greater than 80% and less than or equal to 90%	48,828		84,974		5,578		1,044		611		1,419		142,454
Greater than 90% and less than or equal to 100%	37,285		5,460		1,272		375		103		346		44,841
Greater than 100%	1		11		9		11		13		359		404
Total	$	309,769	$	1,231,226	$	1,009,012	$	182,408	$	85,518	$	854,211	$	3,672,144

	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 $8.8 billion and $9.5 billion as of June 30, 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 June 30, 2022, by Year of Origination
	2022		2021		2020		2019		2018		Prior		Total
	(Dollars in millions)
Internally assigned credit risk rating:
Non-classified(1)	$	25,484	$	66,316	$	77,400	$	61,574	$	52,228	$	116,500	$	399,502
Classified(2)	—		134		911		2,676		1,966		12,664		18,351
Total	$	25,484	$	66,450	$	78,311	$	64,250	$	54,194	$	129,164	$	417,853

	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 loans with an amortized cost of $37 million classified as doubtful as of June 30, 2022 and loans with an amortized cost of less than $1 million classified as doubtful as of December 31, 2021.