| Mortgage Loans | 60 to 80 145,978 426,339 183,723 28,502 7,845 10,671 803,058 > 80 to 90 61,350 86,815 3,898 546 148 459 153,216 > 90 to 100 61,850 5,333 383 52 22 155 67,795 > 100 213 5 1 3 5 173 400 Total 20- and 30-year or more, amortizing fixed-rate 329,472 931,012 696,106 119,531 48,335 430,526 2,554,982 15-year or less, amortizing fixed-rate ≤ 60 15,657 120,897 112,740 15,175 5,847 72,814 343,130 > 60 to 80 12,244 24,272 2,994 167 20 20 39,717 > 80 to 90 1,350 449 8 — 1 2 1,810 > 90 to 100 488 5 — — — 1 494 > 100 — — — — — 2 2 Total 15-year or less, amortizing fixed-rate 29,739 145,623 115,742 15,342 5,868 72,839 385,153 Adjustable-rate and other ≤ 60 1,110 2,918 1,585 665 452 15,889 22,619 > 60 to 80 2,004 1,954 208 75 29 436 4,706 > 80 to 90 778 169 4 1 1 36 989 > 90 to 100 517 7 — — — 13 537 > 100 1 — — — — 8 9 Total adjustable-rate and other 4,410 5,048 1,797 741 482 16,382 28,860 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 Total for all loan product types by current LTV ratio: ≤ 60 $76,848 $536,335 $622,426 $106,268 $46,614 $507,771 $1,896,262 > 60 to 80 160,226 452,565 186,925 28,744 7,894 11,127 847,481 > 80 to 90 63,478 87,433 3,910 547 150 497 156,015 > 90 to 100 62,855 5,345 383 52 22 169 68,826 > 100 214 5 1 3 5 183 411 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 December 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Current LTV ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $260,244 $397,680 $77,812 $39,143 $61,434 $405,467 $1,241,780 > 60 to 80 467,193 334,560 60,570 18,914 12,715 17,354 911,306 > 80 to 90 124,074 28,944 2,034 482 208 818 156,560 > 90 to 100 66,851 1,083 126 45 29 309 68,443 > 100 75 2 4 8 18 328 435 Total 20- and 30-year or more, amortizing fixed-rate 918,437 762,269 140,546 58,592 74,404 424,276 2,378,524 15-year or less, amortizing fixed-rate ≤ 60 93,732 111,899 17,335 7,161 13,602 78,001 321,730 > 60 to 80 52,521 18,834 1,136 137 54 36 72,718 > 80 to 90 3,785 168 6 2 2 3 3,966 > 90 to 100 598 2 1 1 1 2 605 > 100 4 — — 1 1 3 9 Total 15-year or less, amortizing fixed-rate 150,640 130,903 18,478 7,302 13,660 78,045 399,028 Adjustable-rate and other ≤ 60 2,054 1,554 727 543 1,657 17,517 24,052 > 60 to 80 2,435 535 209 90 190 795 4,254 > 80 to 90 417 16 6 3 4 66 512 > 90 to 100 116 — — — — 30 146 > 100 1 — — — — 18 19 Total adjustable-rate and other 5,023 2,105 942 636 1,851 18,426 28,983 Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 Total for all loan product types by current LTV ratio: ≤ 60 $356,030 $511,133 $95,874 $46,847 $76,693 $500,985 $1,587,562 > 60 to 80 522,149 353,929 61,915 19,141 12,959 18,185 988,278 > 80 to 90 128,276 29,128 2,046 487 214 887 161,038 > 90 to 100 67,565 1,085 127 46 30 341 69,194 > 100 80 2 4 9 19 349 463 Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 Multifamily The table below presents the amortized cost basis of our multifamily held-for-investment loans, by credit quality indicator, based on available data through the end of each period presented. These indicators involve significant management judgment and are defined as follows: n "Pass" is current and adequately protected by the borrower's current financial strength and debt service capacity; n "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses. In addition, this category generally includes loans in forbearance; n "Substandard" has a weakness that jeopardizes the timely full repayment; and n "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions. Table 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage September 30, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Revolving Loans Category: Pass $9,381 $7,852 $6,576 $5,177 $939 $3,108 $2,046 $35,079 Special mention — 39 65 443 7 56 — 610 Substandard — — 31 60 4 80 — 175 Doubtful — — — — — — — — Total $9,381 $7,891 $6,672 $5,680 $950 $3,244 $2,046 $35,864 December 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Revolving Loans Category: Pass $6,955 $7,116 $5,273 $979 $610 $2,795 $2,275 $26,003 Special mention — 40 372 — 3 42 — 457 Substandard — 62 171 4 2 44 — 283 Doubtful — — — — — — — — Total $6,955 $7,218 $5,816 $983 $615 $2,881 $2,275 $26,743 The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, by payment status. Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Three Months or More Past Due, and Accruing Interest Non-accrual With No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $2,523,119 $16,055 $3,657 $12,151 $2,554,982 $3,067 $546 15-year or less, amortizing fixed-rate 383,084 1,233 223 613 385,153 170 10 Adjustable-rate and other 28,080 291 79 410 28,860 32 78 Total Single-Family 2,934,283 17,579 3,959 13,174 2,968,995 3,269 634 Total Multifamily 35,819 3 — 42 35,864 — 42 Total Single-Family and Multifamily $2,970,102 $17,582 $3,959 $13,216 $3,004,859 $3,269 $676 December 31, 2021 (In millions) Current One Two Three Months or (1) Total Three Months or More Past Due, and Accruing Interest Non-accrual with No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $2,338,076 $14,833 $3,214 $22,401 $2,378,524 $5,784 $857 15-year or less, amortizing fixed-rate 396,030 1,550 230 1,218 399,028 392 13 Adjustable-rate and other 27,752 280 89 862 28,983 95 102 Total Single-Family 2,761,858 16,663 3,533 24,481 2,806,535 6,271 972 Total Multifamily 26,743 — — — 26,743 — — Total Single-Family and Multifamily $2,788,601 $16,663 $3,533 $24,481 $2,833,278 $6,271 $972 Referenced footnotes are on the next page. (1) Includes $1.5 billion and $0.7 billion of single-family loans that were in the process of foreclosure as of September 30, 2022 and December 31, 2021, respectively. (2) Loans with no allowance for loan losses primarily represent those loans that were previously charged off and therefore the collateral value is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an allowance for credit losses. Loan Restructurings In 1Q 2022, we adopted accounting guidance in ASU 2022-02 that eliminates the recognition and measurement of TDRs. Upon adoption of this guidance, we no longer measure an allowance for credit losses for TDRs we reasonably expect will occur, and we evaluate all loan restructurings according to the accounting guidance for loan refinancing and restructuring to determine whether the restructuring should be accounted for as a new loan or a continuation of the existing loan. We derecognize the existing loan and account for the restructured loan as a new loan if the effective yield on the restructured loan is at least equal to the effective yield for comparable loans with similar collection risks and the modifications to the original loan are more than minor. If a loan restructuring does not meet these conditions, we carryforward the existing loan’s amortized cost basis and account for the restructured loan as a continuation of the existing loan. Substantially all of our loan restructurings involving borrowers experiencing financial difficulty are accounted for as a continuation of the existing loan. The discounted cash flow model we use in measuring our Single-Family allowance for credit losses forecasts cash flows we expect to collect using our historical experience, including the effects of our loss mitigation activities involving borrowers experiencing financial difficulty. When we account for a loan restructuring as a continuation of the existing loan, we update the loan’s effective interest rate based on the restructured terms and recognize interest income prospectively using the new effective rate. We also update the prepayment-adjusted effective interest rate used to discount cash flows in measuring our allowance for credit losses to reflect the loan’s restructured terms. As a result, subsequent to our adoption of the accounting guidance that eliminates the recognition and measurement of TDRs, we no longer recognize an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows when a loan is restructured. However, because we adopted such guidance prospectively, we continue to use the loan's prepayment-adjusted effective interest rate just prior to the restructuring for loans that were restructured and accounted for as TDRs prior to our adoption of the guidance and that have not been subsequently modified after our adoption of the guidance. As a result, we continue to measure an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows for such loans. Single-Family Loan Restructurings We offer several types of restructurings to single-family borrowers that may result in a payment delay, interest rate reduction, term extension, or combination thereof. We do not offer principal forgiveness. We offer the following types of restructurings to single-family borrowers that result in only a payment delay: n Forbearance plans - Arrangements that require reduced or no payments during a defined period that provides borrowers additional time to return to compliance with the original mortgage terms or to implement another type of loan workout option. Borrowers may exit forbearance by repaying all past due amounts and fully reinstating the loan, paying off the loan in full, or entering into a repayment plan, a payment deferral plan, or a trial period plan pursuant to a loan modification. We offer forbearance of up to 12 months to single-family borrowers experiencing financial difficulty (and up to 18 months to certain borrowers affected by the COVID-19 pandemic). Borrowers may receive an initial forbearance term of one to six months and, if necessary, one or more forbearance term extensions of one to six months, as long as the delinquency of the mortgage does not exceed 12 months. n Repayment plans - Contractual plans that allow borrowers a specific period of time to return to current status by paying the normal monthly payment plus additional agreed upon delinquent amounts. Repayment plans must have a term greater than one month and less than or equal to 12 months and the monthly repayment plan payment amount must not exceed 150% of the contractual mortgage payment amount. n Payment deferral plans - Arrangements that allow borrowers to return to current status by deferring delinquent principal and interest into a non-interest-bearing principal balance that is due at the earlier of the payoff date, maturity date, or sale of the property. The remaining mortgage term, interest rate, payment schedule, and maturity date remain unchanged, and no trial period plan is required. The number of months of payments deferred varies based upon the type of hardship the borrower is experiencing. In addition, we also offer single-family borrowers loan modifications, which are contractual plans that may involve changing the terms of the loan such as payment delays, interest rate reductions, term extensions, or a combination of these items. Payment delays in our loan modification programs most commonly consist of adding outstanding indebtedness, such as delinquent interest, to the UPB of the loan, and may also include principal forbearance, in which a portion of the principal balance becomes non-interest-bearing and is due at the earlier of the payoff date, maturity date, or sale of the property. Our modification programs generally require completion of a trial period of at least three months prior to receiving the modification. During the loan modification trial period, borrowers make payments that are an estimate of the anticipated modified payment amount, which is generally lower than the amount required by the loan's original contractual terms. As a result, loans in these modifications are granted a delay in the payment due under the original contractual terms during the trial period. We continue to report single-family loans in loan modification trial period plans as delinquent to the extent that payments are past due based on the loan’s original contractual terms. The amortized cost basis of loans in trial period modification plans was $1.6 billion as of September 30, 2022 . Most of these loans are 20- and 30-year or more, amortizing fixed-rate loans . Most of our modifications involve a combination of: (1) a payment delay in the form of adding outstanding indebtedness to the UPB of the loan, and (2) an interest rate reduction, a term extension, or both. The table below presents the amortized cost basis of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $6,435 $750 $1,254 $8,439 0.3 % 15-year or less, amortizing fixed-rate 381 24 6 411 0.1 Adjustable-rate and other 98 12 22 132 0.5 Total Single-Family loan restructurings $6,914 $786 $1,282 $8,982 0.3 YTD 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $18,207 $1,868 $6,554 $26,629 1.0 % 15-year or less, amortizing fixed-rate 1,130 24 6 1,160 0.3 Adjustable-rate and other 357 32 105 494 1.7 Total Single-Family loan restructurings $19,694 $1,924 $6,665 $28,283 1.0 (1) Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period. Includes loan modifications in the period in which the borrower completes the trial period and the loan is permanently modified. (2) Includes $2.8 billion and $10.8 billion related to payment deferral plans for 3Q 2022 and YTD 2022, respectively. Also includes forbearance plans, repayment plans, and loan modifications that only involve payment delays. (3) Based on the amortized cost basis as of period end, divided by the total period-end amortized cost basis of the corresponding financing receivable class of single-family held-for-investment loans. The table below shows the financial effect of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.10 – Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.1 % 183 $19 15-year or less, amortizing fixed-rate 0.6 366 21 Adjustable-rate and other 1.9 221 20 Referenced footnotes are included after the year-to-date table. YTD 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.4 % 187 $22 15-year or less, amortizing fixed-rate 0.6 366 24 Adjustable-rate and other 2.3 225 26 (1) Averages are based on payment deferral plans and loan modifications completed during the periods presented. The financial effects of forbearance plans and repayment plans consist of a payment delay of between one and twelve months. In addition, the financial effect of a forbearance plan is included at the time the forbearance plan is completed if the borrower exits forbearance by entering into a payment deferral plan or loan modification. (2) Primarily related to payment deferral plans. Amounts are based on non-interest-bearing principal balances on the restructured loans. The following table provides the amortized cost basis of single-family held-for-investment loans restructured during YTD 2022 involving borrowers experiencing financial difficulty that subsequently defaulted (i.e., loans that became two months delinquent) during the periods presented. Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $483 $53 $140 $676 15-year or less, amortizing fixed-rate 28 — — 28 Adjustable-rate and other 9 1 1 11 Total Single-Family $520 $54 $141 $715 YTD 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $1,194 $94 $216 $1,504 15-year or less, amortizing fixed-rate 67 — — 67 Adjustable-rate and other 31 3 3 37 Total Single-Family $1,292 $97 $219 $1,608 (1) Excludes forbearance plans and repayment plans as borrowers are typically past due based on the loan's original contractual terms at the time the borrowers enter into these plans. Table 3.12 - Payment Status of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $17,282 $2,289 $1,535 $5,523 $26,629 15-year or less, amortizing fixed-rate 696 107 81 276 1,160 Adjustable-rate and other 303 30 23 138 494 Total Single-Family $18,281 $2,426 $1,639 $5,937 $28,283 Multifamily Loan Restructurings We offer several types of restructurings to multifamily borrowers that may result in a payment delay, interest rate reduction, term extension, principal forgiveness, or combination thereof. In certain cases, we offer multifamily borrowers forbearance plans that allow borrowers to defer monthly payments during a defined period. After the forbearance period ends, the borrowers are required to repay forborne loan amounts in monthly installments. In addition, in certain cases, for maturing loans we may provide term extensions with no changes to the effective borrowing rate. In other cases, we may make more significant modifications of terms for borrowers experiencing financial difficulty, such as interest rate reductions, term extensions, principal forbearance and/or forgiveness, or some combination of these items. There were no restructuring activities related to multifamily held-for-investment loans involving borrowers experiencing financial difficulty for the nine months ended September 30, 2022. The table below provides details of our single-family loan modifications that were classified as TDRs during the periods presented. Table 3.13 - Single-Family TDR Modification Metrics 3Q 2021 YTD 2021 Percentage of single-family loan modifications that were classified as TDRs with: Interest rate reductions and related term extensions 12 % 13 % Principal forbearance and related interest rate reductions and term extensions 34 35 Average coupon interest rate reduction 0.4 % 0.4 % Average months of term extension 154 151 The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs during the periods presented. Loans classified as a TDR in one period may be subject to further action (such as a modification or remodification) in a subsequent period. In such cases, the subsequent action would not be reflected in the table below since the loan would already have been classified as a TDR. Table 3.14 - TDR Activity 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Single-Family: (1)(2) 20- and 30-year or more, amortizing fixed-rate 3,136 $562 10,647 $1,889 15-year or less, amortizing fixed-rate 365 37 1,262 131 Adjustable-rate and other 146 24 553 82 Total Single-Family 3,647 623 12,462 2,102 Multifamily — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDRs during 3Q 2021 and YTD 2021 was $0.6 billion and $2.1 billion, respectively. (2) Includes certain bankruptcy events and forbearance plans, repayment plans, payment deferral plans, and modification activities that do not qualify for the temporary relief related to TDRs provided by the CARES Act based on servicer reporting at the time of the TDR event. The table below presents the volume of our TDR modifications that experienced payment defaults (i.e., loans that became two months delinquent or completed a loss event) during the periods presented and had completed a modification during the year preceding the payment default. Table 3.15 - Payment Defaults of Completed TDR Modifications 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Amortized Cost Basis Single-Family: 20- and 30-year or more, amortizing fixed-rate 595 $103 2,408 $425 15-year or less, amortizing fixed-rate 15 2 101 11 Adjustable-rate and other 70 10 307 48 Total Single-Family 680 115 2,816 484 Multifamily — — — — " id="sjs-B4" xml:space="preserve">Mortgage Loans The table below provides details of the loans on our condensed consolidated balance sheets. Table 3.1 - Mortgage Loans September 30, 2022 December 31, 2021 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Held-for-sale UPB $3,722 $6,800 $10,522 $5,446 $14,871 $20,317 Cost basis and fair value adjustments, net (721) (436) (1,157) (813) 274 (539) Total held-for-sale loans, net 3,001 6,364 9,365 4,633 15,145 19,778 Held-for-investment UPB 2,926,244 35,788 2,962,032 2,742,851 26,657 2,769,508 Cost basis adjustments 42,751 76 42,827 63,684 86 63,770 Allowance for credit losses (6,802) (49) (6,851) (4,913) (34) (4,947) Total held-for-investment loans, net 2,962,193 35,815 2,998,008 2,801,622 26,709 2,828,331 Total mortgage loans, net $2,965,194 $42,179 $3,007,373 $2,806,255 $41,854 $2,848,109 For the purposes of certain single-family mortgage loan disclosures below, we present loans by class of financing receivable type. Financing receivable classes used for disclosure consist of: "20- and 30-year or more, amortizing fixed-rate," "15-year or less, amortizing fixed-rate," and "adjustable-rate and other." The "other" class consists of Alt-A, interest-only, and option ARM loans. The table below provides details of the UPB of loans we purchased and sold during the periods presented. Table 3.2 - Loans Purchased and Sold (In millions) 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Single-Family: Purchases: Held-for-investment loans $121,215 $297,554 $465,815 $945,222 Sales of held-for-sale loans (1) 537 928 1,981 3,965 Multifamily: Purchases: Held-for-investment loans 5,617 2,959 11,139 5,879 Held-for-sale loans 8,835 13,744 32,474 37,580 Sales of held-for-sale loans (2) 11,475 13,390 40,666 52,221 (1) Our sales of single-family loans reflect the sale of single-family seasoned loans. (2) Our sales of multifamily loans occur primarily through the issuance of Multifamily K Certificates and SB Certificates. Reclassifications The table below presents the allowance for credit losses or valuation allowance that was reversed or established due to loan reclassifications between held-for-investment and held-for-sale during the periods presented. Table 3.3 - Loan Reclassifications 3Q 2022 3Q 2021 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-Family reclassifications from: Held-for-investment to held-for-sale $361 $10 $— $388 $19 $— Held-for-sale to held-for-investment (1) 30 (3) 2 81 4 — Multifamily reclassifications from: Held-for-investment to held-for-sale 188 — — 445 — — Held-for-sale to held-for-investment — — — — — — Referenced footnote is included after the year-to-date table. YTD 2022 YTD 2021 (In millions) UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed UPB Allowance for Credit Losses Reversed or (Established) Valuation Allowance (Established) or Reversed Single-family reclassifications from: Held-for-investment to held-for-sale $934 $20 $— $1,358 $54 $— Held-for-sale to held-for-investment (1) 167 (10) 5 183 13 — Multifamily reclassifications from: Held-for-investment to held-for-sale 889 1 — 2,175 6 — Held-for-sale to held-for-investment 285 — — 21 — — Interest Income The table below presents the amortized cost basis of non-accrual loans as of the beginning and the end of the periods presented, including the interest income recognized for the period that is related to the loans on non-accrual status as of period end. Table 3.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual Non-Accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) June 30, 2022 September 30, 2022 3Q 2022 YTD 2022 Single-Family: 20- and 30-year or more, amortizing fixed-rate $11,021 $9,462 $37 $121 15-year or less, amortizing fixed-rate 562 457 1 4 Adjustable-rate and other 435 396 1 4 Total Single-Family 12,018 10,315 39 129 Total Multifamily 42 42 — — Total Single-Family and Multifamily $12,060 $10,357 $39 $129 Non-Accrual Amortized Cost Basis Interest Income Recognized (1) (In millions) June 30, 2021 September 30, 2021 3Q 2021 YTD 2021 Single-Family: 20- and 30-year or more, amortizing fixed-rate $19,431 $17,524 $35 $115 15-year or less, amortizing fixed-rate 914 862 1 4 Adjustable-rate and other 879 818 2 6 Total Single-Family 21,224 19,204 38 125 Total Multifamily — — — — Total Single-Family and Multifamily $21,224 $19,204 $38 $125 (1) Represents the amount of payments received during the period, including those received while the loans were on accrual status, for the held-for-investment loans on non-accrual status as of period end. The table below provides the amount of accrued interest receivable, net presented on our condensed consolidated balance sheets and the amount of accrued interest receivable related to loans on non-accrual status at the end of the periods that was charged off. Table 3.5 - Accrued Interest Receivable, Net and Related Charge-Offs Accrued Interest Receivable, Net Accrued Interest Receivable Related Charge-Offs (In millions) September 30, 2022 December 31, 2021 3Q 2022 3Q 2021 YTD 2022 YTD 2021 Single-Family loans $7,752 $7,065 ($47) ($222) ($192) ($507) Multifamily loans 142 125 — — — — Credit Quality Single-Family The current LTV ratio is one key factor we consider when estimating our allowance for credit losses for single-family loans. As current LTV ratios increase, the borrower's equity in the home decreases, which may negatively affect the borrower's ability to refinance (outside of our relief refinance programs) or to sell the property for an amount at or above the balance of the outstanding loan. The table below presents the amortized cost basis of single-family held-for-investment loans by current LTV ratio. Our current LTV ratios are estimates based on available data through the end of each period presented. For reporting purposes: n Alt-A loans continue to be presented in the "adjustable-rate and other" category following modification, even though the borrower may have provided full documentation of assets and income to complete the modification and n Option ARM loans continue to be presented in the "adjustable-rate and other" category following modification, even though the modified loan no longer provides for optional payment provisions. Table 3.6 - Amortized Cost Basis of Single-Family Held-for-Investment Loans by Current LTV Ratio and Vintage September 30, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Current LTV ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $60,081 $412,520 $508,101 $90,428 $40,315 $419,068 $1,530,513 > 60 to 80 145,978 426,339 183,723 28,502 7,845 10,671 803,058 > 80 to 90 61,350 86,815 3,898 546 148 459 153,216 > 90 to 100 61,850 5,333 383 52 22 155 67,795 > 100 213 5 1 3 5 173 400 Total 20- and 30-year or more, amortizing fixed-rate 329,472 931,012 696,106 119,531 48,335 430,526 2,554,982 15-year or less, amortizing fixed-rate ≤ 60 15,657 120,897 112,740 15,175 5,847 72,814 343,130 > 60 to 80 12,244 24,272 2,994 167 20 20 39,717 > 80 to 90 1,350 449 8 — 1 2 1,810 > 90 to 100 488 5 — — — 1 494 > 100 — — — — — 2 2 Total 15-year or less, amortizing fixed-rate 29,739 145,623 115,742 15,342 5,868 72,839 385,153 Adjustable-rate and other ≤ 60 1,110 2,918 1,585 665 452 15,889 22,619 > 60 to 80 2,004 1,954 208 75 29 436 4,706 > 80 to 90 778 169 4 1 1 36 989 > 90 to 100 517 7 — — — 13 537 > 100 1 — — — — 8 9 Total adjustable-rate and other 4,410 5,048 1,797 741 482 16,382 28,860 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 Total for all loan product types by current LTV ratio: ≤ 60 $76,848 $536,335 $622,426 $106,268 $46,614 $507,771 $1,896,262 > 60 to 80 160,226 452,565 186,925 28,744 7,894 11,127 847,481 > 80 to 90 63,478 87,433 3,910 547 150 497 156,015 > 90 to 100 62,855 5,345 383 52 22 169 68,826 > 100 214 5 1 3 5 183 411 Total Single-Family loans $363,621 $1,081,683 $813,645 $135,614 $54,685 $519,747 $2,968,995 December 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Current LTV ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $260,244 $397,680 $77,812 $39,143 $61,434 $405,467 $1,241,780 > 60 to 80 467,193 334,560 60,570 18,914 12,715 17,354 911,306 > 80 to 90 124,074 28,944 2,034 482 208 818 156,560 > 90 to 100 66,851 1,083 126 45 29 309 68,443 > 100 75 2 4 8 18 328 435 Total 20- and 30-year or more, amortizing fixed-rate 918,437 762,269 140,546 58,592 74,404 424,276 2,378,524 15-year or less, amortizing fixed-rate ≤ 60 93,732 111,899 17,335 7,161 13,602 78,001 321,730 > 60 to 80 52,521 18,834 1,136 137 54 36 72,718 > 80 to 90 3,785 168 6 2 2 3 3,966 > 90 to 100 598 2 1 1 1 2 605 > 100 4 — — 1 1 3 9 Total 15-year or less, amortizing fixed-rate 150,640 130,903 18,478 7,302 13,660 78,045 399,028 Adjustable-rate and other ≤ 60 2,054 1,554 727 543 1,657 17,517 24,052 > 60 to 80 2,435 535 209 90 190 795 4,254 > 80 to 90 417 16 6 3 4 66 512 > 90 to 100 116 — — — — 30 146 > 100 1 — — — — 18 19 Total adjustable-rate and other 5,023 2,105 942 636 1,851 18,426 28,983 Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 Total for all loan product types by current LTV ratio: ≤ 60 $356,030 $511,133 $95,874 $46,847 $76,693 $500,985 $1,587,562 > 60 to 80 522,149 353,929 61,915 19,141 12,959 18,185 988,278 > 80 to 90 128,276 29,128 2,046 487 214 887 161,038 > 90 to 100 67,565 1,085 127 46 30 341 69,194 > 100 80 2 4 9 19 349 463 Total Single-Family loans $1,074,100 $895,277 $159,966 $66,530 $89,915 $520,747 $2,806,535 Multifamily The table below presents the amortized cost basis of our multifamily held-for-investment loans, by credit quality indicator, based on available data through the end of each period presented. These indicators involve significant management judgment and are defined as follows: n "Pass" is current and adequately protected by the borrower's current financial strength and debt service capacity; n "Special mention" has administrative issues that may affect future repayment prospects but does not have current credit weaknesses. In addition, this category generally includes loans in forbearance; n "Substandard" has a weakness that jeopardizes the timely full repayment; and n "Doubtful" has a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions. Table 3.7 - Amortized Cost Basis of Multifamily Held-for-Investment Loans by Credit Quality Indicator and Vintage September 30, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Revolving Loans Category: Pass $9,381 $7,852 $6,576 $5,177 $939 $3,108 $2,046 $35,079 Special mention — 39 65 443 7 56 — 610 Substandard — — 31 60 4 80 — 175 Doubtful — — — — — — — — Total $9,381 $7,891 $6,672 $5,680 $950 $3,244 $2,046 $35,864 December 31, 2021 Year of Origination Total (In millions) 2021 2020 2019 2018 2017 Prior Revolving Loans Category: Pass $6,955 $7,116 $5,273 $979 $610 $2,795 $2,275 $26,003 Special mention — 40 372 — 3 42 — 457 Substandard — 62 171 4 2 44 — 283 Doubtful — — — — — — — — Total $6,955 $7,218 $5,816 $983 $615 $2,881 $2,275 $26,743 The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, by payment status. Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due, or in Foreclosure (1) Total Three Months or More Past Due, and Accruing Interest Non-accrual With No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $2,523,119 $16,055 $3,657 $12,151 $2,554,982 $3,067 $546 15-year or less, amortizing fixed-rate 383,084 1,233 223 613 385,153 170 10 Adjustable-rate and other 28,080 291 79 410 28,860 32 78 Total Single-Family 2,934,283 17,579 3,959 13,174 2,968,995 3,269 634 Total Multifamily 35,819 3 — 42 35,864 — 42 Total Single-Family and Multifamily $2,970,102 $17,582 $3,959 $13,216 $3,004,859 $3,269 $676 December 31, 2021 (In millions) Current One Two Three Months or (1) Total Three Months or More Past Due, and Accruing Interest Non-accrual with No Allowance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate $2,338,076 $14,833 $3,214 $22,401 $2,378,524 $5,784 $857 15-year or less, amortizing fixed-rate 396,030 1,550 230 1,218 399,028 392 13 Adjustable-rate and other 27,752 280 89 862 28,983 95 102 Total Single-Family 2,761,858 16,663 3,533 24,481 2,806,535 6,271 972 Total Multifamily 26,743 — — — 26,743 — — Total Single-Family and Multifamily $2,788,601 $16,663 $3,533 $24,481 $2,833,278 $6,271 $972 Referenced footnotes are on the next page. (1) Includes $1.5 billion and $0.7 billion of single-family loans that were in the process of foreclosure as of September 30, 2022 and December 31, 2021, respectively. (2) Loans with no allowance for loan losses primarily represent those loans that were previously charged off and therefore the collateral value is sufficiently in excess of the amortized cost to result in recovery of the entire amortized cost basis if the property were foreclosed upon or otherwise subject to disposition. We exclude the amounts of allowance for credit losses on accrued interest receivable and advances of pre-foreclosure costs when determining whether a loan has an allowance for credit losses. Loan Restructurings In 1Q 2022, we adopted accounting guidance in ASU 2022-02 that eliminates the recognition and measurement of TDRs. Upon adoption of this guidance, we no longer measure an allowance for credit losses for TDRs we reasonably expect will occur, and we evaluate all loan restructurings according to the accounting guidance for loan refinancing and restructuring to determine whether the restructuring should be accounted for as a new loan or a continuation of the existing loan. We derecognize the existing loan and account for the restructured loan as a new loan if the effective yield on the restructured loan is at least equal to the effective yield for comparable loans with similar collection risks and the modifications to the original loan are more than minor. If a loan restructuring does not meet these conditions, we carryforward the existing loan’s amortized cost basis and account for the restructured loan as a continuation of the existing loan. Substantially all of our loan restructurings involving borrowers experiencing financial difficulty are accounted for as a continuation of the existing loan. The discounted cash flow model we use in measuring our Single-Family allowance for credit losses forecasts cash flows we expect to collect using our historical experience, including the effects of our loss mitigation activities involving borrowers experiencing financial difficulty. When we account for a loan restructuring as a continuation of the existing loan, we update the loan’s effective interest rate based on the restructured terms and recognize interest income prospectively using the new effective rate. We also update the prepayment-adjusted effective interest rate used to discount cash flows in measuring our allowance for credit losses to reflect the loan’s restructured terms. As a result, subsequent to our adoption of the accounting guidance that eliminates the recognition and measurement of TDRs, we no longer recognize an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows when a loan is restructured. However, because we adopted such guidance prospectively, we continue to use the loan's prepayment-adjusted effective interest rate just prior to the restructuring for loans that were restructured and accounted for as TDRs prior to our adoption of the guidance and that have not been subsequently modified after our adoption of the guidance. As a result, we continue to measure an allowance for credit losses for the economic concession granted to a borrower for changes in the timing and amount of contractual cash flows for such loans. Single-Family Loan Restructurings We offer several types of restructurings to single-family borrowers that may result in a payment delay, interest rate reduction, term extension, or combination thereof. We do not offer principal forgiveness. We offer the following types of restructurings to single-family borrowers that result in only a payment delay: n Forbearance plans - Arrangements that require reduced or no payments during a defined period that provides borrowers additional time to return to compliance with the original mortgage terms or to implement another type of loan workout option. Borrowers may exit forbearance by repaying all past due amounts and fully reinstating the loan, paying off the loan in full, or entering into a repayment plan, a payment deferral plan, or a trial period plan pursuant to a loan modification. We offer forbearance of up to 12 months to single-family borrowers experiencing financial difficulty (and up to 18 months to certain borrowers affected by the COVID-19 pandemic). Borrowers may receive an initial forbearance term of one to six months and, if necessary, one or more forbearance term extensions of one to six months, as long as the delinquency of the mortgage does not exceed 12 months. n Repayment plans - Contractual plans that allow borrowers a specific period of time to return to current status by paying the normal monthly payment plus additional agreed upon delinquent amounts. Repayment plans must have a term greater than one month and less than or equal to 12 months and the monthly repayment plan payment amount must not exceed 150% of the contractual mortgage payment amount. n Payment deferral plans - Arrangements that allow borrowers to return to current status by deferring delinquent principal and interest into a non-interest-bearing principal balance that is due at the earlier of the payoff date, maturity date, or sale of the property. The remaining mortgage term, interest rate, payment schedule, and maturity date remain unchanged, and no trial period plan is required. The number of months of payments deferred varies based upon the type of hardship the borrower is experiencing. In addition, we also offer single-family borrowers loan modifications, which are contractual plans that may involve changing the terms of the loan such as payment delays, interest rate reductions, term extensions, or a combination of these items. Payment delays in our loan modification programs most commonly consist of adding outstanding indebtedness, such as delinquent interest, to the UPB of the loan, and may also include principal forbearance, in which a portion of the principal balance becomes non-interest-bearing and is due at the earlier of the payoff date, maturity date, or sale of the property. Our modification programs generally require completion of a trial period of at least three months prior to receiving the modification. During the loan modification trial period, borrowers make payments that are an estimate of the anticipated modified payment amount, which is generally lower than the amount required by the loan's original contractual terms. As a result, loans in these modifications are granted a delay in the payment due under the original contractual terms during the trial period. We continue to report single-family loans in loan modification trial period plans as delinquent to the extent that payments are past due based on the loan’s original contractual terms. The amortized cost basis of loans in trial period modification plans was $1.6 billion as of September 30, 2022 . Most of these loans are 20- and 30-year or more, amortizing fixed-rate loans . Most of our modifications involve a combination of: (1) a payment delay in the form of adding outstanding indebtedness to the UPB of the loan, and (2) an interest rate reduction, a term extension, or both. The table below presents the amortized cost basis of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $6,435 $750 $1,254 $8,439 0.3 % 15-year or less, amortizing fixed-rate 381 24 6 411 0.1 Adjustable-rate and other 98 12 22 132 0.5 Total Single-Family loan restructurings $6,914 $786 $1,282 $8,982 0.3 YTD 2022 (Dollars in millions) Payment Delay (2) Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Total as % of Class of Financing Receivable (3) Single-Family: 20- and 30-year or more, amortizing fixed-rate $18,207 $1,868 $6,554 $26,629 1.0 % 15-year or less, amortizing fixed-rate 1,130 24 6 1,160 0.3 Adjustable-rate and other 357 32 105 494 1.7 Total Single-Family loan restructurings $19,694 $1,924 $6,665 $28,283 1.0 (1) Type of loan restructurings reflects the cumulative effects of the loan restructurings received during the period. Includes loan modifications in the period in which the borrower completes the trial period and the loan is permanently modified. (2) Includes $2.8 billion and $10.8 billion related to payment deferral plans for 3Q 2022 and YTD 2022, respectively. Also includes forbearance plans, repayment plans, and loan modifications that only involve payment delays. (3) Based on the amortized cost basis as of period end, divided by the total period-end amortized cost basis of the corresponding financing receivable class of single-family held-for-investment loans. The table below shows the financial effect of single-family held-for-investment loan restructurings involving borrowers experiencing financial difficulty that we entered into during the periods presented. Table 3.10 – Financial Effects of Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.1 % 183 $19 15-year or less, amortizing fixed-rate 0.6 366 21 Adjustable-rate and other 1.9 221 20 Referenced footnotes are included after the year-to-date table. YTD 2022 (Dollars in thousands) Weighted-Average Interest Rate Reduction Weighted-Average Months of Term Extension Weighted-Average Payment Deferral or Principal Forbearance (2) Single-Family: 20- and 30-year or more, amortizing fixed-rate 1.4 % 187 $22 15-year or less, amortizing fixed-rate 0.6 366 24 Adjustable-rate and other 2.3 225 26 (1) Averages are based on payment deferral plans and loan modifications completed during the periods presented. The financial effects of forbearance plans and repayment plans consist of a payment delay of between one and twelve months. In addition, the financial effect of a forbearance plan is included at the time the forbearance plan is completed if the borrower exits forbearance by entering into a payment deferral plan or loan modification. (2) Primarily related to payment deferral plans. Amounts are based on non-interest-bearing principal balances on the restructured loans. The following table provides the amortized cost basis of single-family held-for-investment loans restructured during YTD 2022 involving borrowers experiencing financial difficulty that subsequently defaulted (i.e., loans that became two months delinquent) during the periods presented. Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty (1) 3Q 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $483 $53 $140 $676 15-year or less, amortizing fixed-rate 28 — — 28 Adjustable-rate and other 9 1 1 11 Total Single-Family $520 $54 $141 $715 YTD 2022 (In millions) Payment Delay Payment Delay and Term Extension Payment Delay, Term Extension, and Interest Rate Reduction Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $1,194 $94 $216 $1,504 15-year or less, amortizing fixed-rate 67 — — 67 Adjustable-rate and other 31 3 3 37 Total Single-Family $1,292 $97 $219 $1,608 (1) Excludes forbearance plans and repayment plans as borrowers are typically past due based on the loan's original contractual terms at the time the borrowers enter into these plans. Table 3.12 - Payment Status of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty September 30, 2022 (In millions) Current One Month Past Due Two Months Past Due Three Months or More Past Due Total Single-Family: 20- and 30-year or more, amortizing fixed-rate $17,282 $2,289 $1,535 $5,523 $26,629 15-year or less, amortizing fixed-rate 696 107 81 276 1,160 Adjustable-rate and other 303 30 23 138 494 Total Single-Family $18,281 $2,426 $1,639 $5,937 $28,283 Multifamily Loan Restructurings We offer several types of restructurings to multifamily borrowers that may result in a payment delay, interest rate reduction, term extension, principal forgiveness, or combination thereof. In certain cases, we offer multifamily borrowers forbearance plans that allow borrowers to defer monthly payments during a defined period. After the forbearance period ends, the borrowers are required to repay forborne loan amounts in monthly installments. In addition, in certain cases, for maturing loans we may provide term extensions with no changes to the effective borrowing rate. In other cases, we may make more significant modifications of terms for borrowers experiencing financial difficulty, such as interest rate reductions, term extensions, principal forbearance and/or forgiveness, or some combination of these items. There were no restructuring activities related to multifamily held-for-investment loans involving borrowers experiencing financial difficulty for the nine months ended September 30, 2022. The table below provides details of our single-family loan modifications that were classified as TDRs during the periods presented. Table 3.13 - Single-Family TDR Modification Metrics 3Q 2021 YTD 2021 Percentage of single-family loan modifications that were classified as TDRs with: Interest rate reductions and related term extensions 12 % 13 % Principal forbearance and related interest rate reductions and term extensions 34 35 Average coupon interest rate reduction 0.4 % 0.4 % Average months of term extension 154 151 The table below presents the volume of single-family and multifamily loans that were newly classified as TDRs during the periods presented. Loans classified as a TDR in one period may be subject to further action (such as a modification or remodification) in a subsequent period. In such cases, the subsequent action would not be reflected in the table below since the loan would already have been classified as a TDR. Table 3.14 - TDR Activity 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Single-Family: (1)(2) 20- and 30-year or more, amortizing fixed-rate 3,136 $562 10,647 $1,889 15-year or less, amortizing fixed-rate 365 37 1,262 131 Adjustable-rate and other 146 24 553 82 Total Single-Family 3,647 623 12,462 2,102 Multifamily — — — — (1) The pre-TDR amortized cost basis for single-family loans initially classified as TDRs during 3Q 2021 and YTD 2021 was $0.6 billion and $2.1 billion, respectively. (2) Includes certain bankruptcy events and forbearance plans, repayment plans, payment deferral plans, and modification activities that do not qualify for the temporary relief related to TDRs provided by the CARES Act based on servicer reporting at the time of the TDR event. The table below presents the volume of our TDR modifications that experienced payment defaults (i.e., loans that became two months delinquent or completed a loss event) during the periods presented and had completed a modification during the year preceding the payment default. Table 3.15 - Payment Defaults of Completed TDR Modifications 3Q 2021 YTD 2021 (Dollars in millions) Number of Loans Post-TDR Amortized Cost Basis Number of Loans Post-TDR Amortized Cost Basis Single-Family: 20- and 30-year or more, amortizing fixed-rate 595 $103 2,408 $425 15-year or less, amortizing fixed-rate 15 2 101 11 Adjustable-rate and other 70 10 307 48 Total Single-Family 680 115 2,816 484 Multifamily — — — — |
