| Mortgage Loans | 60 to 80 42,991 175,477 389,009 147,535 21,066 12,364 788,442 > 80 to 90 20,207 87,422 59,288 2,371 380 418 170,086 > 90 to 100 31,434 61,855 5,608 328 38 120 99,383 > 100 14 2,459 101 4 5 121 2,704 Total 20- and 30-year or more, amortizing fixed-rate 108,984 403,848 889,408 660,912 111,870 442,369 2,617,391 Current year-to-date gross write-offs (1) — 5 11 3 2 20 41 15-year or less, amortizing fixed-rate ≤ 60 1,753 18,368 121,835 104,298 13,525 64,685 324,464 > 60 to 80 1,958 11,244 11,942 925 47 12 26,128 > 80 to 90 340 1,092 94 2 1 2 1,531 > 90 to 100 192 180 3 — — — 375 > 100 — 6 — — — 1 7 Total 15-year or less, amortizing fixed-rate 4,243 30,890 133,874 105,225 13,573 64,700 352,505 Current year-to-date gross write-offs (1) — — 1 — — — 1 Adjustable-rate and other ≤ 60 186 1,416 2,970 1,499 604 14,230 20,905 > 60 to 80 725 2,594 1,616 147 49 349 5,480 > 80 to 90 433 1,145 108 3 1 26 1,716 > 90 to 100 376 669 6 — — 13 1,064 > 100 — 39 — — — 6 45 Total adjustable-rate and other 1,720 5,863 4,700 1,649 654 14,624 29,210 Current year-to-date gross write-offs (1) — — — — — — — Total for all loan product types by current LTV ratio: ≤ 60 16,277 96,419 560,207 616,471 104,510 508,261 1,902,145 > 60 to 80 45,674 189,315 402,567 148,607 21,162 12,725 820,050 > 80 to 90 20,980 89,659 59,490 2,376 382 446 173,333 > 90 to 100 32,002 62,704 5,617 328 38 133 100,822 > 100 14 2,504 101 4 5 128 2,756 Total Single-Family loans $114,947 $440,601 $1,027,982 $767,786 $126,097 $521,693 $2,999,106 Total current year-to-date gross write-offs (1) $— $5 $12 $3 $2 $20 $42 Referenced footnotes are included after the prior period table. December 31, 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 $66,153 $394,498 $489,315 $87,188 $38,955 $407,819 $1,483,928 > 60 to 80 158,421 424,141 190,167 28,991 7,870 10,426 820,016 > 80 to 90 79,901 90,006 4,405 569 164 419 175,464 > 90 to 100 86,109 8,911 397 56 24 143 95,640 > 100 2,568 49 6 6 5 156 2,790 Total 20- and 30-year or more, amortizing fixed-rate 393,152 917,605 684,290 116,810 47,018 418,963 2,577,838 15-year or less, amortizing fixed-rate ≤ 60 16,752 119,379 109,685 14,606 5,578 68,240 334,240 > 60 to 80 13,042 22,007 2,503 132 16 16 37,716 > 80 to 90 1,601 368 7 — — 1 1,977 > 90 to 100 570 5 — — — 1 576 > 100 3 — — — — 1 4 Total 15-year or less, amortizing fixed-rate 31,968 141,759 112,195 14,738 5,594 68,259 374,513 Adjustable-rate and other ≤ 60 1,255 2,779 1,524 634 428 15,139 21,759 > 60 to 80 2,322 1,956 214 76 28 445 5,041 > 80 to 90 1,127 186 5 1 1 34 1,354 > 90 to 100 836 11 — — — 14 861 > 100 26 — — — — 9 35 Total adjustable-rate and other 5,566 4,932 1,743 711 457 15,641 29,050 Total for all loan product types by current LTV ratio: ≤ 60 84,160 516,656 600,524 102,428 44,961 491,198 1,839,927 > 60 to 80 173,785 448,104 192,884 29,199 7,914 10,887 862,773 > 80 to 90 82,629 90,560 4,417 570 165 454 178,795 > 90 to 100 87,515 8,927 397 56 24 158 97,077 > 100 2,597 49 6 6 5 166 2,829 Total Single-Family loans $430,686 $1,064,296 $798,228 $132,259 $53,069 $502,863 $2,981,401 Multifamily The table below presents the amortized cost basis of our multifamily held-for-investment loans, for which we have not elected the fair value option, 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 June 30, 2023 Year of Origination Total (In millions) 2023 2022 2021 2020 2019 Prior Revolving Loans Category: Pass $6,026 $18,547 $7,660 $6,427 $4,556 $3,262 $2,081 $48,559 Special mention 20 14 4 109 226 61 — 434 Substandard — — 64 77 205 461 — 807 Doubtful — — — — — — — — Total $6,046 $18,561 $7,728 $6,613 $4,987 $3,784 $2,081 $49,800 December 31, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Revolving Loans Category: Pass $21,854 $7,638 $6,546 $4,784 $1,077 $2,646 $1,924 $46,469 Special mention — 39 65 232 7 113 — 456 Substandard — 1 3 27 7 131 — 169 Doubtful — — — — — — — — Total $21,854 $7,678 $6,614 $5,043 $1,091 $2,890 $1,924 $47,094 Past Due Status The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, for which we have not elected the fair value option, by payment status. Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status June 30, 2023 (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 $2,581,894 $19,586 $4,299 $11,612 $2,617,391 $— $507 15-year or less, amortizing fixed-rate 350,510 1,257 212 526 352,505 — 8 Adjustable-rate and other 28,524 301 81 304 29,210 — 56 Total Single-Family 2,960,928 21,144 4,592 12,442 2,999,106 — 571 Total Multifamily 49,713 30 1 56 49,800 — 15 Total Single-Family and Multifamily $3,010,641 $21,174 $4,593 $12,498 $3,048,906 $— $586 Referenced footnotes are included after the prior period table. December 31, 2022 (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 $2,541,057 $19,820 $4,603 $12,358 $2,577,838 $3,432 $522 15-year or less, amortizing fixed-rate 372,065 1,590 250 608 374,513 191 9 Adjustable-rate and other 28,262 325 88 375 29,050 30 67 Total Single-Family 2,941,384 21,735 4,941 13,341 2,981,401 3,653 598 Total Multifamily 47,039 13 — 42 47,094 — 42 Total Single-Family and Multifamily $2,988,423 $21,748 $4,941 $13,383 $3,028,495 $3,653 $640 (1) Includes $1.9 billion and $1.6 billion of single-family loans that were in the process of foreclosure as of June 30, 2023 and December 31, 2022, 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 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. For purposes of the disclosure related to single-family loan restructurings involving borrowers experiencing financial difficulty, we exclude loans that were held-for-sale either at the time of restructuring or at the period end. 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. The amortized cost basis of loans in trial period modification plans was $1.8 billion and $2.6 billion as of June 30, 2023 and June 30, 2022, respectively . Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 2Q 2023 (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 $5,328 $1,116 $32 $6,476 0.2 % 15-year or less, amortizing fixed-rate 265 — — 265 0.1 Adjustable-rate and other 63 8 1 72 0.2 Total Single-Family loan restructurings $5,656 $1,124 $33 $6,813 0.2 2Q 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 $6,832 $520 $2,476 $9,828 0.4 % 15-year or less, amortizing fixed-rate 429 15 16 460 0.1 Adjustable-rate and other 139 14 50 203 0.7 Total Single-Family loan restructurings $7,400 $549 $2,542 $10,491 0.4 Referenced footnotes are included after the year-to-date table. YTD 2023 (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 $10,607 $2,148 $118 $12,873 0.5 % 15-year or less, amortizing fixed-rate 547 — — 547 0.2 Adjustable-rate and other 123 18 5 146 0.5 Total Single-Family loan restructurings $11,277 $2,166 $123 $13,566 0.5 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 $14,268 $1,172 $5,361 $20,801 0.8 % 15-year or less, amortizing fixed-rate 910 28 69 1,007 0.3 Adjustable-rate and other 314 29 126 469 1.6 Total Single-Family loan restructurings $15,492 $1,229 $5,556 $22,277 0.8 (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 $2.2 billion and $4.8 billion related to payment deferral plans for 2Q 2023 and YTD 2023, respectively, compared to $3.6 billion and $8.4 billion for 2Q 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) 2Q 2023 (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 % 179 $18 15-year or less, amortizing fixed-rate — 0 16 Adjustable-rate and other 1.6 201 15 2Q 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 % 185 $21 15-year or less, amortizing fixed-rate 0.6 359 22 Adjustable-rate and other 2.2 234 26 Referenced footnotes are included after the year-to-date table. YTD 2023 (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 1.0 % 181 $17 15-year or less, amortizing fixed-rate — 0 16 Adjustable-rate and other 1.9 200 17 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 1.5 % 187 $23 15-year or less, amortizing fixed-rate 0.6 358 24 Adjustable-rate and other 2.3 228 27 (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 that had a payment default (i.e., loans that became two months delinquent) during the periods presented and had been restructured within the previous 12 months preceding the payment default, when the borrower was experiencing financial difficulty at the time of the restructuring. Since we adopted ASU 2022-02 prospectively, single-family held-for-investment loans that were restructured prior to January 1, 2022, the date we adopted such guidance, have been excluded from the disclosures related to loan restructurings. Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty (1) 2Q 2023 (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 $710 $239 $131 $1,080 15-year or less, amortizing fixed-rate 33 — — 33 Adjustable-rate and other 11 2 2 15 Total Single-Family $754 $241 $133 $1,128 2Q 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 $364 $30 $69 $463 15-year or less, amortizing fixed-rate 18 — — 18 Adjustable-rate and other 10 2 1 13 Total Single-Family $392 $32 $70 $494 Referenced footnotes are included after the year-to-date table. YTD 2023 (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 $1,286 $381 $305 $1,972 15-year or less, amortizing fixed-rate 59 — — 59 Adjustable-rate and other 18 3 6 27 Total Single-Family $1,363 $384 $311 $2,058 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 $717 $38 $76 $831 15-year or less, amortizing fixed-rate 45 — — 45 Adjustable-rate and other 24 2 1 27 Total Single-Family $786 $40 $77 $903 (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. The following table provides the single-family held-for-investment loan performance in the 12 months after a restructuring involving borrowers experiencing financial difficulty. While a single-family loan is in a forbearance plan or repayment plan, payments continue to be due based on the loan’s original contractual terms because the loan has not been permanently modified. As a result, we report single-family loans in forbearance plans and repayment plans as delinquent to the extent that payments are past due based on the loan’s original contractual terms. Loans that have been restructured by entering into a payment deferral plan or loan modification are reported as delinquent to the extent that payments are past due based on the loan's restructured terms. Table 3.12 - Amortized Cost Basis of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty by Payment Status June 30, 2023 (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 $13,660 $2,341 $1,478 $6,244 $23,723 15-year or less, amortizing fixed-rate 572 94 57 281 1,004 Adjustable-rate and other 158 32 19 84 293 Total Single-Family $14,390 $2,467 $1,554 $6,609 $25,020 June 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 $13,524 $1,905 $1,224 $4,148 $20,801 15-year or less, amortizing fixed-rate 610 97 72 228 1,007 Adjustable-rate and other 292 31 21 125 469 Total Single-Family $14,426 $2,033 $1,317 $4,501 $22,277 " 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 June 30, 2023 December 31, 2022 (In millions) Single-Family Multifamily Total Single-Family Multifamily Total Held-for-sale UPB $3,231 $9,319 $12,550 $3,564 $9,544 $13,108 Cost basis and fair value adjustments, net (686) (169) (855) (696) (215) (911) Total held-for-sale loans, net 2,545 9,150 11,695 2,868 9,329 12,197 Held-for-investment UPB 2,961,459 51,309 3,012,768 2,941,505 48,379 2,989,884 Cost basis and fair value adjustments, net (1) 37,325 (150) 37,175 39,896 (71) 39,825 Allowance for credit losses (7,088) (251) (7,339) (7,314) (77) (7,391) Total held-for-investment loans, net (2) 2,991,696 50,908 3,042,604 2,974,087 48,231 3,022,318 Total mortgage loans, net $2,994,241 $60,058 $3,054,299 $2,976,955 $57,560 $3,034,515 (1) Includes ($0.3) billion of basis adjustments maintained on a closed portfolio basis related to existing portfolio layer method hedge relationships as of June 30, 2023. (2) Includes $1.4 billion and $1.2 billion of multifamily held-for-investment loans for which we have elected the fair value option as of June 30, 2023 and December 31, 2022, respectively . 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) 2Q 2023 2Q 2022 YTD 2023 YTD 2022 Single-Family: Purchases: Held-for-investment loans $82,850 $137,665 $141,815 $344,600 Sales of held-for-sale loans (1) — 1,429 — 1,444 Multifamily: Purchases: Held-for-investment loans 4,661 2,957 8,010 5,522 Held-for-sale loans 7,398 11,372 10,093 23,639 Sales of held-for-sale loans (2) 8,626 14,899 14,776 29,191 (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. 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 (1) 2Q 2023 2Q 2022 (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 $— $— $— $325 $10 $— Held-for-sale to held-for-investment (2) — — — 75 (4) 3 Multifamily reclassifications from: Held-for-investment to held-for-sale 735 1 (6) 386 1 — Held-for-sale to held-for-investment (2) 161 — — 39 — — YTD 2023 YTD 2022 (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 $— $— $— $573 $10 $— Held-for-sale to held-for-investment (2) 48 4 4 137 (7) 3 Multifamily reclassifications from: Held-for-investment to held-for-sale 5,466 2 (33) 701 1 — Held-for-sale to held-for-investment (2) 722 — 16 285 — — (1) Amounts exclude reclassifications related to loans for which we have elected the fair value option. (2) Allowance for credit losses established upon loan reclassifications from held-for-sale to held-for-investment to reflect the net amount we expect to collect on the loan. Loans with prior charge-offs may have a negative allowance for credit losses established upon reclassification. 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 the period end. Table 3.4 - Amortized Cost Basis of Held-for-Investment Loans on Non-Accrual (1) Non-Accrual Amortized Cost Basis Interest Income Recognized (2) (In millions) June 30, 2023 March 31, 2023 2Q 2023 YTD 2023 Single-Family: 20- and 30-year or more, amortizing fixed-rate $11,989 $9,348 $28 $78 15-year or less, amortizing fixed-rate 540 434 1 2 Adjustable-rate and other 323 332 1 2 Total Single-Family 12,852 10,114 30 82 Total Multifamily 56 41 1 1 Total Single-Family and Multifamily $12,908 $10,155 $31 $83 Referenced footnotes are included after the prior period table. Non-Accrual Amortized Cost Basis Interest Income Recognized (2) (In millions) June 30, 2022 March 31, 2022 2Q 2022 YTD 2022 Single-Family: 20- and 30-year or more, amortizing fixed-rate $11,021 $13,831 $40 $80 15-year or less, amortizing fixed-rate 562 684 1 3 Adjustable-rate and other 435 580 1 3 Total Single-Family 12,018 15,095 42 86 Total Multifamily 42 42 — — Total Single-Family and Multifamily $12,060 $15,137 $42 $86 (1) Excludes amounts related to loans for which we have elected the fair value option. (2) 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) June 30, 2023 December 31, 2022 2Q 2023 2Q 2022 YTD 2023 YTD 2022 Single-Family loans $8,285 $7,967 ($88) ($58) ($136) ($145) Multifamily loans 234 220 — — — — 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 June 30, 2023 Year of Origination Total (In millions) 2023 2022 2021 2020 2019 Prior Current LTV ratio: 20- and 30-year or more, amortizing fixed-rate ≤ 60 $14,338 $76,635 $435,402 $510,674 $90,381 $429,346 $1,556,776 > 60 to 80 42,991 175,477 389,009 147,535 21,066 12,364 788,442 > 80 to 90 20,207 87,422 59,288 2,371 380 418 170,086 > 90 to 100 31,434 61,855 5,608 328 38 120 99,383 > 100 14 2,459 101 4 5 121 2,704 Total 20- and 30-year or more, amortizing fixed-rate 108,984 403,848 889,408 660,912 111,870 442,369 2,617,391 Current year-to-date gross write-offs (1) — 5 11 3 2 20 41 15-year or less, amortizing fixed-rate ≤ 60 1,753 18,368 121,835 104,298 13,525 64,685 324,464 > 60 to 80 1,958 11,244 11,942 925 47 12 26,128 > 80 to 90 340 1,092 94 2 1 2 1,531 > 90 to 100 192 180 3 — — — 375 > 100 — 6 — — — 1 7 Total 15-year or less, amortizing fixed-rate 4,243 30,890 133,874 105,225 13,573 64,700 352,505 Current year-to-date gross write-offs (1) — — 1 — — — 1 Adjustable-rate and other ≤ 60 186 1,416 2,970 1,499 604 14,230 20,905 > 60 to 80 725 2,594 1,616 147 49 349 5,480 > 80 to 90 433 1,145 108 3 1 26 1,716 > 90 to 100 376 669 6 — — 13 1,064 > 100 — 39 — — — 6 45 Total adjustable-rate and other 1,720 5,863 4,700 1,649 654 14,624 29,210 Current year-to-date gross write-offs (1) — — — — — — — Total for all loan product types by current LTV ratio: ≤ 60 16,277 96,419 560,207 616,471 104,510 508,261 1,902,145 > 60 to 80 45,674 189,315 402,567 148,607 21,162 12,725 820,050 > 80 to 90 20,980 89,659 59,490 2,376 382 446 173,333 > 90 to 100 32,002 62,704 5,617 328 38 133 100,822 > 100 14 2,504 101 4 5 128 2,756 Total Single-Family loans $114,947 $440,601 $1,027,982 $767,786 $126,097 $521,693 $2,999,106 Total current year-to-date gross write-offs (1) $— $5 $12 $3 $2 $20 $42 Referenced footnotes are included after the prior period table. December 31, 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 $66,153 $394,498 $489,315 $87,188 $38,955 $407,819 $1,483,928 > 60 to 80 158,421 424,141 190,167 28,991 7,870 10,426 820,016 > 80 to 90 79,901 90,006 4,405 569 164 419 175,464 > 90 to 100 86,109 8,911 397 56 24 143 95,640 > 100 2,568 49 6 6 5 156 2,790 Total 20- and 30-year or more, amortizing fixed-rate 393,152 917,605 684,290 116,810 47,018 418,963 2,577,838 15-year or less, amortizing fixed-rate ≤ 60 16,752 119,379 109,685 14,606 5,578 68,240 334,240 > 60 to 80 13,042 22,007 2,503 132 16 16 37,716 > 80 to 90 1,601 368 7 — — 1 1,977 > 90 to 100 570 5 — — — 1 576 > 100 3 — — — — 1 4 Total 15-year or less, amortizing fixed-rate 31,968 141,759 112,195 14,738 5,594 68,259 374,513 Adjustable-rate and other ≤ 60 1,255 2,779 1,524 634 428 15,139 21,759 > 60 to 80 2,322 1,956 214 76 28 445 5,041 > 80 to 90 1,127 186 5 1 1 34 1,354 > 90 to 100 836 11 — — — 14 861 > 100 26 — — — — 9 35 Total adjustable-rate and other 5,566 4,932 1,743 711 457 15,641 29,050 Total for all loan product types by current LTV ratio: ≤ 60 84,160 516,656 600,524 102,428 44,961 491,198 1,839,927 > 60 to 80 173,785 448,104 192,884 29,199 7,914 10,887 862,773 > 80 to 90 82,629 90,560 4,417 570 165 454 178,795 > 90 to 100 87,515 8,927 397 56 24 158 97,077 > 100 2,597 49 6 6 5 166 2,829 Total Single-Family loans $430,686 $1,064,296 $798,228 $132,259 $53,069 $502,863 $2,981,401 Multifamily The table below presents the amortized cost basis of our multifamily held-for-investment loans, for which we have not elected the fair value option, 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 June 30, 2023 Year of Origination Total (In millions) 2023 2022 2021 2020 2019 Prior Revolving Loans Category: Pass $6,026 $18,547 $7,660 $6,427 $4,556 $3,262 $2,081 $48,559 Special mention 20 14 4 109 226 61 — 434 Substandard — — 64 77 205 461 — 807 Doubtful — — — — — — — — Total $6,046 $18,561 $7,728 $6,613 $4,987 $3,784 $2,081 $49,800 December 31, 2022 Year of Origination Total (In millions) 2022 2021 2020 2019 2018 Prior Revolving Loans Category: Pass $21,854 $7,638 $6,546 $4,784 $1,077 $2,646 $1,924 $46,469 Special mention — 39 65 232 7 113 — 456 Substandard — 1 3 27 7 131 — 169 Doubtful — — — — — — — — Total $21,854 $7,678 $6,614 $5,043 $1,091 $2,890 $1,924 $47,094 Past Due Status The table below presents the amortized cost basis of our single-family and multifamily held-for-investment loans, for which we have not elected the fair value option, by payment status. Table 3.8 - Amortized Cost Basis of Held-for-Investment Loans by Payment Status June 30, 2023 (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 $2,581,894 $19,586 $4,299 $11,612 $2,617,391 $— $507 15-year or less, amortizing fixed-rate 350,510 1,257 212 526 352,505 — 8 Adjustable-rate and other 28,524 301 81 304 29,210 — 56 Total Single-Family 2,960,928 21,144 4,592 12,442 2,999,106 — 571 Total Multifamily 49,713 30 1 56 49,800 — 15 Total Single-Family and Multifamily $3,010,641 $21,174 $4,593 $12,498 $3,048,906 $— $586 Referenced footnotes are included after the prior period table. December 31, 2022 (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 $2,541,057 $19,820 $4,603 $12,358 $2,577,838 $3,432 $522 15-year or less, amortizing fixed-rate 372,065 1,590 250 608 374,513 191 9 Adjustable-rate and other 28,262 325 88 375 29,050 30 67 Total Single-Family 2,941,384 21,735 4,941 13,341 2,981,401 3,653 598 Total Multifamily 47,039 13 — 42 47,094 — 42 Total Single-Family and Multifamily $2,988,423 $21,748 $4,941 $13,383 $3,028,495 $3,653 $640 (1) Includes $1.9 billion and $1.6 billion of single-family loans that were in the process of foreclosure as of June 30, 2023 and December 31, 2022, 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 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. For purposes of the disclosure related to single-family loan restructurings involving borrowers experiencing financial difficulty, we exclude loans that were held-for-sale either at the time of restructuring or at the period end. 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. The amortized cost basis of loans in trial period modification plans was $1.8 billion and $2.6 billion as of June 30, 2023 and June 30, 2022, respectively . Table 3.9 - Single-Family Loan Restructurings Involving Borrowers Experiencing Financial Difficulty (1) 2Q 2023 (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 $5,328 $1,116 $32 $6,476 0.2 % 15-year or less, amortizing fixed-rate 265 — — 265 0.1 Adjustable-rate and other 63 8 1 72 0.2 Total Single-Family loan restructurings $5,656 $1,124 $33 $6,813 0.2 2Q 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 $6,832 $520 $2,476 $9,828 0.4 % 15-year or less, amortizing fixed-rate 429 15 16 460 0.1 Adjustable-rate and other 139 14 50 203 0.7 Total Single-Family loan restructurings $7,400 $549 $2,542 $10,491 0.4 Referenced footnotes are included after the year-to-date table. YTD 2023 (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 $10,607 $2,148 $118 $12,873 0.5 % 15-year or less, amortizing fixed-rate 547 — — 547 0.2 Adjustable-rate and other 123 18 5 146 0.5 Total Single-Family loan restructurings $11,277 $2,166 $123 $13,566 0.5 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 $14,268 $1,172 $5,361 $20,801 0.8 % 15-year or less, amortizing fixed-rate 910 28 69 1,007 0.3 Adjustable-rate and other 314 29 126 469 1.6 Total Single-Family loan restructurings $15,492 $1,229 $5,556 $22,277 0.8 (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 $2.2 billion and $4.8 billion related to payment deferral plans for 2Q 2023 and YTD 2023, respectively, compared to $3.6 billion and $8.4 billion for 2Q 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) 2Q 2023 (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 % 179 $18 15-year or less, amortizing fixed-rate — 0 16 Adjustable-rate and other 1.6 201 15 2Q 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 % 185 $21 15-year or less, amortizing fixed-rate 0.6 359 22 Adjustable-rate and other 2.2 234 26 Referenced footnotes are included after the year-to-date table. YTD 2023 (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 1.0 % 181 $17 15-year or less, amortizing fixed-rate — 0 16 Adjustable-rate and other 1.9 200 17 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 1.5 % 187 $23 15-year or less, amortizing fixed-rate 0.6 358 24 Adjustable-rate and other 2.3 228 27 (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 that had a payment default (i.e., loans that became two months delinquent) during the periods presented and had been restructured within the previous 12 months preceding the payment default, when the borrower was experiencing financial difficulty at the time of the restructuring. Since we adopted ASU 2022-02 prospectively, single-family held-for-investment loans that were restructured prior to January 1, 2022, the date we adopted such guidance, have been excluded from the disclosures related to loan restructurings. Table 3.11 - Subsequent Defaults of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty (1) 2Q 2023 (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 $710 $239 $131 $1,080 15-year or less, amortizing fixed-rate 33 — — 33 Adjustable-rate and other 11 2 2 15 Total Single-Family $754 $241 $133 $1,128 2Q 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 $364 $30 $69 $463 15-year or less, amortizing fixed-rate 18 — — 18 Adjustable-rate and other 10 2 1 13 Total Single-Family $392 $32 $70 $494 Referenced footnotes are included after the year-to-date table. YTD 2023 (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 $1,286 $381 $305 $1,972 15-year or less, amortizing fixed-rate 59 — — 59 Adjustable-rate and other 18 3 6 27 Total Single-Family $1,363 $384 $311 $2,058 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 $717 $38 $76 $831 15-year or less, amortizing fixed-rate 45 — — 45 Adjustable-rate and other 24 2 1 27 Total Single-Family $786 $40 $77 $903 (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. The following table provides the single-family held-for-investment loan performance in the 12 months after a restructuring involving borrowers experiencing financial difficulty. While a single-family loan is in a forbearance plan or repayment plan, payments continue to be due based on the loan’s original contractual terms because the loan has not been permanently modified. As a result, we report single-family loans in forbearance plans and repayment plans as delinquent to the extent that payments are past due based on the loan’s original contractual terms. Loans that have been restructured by entering into a payment deferral plan or loan modification are reported as delinquent to the extent that payments are past due based on the loan's restructured terms. Table 3.12 - Amortized Cost Basis of Single-Family Restructured Loans Involving Borrowers Experiencing Financial Difficulty by Payment Status June 30, 2023 (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 $13,660 $2,341 $1,478 $6,244 $23,723 15-year or less, amortizing fixed-rate 572 94 57 281 1,004 Adjustable-rate and other 158 32 19 84 293 Total Single-Family $14,390 $2,467 $1,554 $6,609 $25,020 June 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 $13,524 $1,905 $1,224 $4,148 $20,801 15-year or less, amortizing fixed-rate 610 97 72 228 1,007 Adjustable-rate and other 292 31 21 125 469 Total Single-Family $14,426 $2,033 $1,317 $4,501 $22,277 |
