Mortgage Loans (Tables)

9 Months Ended

Sep. 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
	September 30, 2022		December 31, 2021
	(Dollars in millions)
Single-family	$	3,638,342	$	3,495,573
Multifamily	420,312		403,452
Total unpaid principal balance of mortgage loans	4,058,654		3,899,025
Cost basis and fair value adjustments, net	54,376		74,846
Allowance for loan losses for HFI loans	(8,302)		(5,629)
Total mortgage loans(1)	$	4,104,728	$	3,968,242

(1)Excludes $9.2 billion and $9.1 billion of accrued interest receivable, net of allowance as of September 30, 2022 and December 31, 2021.

The following table displays information about our purchase of HFI loans, 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,
		2022		2021		2022		2021
	(Dollars in millions)
Purchase of HFI loans:
Single-family unpaid principal balance		$	117,686	$	296,410	$	529,453	$	1,070,136
Multifamily unpaid principal balance		15,943		16,282		50,627		48,580
Single-family loans redesignated from HFI to HFS:
Amortized cost		$	1,726	$	3,427	$	6,099	$	12,844
Lower of cost or fair value adjustment at time of redesignation(1)		(196)		(47)		(418)		(247)
Allowance reversed at time of redesignation		80		165		298		1,350
Single-family loans sold:
Unpaid principal balance		$	1,919	$	3,063	$	6,229	$	10,588
Realized gains, net		20		300		91		955

(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 September 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	$	22,792	$	5,603	$	19,511	$	47,906	$	3,079,227	$	3,127,133	$	12,525	$	3,563
15-year or less, amortizing fixed-rate	1,530		264		808		2,602		504,620		507,222		654		95
Adjustable-rate	147		29		135		311		26,161		26,472		99		28
Other(2)	604		165		876		1,645		30,412		32,057		444		282
Total single-family	25,073		6,061		21,330		52,464		3,640,420		3,692,884		13,722		3,968
Multifamily(3)	282		N/A		1,046		1,328		420,253		421,581		6		14
Total	$	25,355	$	6,061	$	22,376	$	53,792	$	4,060,673	$	4,114,465	$	13,728	$	3,982

	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 nine months ended September 30, 2022, presented by portfolio segment and class of financing receivable.

	For the Three Months Ended September 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	$	9,811	$	3,827	$	2,869	$	1,144	$	2,321	$	19,972	1	%
15-year or less, amortizing fixed-rate	478		196		129		1		1		805		*
Adjustable-rate	49		22		15		—		3		89		*
Other	173		77		86		25		91		452		1
Total single-family	10,511		4,122		3,099		1,170		2,416		21,318		1
Multifamily	6		—		—		—		18		24		*
Total(3)	$	10,517	$	4,122	$	3,099	$	1,170	$	2,434	$	21,342	1
	For the Nine Months Ended September 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	$	13,905	$	14,705	$	5,417	$	2,832	$	11,247	$	48,106	2	%
15-year or less, amortizing fixed-rate	697		794		245		2		1		1,739		*
Adjustable-rate	76		83		39		—		26		224		1
Other	289		353		182		109		497		1,430		4
Total single-family	14,967		15,935		5,883		2,943		11,771		51,499		1
Multifamily	187		—		—		—		18		205		*
Total(3)	$	15,154	$	15,935	$	5,883	$	2,943	$	11,789	$	51,704	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 $205 million and $3.0 billion for the three and nine months ended September 30, 2022, respectively, for loans that received a loss mitigation activity during the period that paid off, repurchased or sold 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 nine months ended September 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 September 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	1.18	%	179	$	20,896
15-year or less, amortizing fixed-rate	1.88		45	16,950
Adjustable-rate	1.47		—	22,079
Other	1.66		192	21,042
	For the Nine Months Ended September 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	%	179	$	22,862
15-year or less, amortizing fixed-rate	2.31		52	19,872
Adjustable-rate	0.82		—	23,065
Other	1.82		184	23,776

(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 tables display 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 September 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 third 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 Three Months Ended September 30, 2022
		Payment Delay as a Result of a Payment Deferral (Only)		Payment Delay and Term Extension		Payment Delay, Term Extension and Interest Rate Reduction		Total
	(Dollars in Millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate		$	766	$	97	$	276	$	1,139
15-year or less, amortizing fixed-rate		26		—		—		26
Adjustable-rate		4		—		2		6
Other		19		4		18		41
Total single-family		815		101		296		1,212
Multifamily		—		—		—		—
Total loans that subsequently defaulted(1)		$	815	$	101	$	296	$	1,212

	For the Nine Months Ended September 30, 2022
		Payment Delay as a Result of a Payment Deferral (Only)		Payment Delay and Term Extension		Payment Delay, Term Extension and Interest Rate Reduction		Total
	(Dollars in Millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate		$	1,083	$	136	$	343	$	1,562
15-year or less, amortizing fixed-rate		39		—		—		39
Adjustable-rate		5		—		3		8
Other		29		7		26		62
Total single-family		1,156		143		372		1,671
Multifamily		—		—		—		—
Total loans that subsequently defaulted(1)		$	1,156	$	143	$	372	$	1,671

(1)    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 September 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 third quarter of 2022 were not delinquent.

	As of September 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	$	3,051	$	2,202	$	13,299	$	18,552	$	22,262	$	40,814
15-year or less, amortizing fixed-rate	132		90		553		775		766		1,541
Adjustable-rate	11		9		80		100		99		199
Other	92		51		361		504		732		1,236
Total single-family loans modified	3,286		2,352		14,293		19,931		23,859		43,790
Multifamily	—		—		187		187		18		205
Total loans restructured(2)	$	3,286	$	2,352	$	14,480	$	20,118	$	23,877	$	43,995

(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 September 30, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	2,126	$	345
15-year or less, amortizing fixed-rate	209	16
Adjustable-rate	18	2
Other	88	8
Total single-family	2,441	371
Multifamily	—	—
Total TDRs	2,441	$	371

	For the Nine Months Ended September 30, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	8,022	$	1,274
15-year or less, amortizing fixed-rate	886	70
Adjustable-rate	96	14
Other	416	43
Total single-family	9,420	1,401
Multifamily	—	—
Total TDRs	9,420	$	1,401

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 September 30, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	1,782	$	294
15-year or less, amortizing fixed-rate	133	10
Adjustable-rate	11	1
Other	200	37
Total single-family	2,126	342
Multifamily	—	—
Total TDRs that subsequently defaulted	2,126	$	342

	For the Nine Months Ended September 30, 2021
	Number of Loans	Amortized Cost
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	5,754	$	969
15-year or less, amortizing fixed-rate	330	24
Adjustable-rate	26	4
Other	693	128
Total single-family	6,803	1,125
Multifamily	—	—
Total TDRs that subsequently defaulted	6,803	$	1,125

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 September 30,
		2022		2021
	(Dollars in millions)
Accrued interest receivable written off through the reversal of interest income:
Single-family		$	14	$	15
Multifamily		1		—

		For the Nine Months Ended September 30,
		2022		2021
	(Dollars in millions)
Accrued interest receivable written off through the reversal of interest income:
Single-family		$	46	$	144
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 September 30, 2022		For the Nine Months Ended September 30, 2022
	September 30, 2022		June 30, 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	$	10,121	$	10,241	$	17,599	$	48	$	175
15-year or less, amortizing fixed-rate	235		245		430		1		3
Adjustable-rate	55		59		107		—		1
Other	591		698		1,101		3		9
Total single-family	11,002		11,243		19,237		52		188
Multifamily	1,231		1,317		1,259		12		25
Total nonaccrual loans	$	12,233	$	12,560	$	20,496	$	64	$	213

	As of						For the Three Months Ended September 30, 2021		For the Nine Months Ended September 30, 2021
	September 30, 2021		June 30, 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	$	20,083	$	24,728	$	22,907	$	67	$	241
15-year or less, amortizing fixed-rate	491		596		853		1		4
Adjustable-rate	126		179		270		—		1
Other	1,277		1,761		2,475		3		14
Total single-family	21,977		27,264		26,505		71		260
Multifamily	2,253		2,220		2,069		9		24
Total nonaccrual loans	$	24,230	$	29,484	$	28,574	$	80	$	284

(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 September 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%	$	253,757	$	926,196	$	836,382	$	152,731	$	72,366	$	669,943	$	2,911,375
Greater than 80% and less than or equal to 90%	68,200		75,617		4,698		991		583		1,100		151,189
Greater than 90% and less than or equal to 100%	56,826		5,369		1,351		280		79		227		64,132
Greater than 100%	41		94		28		13		13		248		437
Total 20- and 30-year or more, amortizing fixed-rate	378,824		1,007,276		842,459		154,015		73,041		671,518		3,127,133
15-year or less, amortizing fixed-rate:
Less than or equal to 80%	36,062		190,699		138,640		21,091		7,698		111,042		505,232
Greater than 80% and less than or equal to 90%	1,054		436		34		3		1		2		1,530
Greater than 90% and less than or equal to 100%	440		14		1		—		—		2		457
Greater than 100%	—		—		—		—		—		3		3
Total 15-year or less, amortizing fixed-rate	37,556		191,149		138,675		21,094		7,699		111,049		507,222
Adjustable-rate:
Less than or equal to 80%	3,151		6,565		1,925		848		944		11,830		25,263
Greater than 80% and less than or equal to 90%	644		196		9		2		1		2		854
Greater than 90% and less than or equal to 100%	338		15		1		—		1		—		355
Greater than 100%	—		—		—		—		—		—		—
Total adjustable-rate	4,133		6,776		1,935		850		946		11,832		26,472
Other:
Less than or equal to 80%	—		—		—		30		229		23,078		23,337
Greater than 80% and less than or equal to 90%	—		—		—		—		1		127		128
Greater than 90% and less than or equal to 100%	—		—		—		—		1		60		61
Greater than 100%	—		—		—		—		—		55		55
Total other	—		—		—		30		231		23,320		23,581
Total	$	420,513	$	1,205,201	$	983,069	$	175,989	$	81,917	$	817,719	$	3,684,408
Total for all classes by LTV ratio:(2)
Less than or equal to 80%	$	292,970	$	1,123,460	$	976,947	$	174,700	$	81,237	$	815,893	$	3,465,207
Greater than 80% and less than or equal to 90%	69,898		76,249		4,741		996		586		1,231		153,701
Greater than 90% and less than or equal to 100%	57,604		5,398		1,353		280		81		289		65,005
Greater than 100%	41		94		28		13		13		306		495
Total	$	420,513	$	1,205,201	$	983,069	$	175,989	$	81,917	$	817,719	$	3,684,408

	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 $8.5 billion and $9.5 billion as of September 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 September 30, 2022, by Year of Origination
	2022		2021		2020		2019		2018		Prior		Total
	(Dollars in millions)
Internally assigned credit risk rating:
Non-classified(1)	$	41,215	$	65,917	$	76,340	$	60,824	$	50,069	$	109,463	$	403,828
Classified(2)	66		172		1,061		2,383		2,181		11,890		17,753
Total	$	41,281	$	66,089	$	77,401	$	63,207	$	52,250	$	121,353	$	421,581

	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 $15 million classified as doubtful as of September 30, 2022 and loans with an amortized cost of less than $1 million classified as doubtful as of December 31, 2021.