Mortgage Loans (Tables)

12 Months Ended

Dec. 31, 2022

Receivables [Abstract]

Loans in Mortgage Portfolio

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

	As of December 31,
	2022		2021
	(Dollars in millions)
Single-family	$	3,644,158	$	3,495,573
Multifamily	431,440		403,452
Total unpaid principal balance of mortgage loans	4,075,598		3,899,025
Cost basis and fair value adjustments, net	50,185		74,846
Allowance for loan losses for HFI loans	(11,347)		(5,629)
Total mortgage loans(1)	$	4,114,436	$	3,968,242

(1)Excludes $9.5 billion and $9.1 billion of accrued interest receivable, net of allowance as of December 31, 2022 and 2021.

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

	For the Year Ended December 31,
	2022		2021		2020
	(Dollars in millions)
Purchase of HFI loans:
Single-family unpaid principal balance	$	614,836	$	1,354,705	$	1,358,744
Multifamily unpaid principal balance	69,206		69,185		75,517
Single family loans redesignated from HFI to HFS:
Amortized cost	$	7,825	$	16,606	$	8,309
Lower of cost or fair value adjustment at time of redesignation(1)	(679)		(372)		(291)
Allowance reversed at time of redesignation	373		1,605		963
Single family loans redesignated from HFS to HFI:
Amortized cost	$	2,004	$	5	$	144
Single-family loans sold:
Unpaid principal balance	$	8,069	$	16,977	$	9,519
Realized gains, net	126		1,624		831

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

	As of December 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		$	27,891	$	6,774	$	19,990	$	54,655	$	3,092,199	$	3,146,854	$	13,257	$	3,254
15-year or less, amortizing fixed-rate		1,902		314		800		3,016		488,452		491,468		666		82
Adjustable-rate		176		38		127		341		26,767		27,108		90		24
Other(2)		660		179		898		1,737		30,362		32,099		424		324
Total single-family		30,629		7,305		21,815		59,749		3,637,780		3,697,529		14,437		3,684
Multifamily(3)		173		N/A		955		1,128		431,094		432,222		11		13
Total		$	30,802	$	7,305	$	22,770	$	60,877	$	4,068,874	$	4,129,751	$	14,448	$	3,697

	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.

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 December 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%	$	281,257	$	896,977	$	820,452	$	149,067	$	70,306	$	651,297	$	2,869,356
Greater than 80% and less than or equal to 90%	84,864		86,335		5,904		1,152		618		1,062		179,935
Greater than 90% and less than or equal to 100%	84,664		9,284		1,333		217		77		224		95,799
Greater than 100%	1,230		208		56		18		12		240		1,764
Total 20- and 30-year or more, amortizing fixed-rate	452,015		992,804		827,745		150,454		71,013		652,823		3,146,854
15-year or less, amortizing fixed-rate:
Less than or equal to 80%	37,830		185,511		134,336		20,239		7,324		103,841		489,081
Greater than 80% and less than or equal to 90%	1,363		410		33		3		—		2		1,811
Greater than 90% and less than or equal to 100%	552		16		1		—		—		1		570
Greater than 100%	3		1		—		—		—		2		6
Total 15-year or less, amortizing fixed-rate	39,748		185,938		134,370		20,242		7,324		103,846		491,468
Adjustable-rate:
Less than or equal to 80%	3,971		6,383		1,865		821		906		11,226		25,172
Greater than 80% and less than or equal to 90%	1,013		236		12		3		1		3		1,268
Greater than 90% and less than or equal to 100%	645		21		—		—		1		—		667
Greater than 100%	1		—		—		—		—		—		1
Total adjustable-rate	5,630		6,640		1,877		824		908		11,229		27,108
Other:
Less than or equal to 80%	—		—		—		29		222		22,103		22,354
Greater than 80% and less than or equal to 90%	—		—		—		—		1		129		130
Greater than 90% and less than or equal to 100%	—		—		—		—		1		56		57
Greater than 100%	—		—		—		—		—		57		57
Total other	—		—		—		29		224		22,345		22,598
Total	$	497,393	$	1,185,382	$	963,992	$	171,549	$	79,469	$	790,243	$	3,688,028
Total for all classes by LTV ratio:(2)
Less than or equal to 80%	$	323,058	$	1,088,871	$	956,653	$	170,156	$	78,758	$	788,467	$	3,405,963
Greater than 80% and less than or equal to 90%	87,240		86,981		5,949		1,158		620		1,196		183,144
Greater than 90% and less than or equal to 100%	85,861		9,321		1,334		217		79		281		97,093
Greater than 100%	1,234		209		56		18		12		299		1,828
Total	$	497,393	$	1,185,382	$	963,992	$	171,549	$	79,469	$	790,243	$	3,688,028

	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 $9.5 billion as of December 31, 2022 and 2021, 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, 2022, by Year of Origination
	2022		2021		2020		2019		2018		Prior		Total
	(Dollars in millions)
Internally assigned credit risk rating:
Non-classified(1)	$	57,987	$	64,206	$	75,596	$	59,562	$	48,774	$	104,078	$	410,203
Classified(2)	1,415		1,580		1,388		2,816		2,496		12,324		22,019
Total	$	59,402	$	65,786	$	76,984	$	62,378	$	51,270	$	116,402	$	432,222

	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. We had loans in our seniors housing portfolio with an amortized cost of $9.2 billion as of December 31, 2022 and $5.6 billion as of December 31, 2021 classified as substandard. “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 $8 million as of December 31, 2022 and less than $1 million as of December 31, 2021 classified as doubtful.

Financing Receivable, Loan Modification

The following table displays the amortized cost of HFI mortgage loans that were restructured during the year ended December 31, 2022, presented by portfolio segment and class of financing receivable.

	For the Year Ended December 31, 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	$	15,697	$	16,875	$	5,287	$	4,109	$	11,342	$	53,310	2	%
15-year or less, amortizing fixed-rate	794		875		233		3		2		1,907		*
Adjustable-rate	90		76		36		—		39		241		1
Other	296		369		181		121		450		1,417		4
Total single-family	16,877		18,195		5,737		4,233		11,833		56,875		2
Multifamily	283		—		—		—		40		323		*
Total(3)	$	17,160	$	18,195	$	5,737	$	4,233	$	11,873	$	57,198	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 $4.0 billion for the year ended December 31, 2022 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 year ended December 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 Year Ended December 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	1.42	%	179	$	22,248
15-year or less, amortizing fixed-rate	2.54		55	19,276
Adjustable-rate	0.70		—	22,153
Other	1.80		187	22,773

(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 were restructured on or after January 1, 2022, the date we adopted ASU 2022-02, through December 31, 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 fourth quarter of 2022 were not delinquent.

	As of December 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	$	4,113	$	2,785	$	13,995	$	20,893	$	27,379	$	48,272
15-year or less, amortizing fixed-rate	147		114		552		813		962		1,775
Adjustable-rate	15		14		79		108		117		225
Other	113		67		365		545		755		1,300
Total single-family loans modified	4,388		2,980		14,991		22,359		29,213		51,572
Multifamily	3		N/A		265		268		55		323
Total loans restructured(2)	$	4,391	$	2,980	$	15,256	$	22,627	$	29,268	$	51,895

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

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

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
		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
15-year or less, amortizing fixed rate			1,165		93			2,956		257
Adjustable-rate			116		17			467		72
Other			524		56			1,688		211
Total single-family			12,620		1,883			35,049		5,665
Multifamily			—		—			—		—
Total TDRs			12,620		$	1,883		35,049		$	5,665

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 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 Year Ended December 31,
		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			7,799		$	1,302		14,127		$	2,578
15-year or less, amortizing fixed rate			489		37			148		10
Adjustable-rate			33		5			16		2
Other			922		166			1,291		208
Total single-family			9,243		1,510			15,582		2,798
Multifamily			—		—			4		16
Total TDRs that subsequently defaulted			9,243		$	1,510		15,586		$	2,814

Financing Receivable, Modified, Subsequent Default

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 December 31, 2022 and that defaulted in the period presented. The substantial majority of loans that received a completed modification or a payment deferral during the fourth 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 Year Ended December 31, 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		$	1,695	$	258	$	648	$	2,601
15-year or less, amortizing fixed-rate		56		—		—		56
Adjustable-rate		7		—		3		10
Other		41		11		42		94
Total single-family		1,799		269		693		2,761
Multifamily		—		—		—		—
Total loans that subsequently defaulted(1)		$	1,799	$	269	$	693	$	2,761

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

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, 2022
		2022		2021		2020
	(Dollars in millions)
Accrued interest receivable written off through the reversal of interest income:
Single-family		$	61	$	163	$	206
Multifamily		1		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,
	2022		2021		2020		2019		2022		2021		2020
	Amortized Cost								Total Interest Income Recognized(1)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	9,447	$	17,599	$	22,907	$	23,427	$	207	$	292	$	461
15-year or less, amortizing fixed-rate	200		430		853		858		4		6		15
Adjustable-rate	53		107		270		288		1		1		5
Other	617		1,101		2,475		2,973		11		15		43
Total single-family	10,317		19,237		26,505		27,546		223		314		524
Multifamily	2,200		1,259		2,069		435		75		14		59
Total nonaccrual loans	$	12,517	$	20,496	$	28,574	$	27,981	$	298	$	328	$	583

(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.