Mortgage Loans (Tables)

3 Months Ended

Mar. 31, 2023

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

Loans in Mortgage Portfolio

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

	As of
	March 31, 2023		December 31, 2022
	(Dollars in millions)
Single-family	$	3,636,329	$	3,644,158
Multifamily	436,307		431,440
Total unpaid principal balance of mortgage loans	4,072,636		4,075,598
Cost basis and fair value adjustments, net	49,034		50,185
Allowance for loan losses for HFI loans	(11,335)		(11,347)
Total mortgage loans(1)	$	4,110,335	$	4,114,436

(1)Excludes $9.5 billion of accrued interest receivable, net of allowance as of March 31, 2023 and December 31, 2022.

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 March 31,
		2023		2022
	(Dollars in millions)
Purchase of HFI loans:
Single-family unpaid principal balance		$	67,467	$	239,468
Multifamily unpaid principal balance		10,235		16,009
Single-family loans redesignated from HFI to HFS:
Amortized cost		$	—	$	1,181
Lower of cost or fair value adjustment at time of redesignation(1)		—		(13)
Allowance reversed at time of redesignation		—		63
Single-family loans sold:
Unpaid principal balance		$	1,842	$	—
Realized gains, net		17		—

(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, 2023
	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	$	21,710	$	5,910	$	18,512	$	46,132	$	3,110,579	$	3,156,711	$	6,929	$	3,000
15-year or less, amortizing fixed-rate	1,308		266		722		2,296		473,257		475,553		366		96
Adjustable-rate	143		30		113		286		27,138		27,424		50		22
Other(2)	538		154		801		1,493		28,915		30,408		310		287
Total single-family	23,699		6,360		20,148		50,207		3,639,889		3,690,096		7,655		3,405
Multifamily(3)	214		N/A		1,321		1,535		435,503		437,038		198		647
Total	$	23,913	$	6,360	$	21,469	$	51,742	$	4,075,392	$	4,127,134	$	7,853	$	4,052

	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

(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 information about the credit quality of our single-family HFI loans, based on total amortized cost. Effective January 1, 2023, we adopted amendments to ASU 2022-02 that require us to disclose current-period gross write-offs by year of origination for financing receivables. As a result, for the periods beginning January 1, 2023, the tables below includes current year write-offs of our single-family HFI mortgage loans by class of financing receivable and year of origination, excluding loans for which we have elected the fair value option.

	Credit Quality Indicators as of March 31, 2023 and Write-offs For the Three Months Ended March 31, 2023, by Year of Origination(1)
	2023		2022		2021		2020		2019		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%	$	22,412	$	279,467	$	877,834	$	806,520	$	145,978	$	703,955	$	2,836,166
Greater than 80% and less than or equal to 90%	6,625		94,815		87,316		6,836		1,293		1,682		198,567
Greater than 90% and less than or equal to 100%	11,194		88,919		13,722		1,280		177		315		115,607
Greater than 100%	—		5,506		511		83		21		246		6,367
Total 20- and 30-year or more, amortizing fixed-rate	40,231		468,707		979,383		814,719		147,469		706,198		3,156,707
Current-period 20- and 30-year or more,      amortizing fixed-rate write-offs	$	—	$	3	$	10	$	5	$	2	$	15	$	35
15-year or less, amortizing fixed-rate:
Less than or equal to 80%	1,494		37,382		180,495		130,210		19,451		103,939		472,971
Greater than 80% and less than or equal to 90%	86		1,475		372		27		2		2		1,964
Greater than 90% and less than or equal to 100%	79		509		20		1		—		1		610
Greater than 100%	—		6		—		—		—		2		8
Total 15-year or less, amortizing fixed-rate	1,659		39,372		180,887		130,238		19,453		103,944		475,553
Current-period 15-year or less, amortizing      fixed-rate write-offs	—		—		—		—		—		1		1
Adjustable-rate:
Less than or equal to 80%	349		4,093		6,239		1,812		796		11,533		24,822
Greater than 80% and less than or equal to 90%	128		1,237		251		11		3		4		1,634
Greater than 90% and less than or equal to 100%	97		816		28		1		—		1		943
Greater than 100%	—		24		1		—		—		—		25
Total adjustable-rate	574		6,170		6,519		1,824		799		11,538		27,424
Current-period adjustable-rate write-offs	—		—		—		—		—		—		—
Other:
Less than or equal to 80%	—		—		—		—		28		21,604		21,632
Greater than 80% and less than or equal to 90%	—		—		—		—		—		127		127
Greater than 90% and less than or equal to 100%	—		—		—		—		—		60		60
Greater than 100%	—		—		—		—		—		61		61
Total other	—		—		—		—		28		21,852		21,880
Current-period other write-offs	—		—		—		—		—		4		4
Total for all classes by LTV ratio:(2)
Less than or equal to 80%	$	24,255	$	320,942	$	1,064,568	$	938,542	$	166,253	$	841,031	$	3,355,591
Greater than 80% and less than or equal to 90%	6,839		97,527		87,939		6,874		1,298		1,815		202,292
Greater than 90% and less than or equal to 100%	11,370		90,244		13,770		1,282		177		377		117,220
Greater than 100%	—		5,536		512		83		21		309		6,461
Total	$	42,464	$	514,249	$	1,166,789	$	946,781	$	167,749	$	843,532	$	3,681,564
Total current-period write-offs	$	—	$	3	$	10	$	5	$	2	$	20	$	40

	Credit Quality Indicators 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

(1)Excludes amortized cost of $8.5 billion and $9.5 billion as of March 31, 2023 and December 31, 2022, 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. For the three months ended March 31, 2023, it also excludes write-offs of $2 million, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies. Year of loan origination may not be the same as the period in which we subsequently acquired the loan.

(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. For the periods beginning January 1, 2023, the tables below includes current year write-offs of our multifamily HFI mortgage loans by year of origination, excluding loans for which we have elected the fair value option.

	Credit Quality Indicators as of March 31, 2023 and Write-offs for the Three Months Ended March 31, 2023, by Year of Origination(1)
	2023		2022		2021		2020		2019		Prior		Total
	(Dollars in millions)
Internally assigned credit risk rating:
Pass(2)	$	8,098	$	59,264	$	62,849	$	74,920	$	59,164	$	148,085	$	412,380
Special mention(3)	—		8		99		82		24		293		506
Substandard(4)	—		2,238		2,278		1,692		2,905		15,035		24,148
Doubtful(5)	—		—		—		—		—		4		4
Total	$	8,098	$	61,510	$	65,226	$	76,694	$	62,093	$	163,417	$	437,038
Current-period write-offs	$	—	$	3	$	—	$	1	$	—	$	233	$	237

	Credit Quality Indicators as of December 31, 2022, by Year of Origination(1)
	2022		2021		2020		2019		2018		Prior		Total
	(Dollars in millions)
Internally assigned credit risk rating:
Pass(2)	$	57,976	$	64,165	$	75,468	$	59,507	$	48,720	$	103,772	$	409,608
Special mention(3)	11		41		128		55		54		306		595
Substandard(4)	1,415		1,580		1,388		2,816		2,488		12,324		22,011
Doubtful(5)	—		—		—		—		8		—		8
Total	$	59,402	$	65,786	$	76,984	$	62,378	$	51,270	$	116,402	$	432,222

(1)In the current period, we updated our presentation of credit quality indicators. Previously, “Pass” and “Special mention” were disclosed as “Non-classified,” and “Substandard” and “Doubtful” were disclosed as “Classified.” Prior periods have been updated to conform to the current period presentation. Year of loan origination may not be the same as the period in which we subsequently acquired the loan.

(2)A loan categorized as “Pass” is current or is adequately protected by the current financial strength and debt service capability of the borrower.

(3)“Special mention” refers to loans that are otherwise performing but have potential weaknesses that, if left uncorrected, may result in deterioration in the borrower’s ability to repay in full.

(4)Loans classified as “Substandard” have a well-defined weakness that jeopardizes the timely full repayment. We had seniors housing loans with an amortized cost of $8.9 billion as of March 31, 2023 and $9.2 billion as of December 31, 2022 classified as substandard.

(5)“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.

Financing Receivable, Loan Modification

The following tables display the amortized cost of HFI mortgage loans that were restructured during the period indicated, presented by portfolio segment and class of financing receivable.

	For the Three Months Ended March 31, 2023
	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	$	9,333	$	3,661	$	2,629	$	1,778	$	267	$	17,668	1	%
15-year or less, amortizing fixed-rate	419		159		104		—		—		682		*
Adjustable-rate	46		17		8		—		1		72		*
Other	121		51		67		35		29		303		1
Total single-family	9,919		3,888		2,808		1,813		297		18,725		1
Multifamily	572		—		—		—		570		1,142		*
Total(3)	$	10,491	$	3,888	$	2,808	$	1,813	$	867	$	19,867	*

	For the Three Months Ended March 31, 2022
	Payment Delay (Only)
	Forbearance Plan(4)		Payment Deferral		Trial Modification and Repayment Plans(4)		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	$	15,662	$	6,784	$	5,858	$	1,103	$	4,547	$	33,954	1	%
15-year or less, amortizing fixed-rate	803		394		239		—		1		1,437		*
Adjustable-rate	97		57		54		—		5		213		1
Other	382		197		241		93		226		1,139		3
Total single-family	16,944		7,432		6,392		1,196		4,779		36,743		1
Multifamily	267		—		—		29		—		296		*
Total(3)	$	17,211	$	7,432	$	6,392	$	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 were the subject of loss mitigation activity during the period that paid off, were 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, in which case they appear in the table above only in the category that best reflects the cumulative effects of the loan restructurings received during the periods.

(4)    We have updated the presentation of repayment plans for the three months ended March 31, 2022. Previously, repayment plans were included within the table as “Forbearance and Repayment Plans,” however we have reclassified these as component of “Trial Modification and Repayment Plans” to conform with the current year presentation.

The following tables summarize the financial impacts of loan modifications and payment deferrals for single-family HFI loans presented by class of financing receivable. The qualitative impact of forbearance plans, repayment plans, and trial modifications are discussed earlier in this footnote; these loss mitigation options are not included in the table below.

	For the Three Months Ended March 31, 2023
	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	1.08	%	175	$	16,984
15-year or less, amortizing fixed-rate	0.74		54	14,558
Adjustable-rate	2.00		—	15,629
Other	1.54		185	20,269

	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 the amortized cost of HFI loans that defaulted during the period and had received a completed modification or payment deferral in the twelve months prior to the payment default. The substantial majority of loans that received a completed modification or a payment deferral during the first quarter of 2023 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 March 31, 2023
		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	$	200	$	284	$	1,250
15-year or less, amortizing fixed-rate		27		—		—		27
Adjustable-rate		3		—		1		4
Other		14		4		14		32
Total single-family		810		204		299		1,313
Multifamily		—		—		—		—
Total loans that subsequently defaulted(1)		$	810	$	204	$	299	$	1,313

(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 substantial majority of loans that received a completed modification or payment deferral on or after January 1, 2022, the date we adopted ASU 2022-02, through March 31, 2022 did not default during the first quarter of 2022. See “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K for additional information about our adoption of ASU 2022-02.

The following table displays an aging analysis of HFI mortgage loans that were restructured during the twelve months prior to March 31, 2023, presented by portfolio segment and class of financing receivable.

	As of March 31, 2023(1)
	30-59 Days Delinquent		60-89 Days Delinquent(2)		Seriously Delinquent		Total Delinquent		Current		Total
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	3,061	$	2,180	$	12,376	$	17,617	$	22,071	$	39,688
15-year or less, amortizing fixed-rate	104		83		479		666		744		1,410
Adjustable-rate	15		9		58		82		78		160
Other	79		45		293		417		532		949
Total single-family loans modified	3,259		2,317		13,206		18,782		23,425		42,207
Multifamily	—		N/A		638		638		594		1,232
Total loans restructured(3)	$	3,259	$	2,317	$	13,844	$	19,420	$	24,019	$	43,439

(1)    The substantial majority of loans that received a completed modification or a payment deferral during the first quarter of 2023 were not delinquent.

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

(3)    Represents the amortized cost basis of the loan 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 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 first quarter of 2022 were not delinquent.

	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 of the loan as of period end.

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,
		2023		2022
	(Dollars in millions)
Accrued interest receivable written off through the reversal of interest income:
Single-family		$	79	$	17
Multifamily		2		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, 2023
	March 31, 2023		December 31, 2022
	Amortized Cost				Total Interest Income Recognized(1)
	(Dollars in millions)
Single-family:
20- and 30-year or more, amortizing fixed-rate	$	14,172	$	9,447	$	7
15-year or less, amortizing fixed-rate	429		200		—
Adjustable-rate	75		53		—
Other	601		617		2
Total single-family	15,277		10,317		9
Multifamily	1,541		2,200		29
Total nonaccrual loans	$	16,818	$	12,517	$	38

	As of				For the Three Months Ended March 31, 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	$	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

(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.