Cover Page
Cover Page - shares | 3 Months Ended | |
Mar. 31, 2023 | Apr. 14, 2023 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2023 | |
Document Transition Report | false | |
Entity File Number | 0-50231 | |
Entity Registrant Name | FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE | |
Entity Incorporation, State or Country Code | X1 | |
Entity Tax Identification Number | 52-0883107 | |
Entity Address, Address Line One | 1100 15th Street, NW | |
Entity Address, City or Town | Washington, | |
Entity Address, State or Province | DC | |
Entity Address, Postal Zip Code | 20005 | |
City Area Code | 800 | |
Local Phone Number | 232-6643 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 1,158,087,567 | |
Entity Central Index Key | 0000310522 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2023 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets (Unaudited) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Assets: | ||
Cash and cash equivalents | $ 60,330 | $ 57,987 |
Restricted cash and cash equivalents (includes $24,639 and $23,348, respectively, related to consolidated trusts) | 30,507 | 29,854 |
Securities purchased under agreements to resell (includes $5,500 and $3,475, respectively, related to consolidated trusts) | 26,950 | 14,565 |
Investments in securities, at fair value | 51,089 | 50,825 |
Mortgage loans: | ||
Loans held for sale, at lower of cost or fair value | 512 | 2,033 |
Loans held for investment, at amortized cost: | 4,121,158 | 4,123,750 |
Allowance for loan losses | (11,335) | (11,347) |
Total loans held for investment, net of allowance | 4,109,823 | 4,112,403 |
Total mortgage loans | 4,110,335 | 4,114,436 |
Advances to lenders | 2,748 | 1,502 |
Deferred tax assets, net | 12,615 | 12,911 |
Accrued interest receivable, net (includes $9,236 and $9,241 related to consolidated trusts and net of allowance of $68 and $111, respectively) | 9,780 | 9,821 |
Other assets | 13,106 | 13,387 |
Total assets | 4,317,460 | 4,305,288 |
Liabilities: | ||
Accrued interest payable (includes $9,545 and $9,347, respectively, related to consolidated trusts) | 10,182 | 9,917 |
Other liabilities (includes $1,729 and $1,748, respectively, related to consolidated trusts) | 12,463 | 13,206 |
Total liabilities | 4,253,411 | 4,245,011 |
Commitments and contingencies (Note 13) | 0 | 0 |
Fannie Mae stockholders’ equity: | ||
Senior preferred stock (liquidation preference of $181,776 and $180,339, respectively) | 120,836 | 120,836 |
Preferred stock, 700,000,000 shares are authorized—555,374,922 shares issued and outstanding | 19,130 | 19,130 |
Common stock, no par value, no maximum authorization—1,308,762,703 shares issued and 1,158,087,567 shares outstanding | 687 | 687 |
Accumulated deficit | (69,239) | (73,011) |
Accumulated other comprehensive income | 35 | 35 |
Treasury stock, at cost, 150,675,136 shares | (7,400) | (7,400) |
Total stockholders’ equity (See Note 1: Senior Preferred Stock Purchase Agreement and Senior Preferred Stock for information on the related dividend obligation and liquidation preference) | 64,049 | 60,277 |
Total liabilities and equity | 4,317,460 | 4,305,288 |
Fannie Mae | ||
Mortgage loans: | ||
Loans held for investment, at amortized cost: | 51,645 | 52,081 |
Liabilities: | ||
Debt: | 139,164 | 134,168 |
Consolidated Trusts | ||
Assets: | ||
Restricted cash and cash equivalents (includes $24,639 and $23,348, respectively, related to consolidated trusts) | 24,639 | 23,348 |
Securities purchased under agreements to resell (includes $5,500 and $3,475, respectively, related to consolidated trusts) | 5,500 | 3,475 |
Mortgage loans: | ||
Loans held for investment, at amortized cost: | 4,069,513 | 4,071,669 |
Accrued interest receivable, net (includes $9,236 and $9,241 related to consolidated trusts and net of allowance of $68 and $111, respectively) | 9,236 | 9,241 |
Liabilities: | ||
Accrued interest payable (includes $9,545 and $9,347, respectively, related to consolidated trusts) | 9,545 | 9,347 |
Debt: | 4,091,602 | 4,087,720 |
Other liabilities (includes $1,729 and $1,748, respectively, related to consolidated trusts) | $ 1,729 | $ 1,748 |
Condensed Consolidated Balanc_2
Condensed Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Restricted cash and cash equivalents related to consolidated trusts | $ 30,507 | $ 29,854 |
Securities purchased under agreements to resell | 26,950 | 14,565 |
Total loans held for investment, at fair value | 3,599 | 3,645 |
Accrued interest receivable | 9,780 | 9,821 |
Interest receivable, allowance for credit loss | 68 | 111 |
Accrued interest payable related to consolidated trusts | 10,182 | 9,917 |
Other liabilities (includes $1,729 and $1,748, respectively, related to consolidated trusts) | 12,463 | 13,206 |
Senior preferred stock liquidation preference | $ 181,776 | $ 180,339 |
Preferred stock authorized (shares) | 700,000,000 | 700,000,000 |
Preferred stock issued (shares) | 555,374,922 | 555,374,922 |
Preferred stock outstanding (shares) | 555,374,922 | 555,374,922 |
Common stock issued (shares) | 1,308,762,703 | 1,308,762,703 |
Common stock outstanding (shares) | 1,158,087,567 | 1,158,087,567 |
Treasury stock at cost (shares) | 150,675,136 | 150,675,136 |
Consolidated Trusts | ||
Restricted cash and cash equivalents related to consolidated trusts | $ 24,639 | $ 23,348 |
Securities purchased under agreements to resell | 5,500 | 3,475 |
Accrued interest receivable | 9,236 | 9,241 |
Accrued interest payable related to consolidated trusts | 9,545 | 9,347 |
Debt: | 15,972 | 16,260 |
Other liabilities (includes $1,729 and $1,748, respectively, related to consolidated trusts) | 1,729 | 1,748 |
Fannie Mae | ||
Debt: | $ 1,132 | $ 1,161 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Operations and Comprehensive Income (Unaudited) - USD ($) shares in Millions, $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Interest income: | ||
Investments in securities | $ 981 | $ 166 |
Mortgage loans | 32,137 | 27,142 |
Other | 452 | 32 |
Total interest income | 33,570 | 27,340 |
Interest expense: | ||
Short-term debt | (119) | (1) |
Long-term debt | (26,665) | (19,940) |
Total interest expense | (26,784) | (19,941) |
Net interest income | 6,786 | 7,399 |
Provision for credit losses | (132) | (240) |
Net interest income after provision for credit losses | 6,654 | 7,159 |
Investment losses, net | (67) | (102) |
Fair value gains, net | 204 | 480 |
Fee and other income | 63 | 83 |
Non-interest income | 200 | 461 |
Administrative expenses: | ||
Salaries and employee benefits | (480) | (407) |
Professional services | (184) | (209) |
Other administrative expenses | (204) | (192) |
Total administrative expenses | (868) | (808) |
TCCA fees | (855) | (824) |
Credit enhancement expense | (341) | (278) |
Change in expected credit enhancement recoveries | 120 | 60 |
Other expenses, net | (130) | (197) |
Total expenses | (2,074) | (2,047) |
Income before federal income taxes | 4,780 | 5,573 |
Provision for federal income taxes | (1,008) | (1,165) |
Net income | 3,772 | 4,408 |
Other comprehensive loss | 0 | (7) |
Total comprehensive income | 3,772 | 4,401 |
Dividends distributed or amounts attributable to senior preferred stock | (3,772) | (4,401) |
Net income attributable to common stockholders, basic | 0 | 7 |
Net income attributable to common stockholders, diluted | $ 0 | $ 7 |
Earnings per share, Basic (in usd per share) | $ 0 | $ 0 |
Earnings per share, Diluted (in usd per share) | $ 0 | $ 0 |
Weighted-average common shares outstanding, Basic (shares) | 5,867 | 5,867 |
Weighted-average common shares outstanding, Diluted (shares) | 5,867 | 5,893 |
Condensed Consolidated Statem_2
Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Net cash provided by operating activities | $ 4,015 | $ 3,358 |
Cash flows provided by (used in) investing activities: | ||
Purchases of loans held for investment | (27,422) | (95,844) |
Advances to lenders | (22,571) | (68,231) |
Proceeds from disposition of acquired property and preforeclosure sales | 1,148 | 701 |
Net change in securities purchased under agreements to resell | (12,385) | 2,836 |
Other, net | (778) | (691) |
Net cash provided by investing activities | 17,569 | 4,322 |
Cash flows provided by (used in) financing activities: | ||
Net cash used in financing activities | (18,588) | (27,330) |
Net increase (decrease) in cash, cash equivalents and restricted cash and cash equivalents | 2,996 | (19,650) |
Cash, cash equivalents and restricted cash and cash equivalents at beginning of period | 87,841 | 108,631 |
Cash, cash equivalents and restricted cash and cash equivalents at end of period | 90,837 | 88,981 |
Cash paid during the period for: | ||
Interest | 27,190 | 24,475 |
Income taxes | 0 | 0 |
Fannie Mae | ||
Cash flows provided by (used in) investing activities: | ||
Proceeds from repayments of loans acquired as held for investment of Fannie Mae | 1,263 | 2,307 |
Proceeds from sales of loans acquired as held for investment of Fannie Mae | 1,539 | 0 |
Cash flows provided by (used in) financing activities: | ||
Proceeds from issuance of debt | 102,839 | 97,899 |
Payments to redeem debt | (98,333) | (117,002) |
Consolidated Trusts | ||
Cash flows provided by (used in) investing activities: | ||
Proceeds from repayments and sales of loans acquired as held for investment of consolidated trusts | 76,775 | 163,244 |
Cash flows provided by (used in) financing activities: | ||
Proceeds from issuance of debt | 53,102 | 180,031 |
Payments to redeem debt | $ (76,196) | $ (188,258) |
Condensed Consolidated Statem_3
Condensed Consolidated Statements of Changes in Equity (Unaudited) - USD ($) shares in Millions, $ in Millions | Total | Senior Preferred | Preferred | Common | Accumulated Deficit | Accumulated Other Comprehensive Income | Treasury Stock |
Beginning balance (shares) at Dec. 31, 2021 | 1 | 556 | 1,158 | ||||
Beginning balance at Dec. 31, 2021 | $ 47,357 | $ 120,836 | $ 19,130 | $ 687 | $ (85,934) | $ 38 | $ (7,400) |
Comprehensive income: | |||||||
Net income | 4,408 | 4,408 | |||||
Other comprehensive income, net of tax effect: | |||||||
Changes in net unrealized gains on available-for-sale securities, net of taxes | (9) | (9) | |||||
Reclassification adjustment for gains included in net income, net of taxes | 4 | 4 | |||||
Other, net of taxes | (2) | (2) | |||||
Total comprehensive income | 4,401 | ||||||
Ending balance (shares) at Mar. 31, 2022 | 1 | 556 | 1,158 | ||||
Ending balance at Mar. 31, 2022 | 51,758 | $ 120,836 | $ 19,130 | $ 687 | (81,526) | 31 | (7,400) |
Beginning balance (shares) at Dec. 31, 2022 | 1 | 556 | 1,158 | ||||
Beginning balance at Dec. 31, 2022 | 60,277 | $ 120,836 | $ 19,130 | $ 687 | (73,011) | 35 | (7,400) |
Comprehensive income: | |||||||
Net income | 3,772 | 3,772 | |||||
Other comprehensive income, net of tax effect: | |||||||
Changes in net unrealized gains on available-for-sale securities, net of taxes | 2 | 2 | |||||
Other, net of taxes | (2) | (2) | |||||
Total comprehensive income | 3,772 | ||||||
Ending balance (shares) at Mar. 31, 2023 | 1 | 556 | 1,158 | ||||
Ending balance at Mar. 31, 2023 | $ 64,049 | $ 120,836 | $ 19,130 | $ 687 | $ (69,239) | $ 35 | $ (7,400) |
Condensed Consolidated Statem_4
Condensed Consolidated Statements of Changes in Equity (Unaudited) (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Statement of Stockholders' Equity [Abstract] | ||
Changes in net unrealized gains on available-for-sale securities, tax | $ 0 | $ 2 |
Reclassification adjustment for gains included in net income, tax | 1 | |
Other, tax | $ 0 | $ 1 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2023 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Fannie Mae is a leading source of financing for mortgages in the United States. We are a shareholder-owned corporation organized as a government-sponsored entity (“GSE”) and existing under the Federal National Mortgage Association Charter Act (the “Charter Act” or our “charter”). We were chartered by Congress to provide liquidity and stability to the residential mortgage market and to promote access to mortgage credit. Our regulators include the Federal Housing Finance Agency (“FHFA”), the U.S. Department of Housing and Urban Development (“HUD”), the U.S. Securities and Exchange Commission (“SEC”) and the U.S. Department of the Treasury (“Treasury”). The U.S. government does not guarantee our securities or other obligations. We have been under conservatorship, with FHFA acting as conservator, since September 6, 2008. See below and “Note 1, Summary of Significant Accounting Policies” in our annual report on Form 10-K for the year ended December 31, 2022 (“2022 Form 10-K”) for additional information on our conservatorship and the impact of U.S. government support of our business. The unaudited interim condensed consolidated financial statements as of and for the three months ended March 31, 2023 and related notes should be read in conjunction with our audited consolidated financial statements and related notes included in our 2022 Form 10-K. Basis of Presentation The accompanying unaudited interim condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial information and with the SEC’s instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and note disclosures required by GAAP for complete consolidated financial statements. In the opinion of management, all adjustments of a normal recurring nature considered necessary for a fair presentation have been included. The accompanying condensed consolidated financial statements include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany accounts and transactions have been eliminated. Results for the three months ended March 31, 2023 may not necessarily be indicative of the results for the year ending December 31, 2023. Use of Estimates Preparing condensed consolidated financial statements in accordance with GAAP requires management to make estimates and assumptions that affect our reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the dates of our condensed consolidated financial statements, as well as our reported amounts of revenues and expenses during the reporting periods. Management has made significant estimates in a variety of areas including, but not limited to, the allowance for loan losses. Actual results could be different from these estimates. Conservatorship On September 7, 2008, the Secretary of the Treasury and the Director of FHFA announced several actions taken by Treasury and FHFA regarding Fannie Mae, which included: (1) placing us in conservatorship, with FHFA acting as our conservator, and (2) the execution of a senior preferred stock purchase agreement by our conservator, on our behalf, and Treasury, pursuant to which we issued to Treasury both senior preferred stock and a warrant to purchase common stock. Under the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended, including by the Housing and Economic Recovery Act of 2008 (together, the “GSE Act”), the conservator immediately succeeded to (1) all rights, titles, powers and privileges of Fannie Mae, and of any stockholder, officer or director of Fannie Mae with respect to Fannie Mae and its assets, and (2) title to the books, records and assets of any other legal custodian of Fannie Mae. The conservator subsequently issued an order that provided for our Board of Directors to exercise specified functions and authorities. The conservator also provided instructions regarding matters for which conservator decision or notification is required. The conservator retains the authority to amend or withdraw its order and instructions at any time. The conservatorship has no specified termination date and there continues to be significant uncertainty regarding our future, including how long we will continue to exist in our current form, the extent of our role in the market, the level of government support of our business, how long we will be in conservatorship, what form we will have and what ownership interest, if any, our current common and preferred stockholders will hold in us after the conservatorship is terminated and whether we will continue to exist following conservatorship. Under the GSE Act, the Director of FHFA must place us into receivership if they make a written determination that our assets are less than our obligations or if we have not been paying our debts, in either case, for a period of 60 days. In addition, the Director of FHFA may place us into receivership at the Director’s discretion at any time for other reasons set forth in the GSE Act, including if we are critically undercapitalized or if we are undercapitalized and have no reasonable prospect of becoming adequately capitalized. Should we be placed into receivership, different assumptions would be required to determine the carrying value of our assets, which would likely lead to substantially different financial results. Treasury has made a commitment under the senior preferred stock purchase agreement to provide funding to us under certain circumstances if we have a net worth deficit. We are not aware of any plans of FHFA (1) to fundamentally change our business model, or (2) to reduce the aggregate amount available to or held by the company under our equity structure, which includes the senior preferred stock purchase agreement. Senior Preferred Stock Purchase Agreement and Senior Preferred Stock We discuss more fully our senior preferred stock and the terms of the senior preferred stock purchase agreement, as amended, including Treasury’s funding commitment, in “Note 11, Equity” in our 2022 Form 10-K. Treasury has made a commitment under the senior preferred stock purchase agreement to provide funding to us under certain circumstances if we have a net worth deficit. Pursuant to the senior preferred stock purchase agreement, we have received a total of $119.8 billion from Treasury as of March 31, 2023, and the amount of remaining funding available to us under the agreement is $113.9 billion. We have not received any funding from Treasury under this commitment since the first quarter of 2018. We had positive net worth of $64.0 billion as of March 31, 2023. The dividend provisions of the senior preferred stock permit us to retain increases in our net worth until our net worth exceeds the amount of adjusted total capital necessary for us to meet the capital requirements and buffers under the enterprise regulatory capital framework established by FHFA. The aggregate liquidation preference of the senior preferred stock increased to $181.8 billion as of March 31, 2023 due to the $1.4 billion increase in our net worth in the fourth quarter of 2022. The aggregate liquidation preference of the senior preferred stock will further increase to $185.5 billion as of June 30, 2023, due to the $3.8 billion increase in our net worth in the first quarter of 2023. Related Parties Treasury holds an investment in our senior preferred stock with a liquidation preference as discussed in “Senior Preferred Stock Purchase Agreement and Senior Preferred Stock” above, as well as a warrant to purchase shares of Fannie Mae common stock equal to 79.9% of the total number of shares of Fannie Mae common stock. Therefore, we and Treasury are deemed related parties. FHFA’s control of both Fannie Mae and Freddie Mac has caused Fannie Mae, FHFA and Freddie Mac to be deemed related parties. Additionally, Fannie Mae and Freddie Mac jointly own Common Securitization Solutions, LLC (“CSS”), a limited liability company created to operate a common securitization platform; as a result, CSS is deemed a related party. As a part of our joint ownership, Fannie Mae, Freddie Mac and CSS are parties to a limited liability company agreement that sets forth the overall framework for the joint venture, including Fannie Mae’s and Freddie Mac’s rights and responsibilities as members of CSS. Fannie Mae, Freddie Mac and CSS are also parties to a customer services agreement that sets forth the terms under which CSS provides mortgage securitization services to us and Freddie Mac, including the operation of the common securitization platform, as well as an administrative services agreement. CSS operates as a separate company from us and Freddie Mac, with all funding and limited administrative support services and other resources provided to it by us and Freddie Mac. In the ordinary course of business, Fannie Mae may purchase and sell securities issued by Treasury and Freddie Mac in the capital markets. Some of the structured securities we issue are backed in whole or in part by Freddie Mac securities. Fannie Mae and Freddie Mac each have agreed to indemnify the other party for losses caused by: its failure to meet its payment or other specified obligations under the trust agreements pursuant to which the underlying resecuritized securities were issued; its failure to meet its obligations under the customer services agreement; its violations of laws; or with respect to material misstatements or omissions in offering documents, ongoing disclosures and materials relating to the underlying resecuritized securities. Additionally, we make regular income tax payments to and receive tax refunds from the Internal Revenue Service (“IRS”), a bureau of Treasury. Transactions with Treasury Treasury Making Home Affordable Program Our administrative expenses were reduced by $3 million and $4 million for the three months ended March 31, 2023 and 2022, respectively, due to reimbursements from Treasury and Freddie Mac for expenses incurred as program administrator for Treasury’s Home Affordable Modification Program (“HAMP”) and other initiatives under Treasury’s Making Home Affordable Program. Obligation to Pay TCCA Fees to Treasury In December 2011, Congress enacted the Temporary Payroll Cut Continuation Act of 2011 (“TCCA”) which, among other provisions, required that we increase our single-family guaranty fees by at least 10 basis points and remit this increase to Treasury. To meet our obligations under the TCCA and at the direction of FHFA, we increased the guaranty fee on all single-family residential mortgages delivered to us by 10 basis points in April 2012. The resulting fee revenue and expense are recorded in “Interest income: Mortgage loans” and “TCCA fees,” respectively, in our condensed consolidated statements of operations and comprehensive income. In November 2021, the Infrastructure Investment and Jobs Act was enacted, which extended to October 1, 2032 our obligation under the TCCA to collect 10 basis points in guaranty fees on single-family residential mortgages delivered to us and pay the associated revenue to Treasury. In January 2022, FHFA advised us to continue to pay these TCCA fees to Treasury with respect to all single-family loans acquired by us before October 1, 2032, and to continue to remit these amounts to Treasury on and after October 1, 2032 with respect to loans we acquired before this date until those loans are paid off or otherwise liquidated. We recognized TCCA fees of $855 million and $824 million for the three months ended March 31, 2023 and 2022, respectively, of which $855 million had not been remitted to Treasury as of March 31, 2023. Treasury Interest in Affordable Housing Allocations The GSE Act requires us to set aside certain funding obligations, a portion of which is attributable to Treasury’s Capital Magnet Fund. These funding obligations are measured as the product of 4.2 basis points and the unpaid principal balance of our total new business purchases for the respective period, with 35% of this amount payable to Treasury’s Capital Magnet Fund. We recognized a total of $11 million and $38 million in “Other expenses, net” for the three months ended March 31, 2023 and 2022, respectively, in connection with Treasury’s Capital Magnet Fund, of which $11 million has not been remitted as of March 31, 2023. Transactions with FHFA The GSE Act authorizes FHFA to establish an annual assessment for regulated entities, including Fannie Mae, which is payable on a semi-annual basis (April and October), for FHFA’s costs and expenses, as well as to maintain FHFA’s working capital. We recognized FHFA assessment fees, which are recorded in “Administrative expenses” in our condensed consolidated statements of operations and comprehensive income, of $39 million and $32 million for the three months ended March 31, 2023 and 2022, respectively. Transactions with CSS and Freddie Mac We contributed funds to CSS, the company we jointly own with Freddie Mac, of $26 million and $22 million for the three months ended March 31, 2023 and 2022, respectively. Net operating losses associated with our investment in CSS are recorded in “Other expenses, net” in our condensed consolidated statements of operations and comprehensive income. Acquired Property, Net We recognize foreclosed property ( i.e. , “Acquired property, net”) upon the earlier of the loan foreclosure event or when we take physical possession of the property ( i.e. , through a deed-in-lieu of foreclosure transaction). We present foreclosed property in “Other assets” in our condensed consolidated balance sheets. We held $1.6 billion of acquired property, net as of March 31, 2023 and December 31, 2022. Earnings per Share Earnings per share (“EPS”) is presented for basic and diluted EPS. We compute basic EPS by dividing net income attributable to common stockholders by the weighted-average number of shares of common stock outstanding during the period. However, as a result of our conservatorship status and the terms of the senior preferred stock, no amounts would be available to distribute as dividends to common or preferred stockholders (other than to Treasury as the holder of the senior preferred stock). Net income attributable to common stockholders excludes amounts attributable to the senior preferred stock, which increases the liquidation preference as described above in “Senior Preferred Stock Purchase Agreement and Senior Preferred Stock.” Weighted average common shares include 4.7 billion shares for the periods ended March 31, 2023 and 2022 that would have been issued upon the full exercise of the warrant issued to Treasury from the date the warrant was issued through March 31, 2023 and 2022. The calculation of diluted EPS includes all the components of basic earnings per share, plus the dilutive effect of common stock equivalents such as convertible securities and stock options. Weighted average shares outstanding is increased to include the number of additional common shares that would have been outstanding if the dilutive potential common shares had been issued. For the three months ended March 31, 2022, our diluted EPS weighted-average shares outstanding includes 26 million shares issuable upon the conversion of convertible preferred stock. For the three months ended March 31, 2023, convertible preferred stock is not included in the calculation because it would have an anti-dilutive effect. New Accounting Guidance Fair Value Hedging - Portfolio Layer Method On March 28, 2022, the FASB issued ASU 2022-01, Fair Value Hedging - Portfolio Layer Method, which clarifies the guidance on fair value hedge accounting of interest rate risk portfolios of financial assets. The ASU expands the scope of the previous last-of-layer method to allow entities to apply this method, renamed the portfolio layer method, to non-prepayable financial assets and to designate multiple hedge relationships within a single closed portfolio of financial assets. Additionally, the ASU clarifies that basis adjustments related to existing portfolio layer hedge relationships should not be allocated to the individual financial assets of the closed portfolio and should not be considered when measuring credit losses on those assets. Further, the ASU clarifies that any reversal of fair value hedge basis adjustments associated with an actual breach should be recognized in interest income immediately. The ASU is effective for public business entities for fiscal years beginning after December 15, 2022, and interim periods within those years. The adoption of this guidance on January 1, 2023 did not have a material impact on our financial statements. |
Consolidations and Transfers of
Consolidations and Transfers of Financial Assets | 3 Months Ended |
Mar. 31, 2023 | |
Consolidations and Transfers of Financial Assets [Abstract] | |
Consolidations and Transfers of Financial Assets | Consolidations and Transfers of Financial Assets We have interests in various entities that are considered to be variable interest entities (“VIEs”). The primary types of entities are securitization and resecuritization trusts, limited partnerships and special purpose vehicles (“SPVs”). These interests include investments in securities issued by VIEs, such as Fannie Mae MBS created pursuant to our securitization transactions and our guaranty to the entity. We consolidate the substantial majority of our single-class securitization trusts because our role as guarantor and master servicer provides us with the power to direct matters (primarily the servicing of mortgage loans) that impact the credit risk to which we are exposed. In contrast, we do not consolidate single-class securitization trusts when other organizations have the power to direct these activities unless we have the unilateral ability to dissolve the trust. We also do not consolidate our resecuritization trusts unless we have the unilateral ability to dissolve the trust. The underlying assets of our resecuritization trusts include both Fannie Mae securities collateralized solely by mortgage loans held in consolidated trusts as well as uniform mortgage-backed securities (“UMBS ® ”) collateralized with securities issued by Fannie Mae or Freddie Mac. The mortgage loans that serve as collateral for Freddie Mac-issued securities are not held in trusts that are consolidated by Fannie Mae. Unconsolidated VIEs We do not consolidate VIEs when we are not deemed to be the primary beneficiary. Our unconsolidated VIEs include securitization and resecuritization trusts, limited partnerships, and certain SPVs designed to transfer credit risk. The following table displays the carrying amount and classification of our assets and liabilities that relate to our involvement with unconsolidated securitization and resecuritization trusts. As of March 31, 2023 December 31, 2022 (Dollars in millions) Assets and liabilities recorded in our condensed consolidated balance sheets related to unconsolidated mortgage-backed trusts: Investments in securities, at fair value $ 2,992 $ 3,353 Other assets 40 40 Other liabilities (45) (45) Net carrying amount $ 2,987 $ 3,348 Our maximum exposure to loss generally represents the greater of our carrying value in the entity or the unpaid principal balance of the assets covered by our guaranty. Our involvement in unconsolidated resecuritization trusts may give rise to additional exposure to loss depending on the type of resecuritization trust. Fannie Mae non-commingled resecuritization trusts are backed entirely by Fannie Mae MBS. These non-commingled single-class and multi-class resecuritization trusts are not consolidated and do not give rise to any additional exposure to loss as we already consolidate the underlying collateral. Fannie Mae commingled resecuritization trusts are backed in whole or in part by Freddie Mac securities. The guaranty that we provide to these commingled resecuritization trusts may increase our exposure to loss to the extent that we are providing a guaranty for the timely payment and interest on the underlying Freddie Mac securities that we have not previously guaranteed. Our maximum exposure to loss for these unconsolidated trusts is measured by the amount of Freddie Mac securities that are held in these resecuritization trusts. Our maximum exposure to loss related to unconsolidated securitization and resecuritization trusts, which includes but is not limited to our exposure to these Freddie Mac securities, was approximately $235 billion and $240 billion as of March 31, 2023 and December 31, 2022, respectively. The total assets of our unconsolidated securitization and resecuritization trusts were approximately $241 billion and $240 billion as of March 31, 2023 and December 31, 2022, respectively. The maximum exposure to loss for our unconsolidated limited partnerships and similar legal entities, which consist of low-income housing tax credit (“LIHTC”) investments, community investments and other entities, was $433 million and the related net carrying value was $429 million as of March 31, 2023. As of December 31, 2022, the maximum exposure to loss was $427 million and the related net carrying value was $424 million. The total assets of these limited partnership investments were $4.3 billion as of March 31, 2023 and December 31, 2022. The maximum exposure to loss related to our involvement with unconsolidated SPVs that transfer credit risk represents the unpaid principal balance and accrued interest payable of obligations issued by the Connecticut Avenue Securities ® (“CAS”) and Multifamily Connecticut Avenue Securities TM (“MCAS TM ”) SPVs. The maximum exposure to loss related to these unconsolidated SPVs was $18.1 billion and $16.9 billion as of March 31, 2023 and December 31, 2022, respectively. The total assets related to these unconsolidated SPVs were $18.2 billion and $17.0 billion as of March 31, 2023 and December 31, 2022, respectively. Transfers of Financial Assets We issue Fannie Mae MBS through portfolio securitization transactions by transferring pools of mortgage loans or mortgage-related securities to one or more trusts or special purpose entities. We are considered to be the transferor when we transfer assets from our own retained mortgage portfolio in a portfolio securitization transaction. For the three months ended March 31, 2023 and 2022, the unpaid principal balance of portfolio securitizations was $28.3 billion and $102.8 billion, respectively. The substantial majority of these portfolio securitization transactions generally do not qualify for sale treatment. Portfolio securitization trusts that do qualify for sale treatment primarily consist of loans that are guaranteed or insured, in whole or in part, by the U.S. government. We retain interests from the transfer and sale of mortgage-related securities to unconsolidated single-class and multi-class portfolio securitization trusts. As of March 31, 2023, the unpaid principal balance of retained interests was $875 million and its related fair value was $1.4 billion. As of December 31, 2022, the unpaid principal balance of retained interests was $910 million and its related fair value was $1.4 billion. For the three months ended March 31, 2023 and 2022, the principal, interest and other fees received on retained interests was $78 million and $114 million, respectively. |
Mortgage Loans
Mortgage Loans | 3 Months Ended |
Mar. 31, 2023 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans | Mortgage Loans We own single-family mortgage loans, which are secured by four or fewer residential dwelling units, and multifamily mortgage loans, which are secured by five or more residential dwelling units. We classify these loans as either held for investment (“HFI”) or held for sale (“HFS”). For purposes of our notes to the condensed consolidated financial statements, we report the amortized cost of HFI loans for which we have not elected the fair value option at the unpaid principal balance, net of unamortized premiums and discounts, hedge-related basis adjustments, other cost basis adjustments, and accrued interest receivable in these “Note 3, Mortgage Loans” disclosures. For purposes of our condensed consolidated balance sheets, we present accrued interest receivable, net separately from the amortized cost of our loans held for investment. We report the carrying value of HFS loans at the lower of cost or fair value and record valuation changes in “Investment losses, net” in our condensed consolidated statements of operations and comprehensive income. For purposes of the single-family mortgage loan disclosures below, we display 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,” “Adjustable-rate,” and “Other.” The “Other” class primarily consists of reverse mortgage loans, interest-only loans, negative-amortizing loans and second liens. The following table displays the carrying value of our mortgage loans and allowance for loan losses. As of March 31, 2023 December 31, 2022 (Dollars in millions) Single-family $ 3,636,329 $ 3,644,158 Multifamily 436,307 431,440 Total unpaid principal balance of mortgage loans 4,072,636 4,075,598 Cost basis and fair value adjustments, net 49,034 50,185 Allowance for loan losses for HFI loans (11,335) (11,347) Total mortgage loans (1) $ 4,110,335 $ 4,114,436 (1) Excludes $9.5 billion of accrued interest receivable, net of allowance as of March 31, 2023 and December 31, 2022. The following table displays information about our purchase of HFI loans, redesignation of loans from HFI to HFS and the sales of mortgage loans during the period. For the Three Months Ended March 31, 2023 2022 (Dollars in millions) Purchase of HFI loans: Single-family unpaid principal balance $ 67,467 $ 239,468 Multifamily unpaid principal balance 10,235 16,009 Single-family loans redesignated from HFI to HFS: Amortized cost $ — $ 1,181 Lower of cost or fair value adjustment at time of redesignation (1) — (13) Allowance reversed at time of redesignation — 63 Single-family loans sold: Unpaid principal balance $ 1,842 $ — Realized gains, net 17 — (1) Consists of the write-off against the allowance at the time of redesignation. The amortized cost of single-family mortgage loans for which formal foreclosure proceedings were in process was $4.6 billion as of March 31, 2023 and December 31, 2022. As a result of our various loss mitigation and foreclosure prevention efforts, we expect that a portion of the loans in the process of formal foreclosure proceedings will not ultimately foreclose. Aging Analysis The following tables display an aging analysis of the total amortized cost of our HFI mortgage loans by portfolio segment and class of financing receivable, excluding loans for which we have elected the fair value option. As of March 31, 2023 30 - 59 Days Delinquent 60 - 89 Days Delinquent Seriously Delinquent (1) Total Delinquent Current Total Loans 90 Days or More Delinquent and Accruing Interest Nonaccrual Loans with No Allowance (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 21,710 $ 5,910 $ 18,512 $ 46,132 $ 3,110,579 $ 3,156,711 $ 6,929 $ 3,000 15-year or less, amortizing fixed-rate 1,308 266 722 2,296 473,257 475,553 366 96 Adjustable-rate 143 30 113 286 27,138 27,424 50 22 Other (2) 538 154 801 1,493 28,915 30,408 310 287 Total single-family 23,699 6,360 20,148 50,207 3,639,889 3,690,096 7,655 3,405 Multifamily (3) 214 N/A 1,321 1,535 435,503 437,038 198 647 Total $ 23,913 $ 6,360 $ 21,469 $ 51,742 $ 4,075,392 $ 4,127,134 $ 7,853 $ 4,052 As of December 31, 2022 30 - 59 Days Delinquent 60 - 89 Days Delinquent Seriously Delinquent (1) Total Delinquent Current Total Loans 90 Days or More Delinquent and Accruing Interest Nonaccrual Loans with No Allowance (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 27,891 $ 6,774 $ 19,990 $ 54,655 $ 3,092,199 $ 3,146,854 $ 13,257 $ 3,254 15-year or less, amortizing fixed-rate 1,902 314 800 3,016 488,452 491,468 666 82 Adjustable-rate 176 38 127 341 26,767 27,108 90 24 Other (2) 660 179 898 1,737 30,362 32,099 424 324 Total single-family 30,629 7,305 21,815 59,749 3,637,780 3,697,529 14,437 3,684 Multifamily (3) 173 N/A 955 1,128 431,094 432,222 11 13 Total $ 30,802 $ 7,305 $ 22,770 $ 60,877 $ 4,068,874 $ 4,129,751 $ 14,448 $ 3,697 (1) Single-family seriously delinquent loans are loans that are 90 days or more past due or in the foreclosure process. Multifamily seriously delinquent loans are loans that are 60 days or more past due. (2) Reverse mortgage loans included in “Other” are not aged due to their nature and are included in the current column. (3) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column. Credit Quality Indicators and Write-offs by Year of Origination The estimated mark-to-market loan-to-value (“LTV”) ratio is a primary factor we consider when estimating our allowance for loan losses for single-family loans. As a borrower’s LTV ratio increases, their equity in the home decreases, which may negatively affect the borrower’s ability to refinance or to sell the property for an amount at or above the outstanding balance of the loan. The following tables display information about the credit quality of our single-family HFI loans, based on total amortized cost. Effective January 1, 2023, we adopted amendments to ASU 2022-02 that require us to disclose current-period gross write-offs by year of origination for financing receivables. As a result, for the periods beginning January 1, 2023, the tables below includes current year write-offs of our single-family HFI mortgage loans by class of financing receivable and year of origination, excluding loans for which we have elected the fair value option. Credit Quality Indicators as of March 31, 2023 and Write-offs For the Three Months Ended March 31, 2023, by Year of Origination (1) 2023 2022 2021 2020 2019 Prior Total (Dollars in millions) Estimated mark-to-market LTV ratio: (2) 20- and 30-year or more, amortizing fixed-rate: Less than or equal to 80% $ 22,412 $ 279,467 $ 877,834 $ 806,520 $ 145,978 $ 703,955 $ 2,836,166 Greater than 80% and less than or equal to 90% 6,625 94,815 87,316 6,836 1,293 1,682 198,567 Greater than 90% and less than or equal to 100% 11,194 88,919 13,722 1,280 177 315 115,607 Greater than 100% — 5,506 511 83 21 246 6,367 Total 20- and 30-year or more, amortizing fixed-rate 40,231 468,707 979,383 814,719 147,469 706,198 3,156,707 Current-period 20- and 30-year or more, $ — $ 3 $ 10 $ 5 $ 2 $ 15 $ 35 15-year or less, amortizing fixed-rate: Less than or equal to 80% 1,494 37,382 180,495 130,210 19,451 103,939 472,971 Greater than 80% and less than or equal to 90% 86 1,475 372 27 2 2 1,964 Greater than 90% and less than or equal to 100% 79 509 20 1 — 1 610 Greater than 100% — 6 — — — 2 8 Total 15-year or less, amortizing fixed-rate 1,659 39,372 180,887 130,238 19,453 103,944 475,553 Current-period 15-year or less, amortizing — — — — — 1 1 Adjustable-rate: Less than or equal to 80% 349 4,093 6,239 1,812 796 11,533 24,822 Greater than 80% and less than or equal to 90% 128 1,237 251 11 3 4 1,634 Greater than 90% and less than or equal to 100% 97 816 28 1 — 1 943 Greater than 100% — 24 1 — — — 25 Total adjustable-rate 574 6,170 6,519 1,824 799 11,538 27,424 Current-period adjustable-rate write-offs — — — — — — — Other: Less than or equal to 80% — — — — 28 21,604 21,632 Greater than 80% and less than or equal to 90% — — — — — 127 127 Greater than 90% and less than or equal to 100% — — — — — 60 60 Greater than 100% — — — — — 61 61 Total other — — — — 28 21,852 21,880 Current-period other write-offs — — — — — 4 4 Total for all classes by LTV ratio: (2) Less than or equal to 80% $ 24,255 $ 320,942 $ 1,064,568 $ 938,542 $ 166,253 $ 841,031 $ 3,355,591 Greater than 80% and less than or equal to 90% 6,839 97,527 87,939 6,874 1,298 1,815 202,292 Greater than 90% and less than or equal to 100% 11,370 90,244 13,770 1,282 177 377 117,220 Greater than 100% — 5,536 512 83 21 309 6,461 Total $ 42,464 $ 514,249 $ 1,166,789 $ 946,781 $ 167,749 $ 843,532 $ 3,681,564 Total current-period write-offs $ — $ 3 $ 10 $ 5 $ 2 $ 20 $ 40 Credit Quality Indicators as of December 31, 2022, by Year of Origination (1) 2022 2021 2020 2019 2018 Prior Total (Dollars in millions) Estimated mark-to-market LTV ratio: (2) 20- and 30-year or more, amortizing fixed-rate: Less than or equal to 80% $ 281,257 $ 896,977 $ 820,452 $ 149,067 $ 70,306 $ 651,297 $ 2,869,356 Greater than 80% and less than or equal to 90% 84,864 86,335 5,904 1,152 618 1,062 179,935 Greater than 90% and less than or equal to 100% 84,664 9,284 1,333 217 77 224 95,799 Greater than 100% 1,230 208 56 18 12 240 1,764 Total 20- and 30-year or more, amortizing fixed-rate 452,015 992,804 827,745 150,454 71,013 652,823 3,146,854 15-year or less, amortizing fixed-rate: Less than or equal to 80% 37,830 185,511 134,336 20,239 7,324 103,841 489,081 Greater than 80% and less than or equal to 90% 1,363 410 33 3 — 2 1,811 Greater than 90% and less than or equal to 100% 552 16 1 — — 1 570 Greater than 100% 3 1 — — — 2 6 Total 15-year or less, amortizing fixed-rate 39,748 185,938 134,370 20,242 7,324 103,846 491,468 Adjustable-rate: Less than or equal to 80% 3,971 6,383 1,865 821 906 11,226 25,172 Greater than 80% and less than or equal to 90% 1,013 236 12 3 1 3 1,268 Greater than 90% and less than or equal to 100% 645 21 — — 1 — 667 Greater than 100% 1 — — — — — 1 Total adjustable-rate 5,630 6,640 1,877 824 908 11,229 27,108 Other: Less than or equal to 80% — — — 29 222 22,103 22,354 Greater than 80% and less than or equal to 90% — — — — 1 129 130 Greater than 90% and less than or equal to 100% — — — — 1 56 57 Greater than 100% — — — — — 57 57 Total other — — — 29 224 22,345 22,598 Total $ 497,393 $ 1,185,382 $ 963,992 $ 171,549 $ 79,469 $ 790,243 $ 3,688,028 Total for all classes by LTV ratio: (2) Less than or equal to 80% $ 323,058 $ 1,088,871 $ 956,653 $ 170,156 $ 78,758 $ 788,467 $ 3,405,963 Greater than 80% and less than or equal to 90% 87,240 86,981 5,949 1,158 620 1,196 183,144 Greater than 90% and less than or equal to 100% 85,861 9,321 1,334 217 79 281 97,093 Greater than 100% 1,234 209 56 18 12 299 1,828 Total $ 497,393 $ 1,185,382 $ 963,992 $ 171,549 $ 79,469 $ 790,243 $ 3,688,028 (1) Excludes amortized cost of $8.5 billion and $9.5 billion as of March 31, 2023 and December 31, 2022, respectively, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies, which represents primarily reverse mortgages for which we do not calculate an estimated mark-to-market LTV ratio. For the three months ended March 31, 2023, it also excludes write-offs of $2 million, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies. Year of loan origination may not be the same as the period in which we subsequently acquired the loan. (2) The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan divided by the estimated current value of the property as of the end of each reported period, which we calculate using an internal valuation model that estimates periodic changes in home value. The following tables display the total amortized cost of our multifamily HFI loans by year of origination and credit-risk rating, excluding loans for which we have elected the fair value option. Property rental income and property valuations are key inputs to our internally assigned credit risk ratings. For the periods beginning January 1, 2023, the tables below includes current year write-offs of our multifamily HFI mortgage loans by year of origination, excluding loans for which we have elected the fair value option. Credit Quality Indicators as of March 31, 2023 and Write-offs for the Three Months Ended March 31, 2023, by Year of Origination (1) 2023 2022 2021 2020 2019 Prior Total (Dollars in millions) Internally assigned credit risk rating: Pass (2) $ 8,098 $ 59,264 $ 62,849 $ 74,920 $ 59,164 $ 148,085 $ 412,380 Special mention (3) — 8 99 82 24 293 506 Substandard (4) — 2,238 2,278 1,692 2,905 15,035 24,148 Doubtful (5) — — — — — 4 4 Total $ 8,098 $ 61,510 $ 65,226 $ 76,694 $ 62,093 $ 163,417 $ 437,038 Current-period write-offs $ — $ 3 $ — $ 1 $ — $ 233 $ 237 Credit Quality Indicators as of December 31, 2022, by Year of Origination (1) 2022 2021 2020 2019 2018 Prior Total (Dollars in millions) Internally assigned credit risk rating: Pass (2) $ 57,976 $ 64,165 $ 75,468 $ 59,507 $ 48,720 $ 103,772 $ 409,608 Special mention (3) 11 41 128 55 54 306 595 Substandard (4) 1,415 1,580 1,388 2,816 2,488 12,324 22,011 Doubtful (5) — — — — 8 — 8 Total $ 59,402 $ 65,786 $ 76,984 $ 62,378 $ 51,270 $ 116,402 $ 432,222 (1) In the current period, we updated our presentation of credit quality indicators. Previously, “Pass” and “Special mention” were disclosed as “Non-classified,” and “Substandard” and “Doubtful” were disclosed as “Classified.” Prior periods have been updated to conform to the current period presentation. Year of loan origination may not be the same as the period in which we subsequently acquired the loan. (2) A loan categorized as “Pass” is current or is adequately protected by the current financial strength and debt service capability of the borrower. (3) “Special mention” refers to loans that are otherwise performing but have potential weaknesses that, if left uncorrected, may result in deterioration in the borrower’s ability to repay in full. (4) Loans classified as “Substandard” have a well-defined weakness that jeopardizes the timely full repayment. We had seniors housing loans with an amortized cost of $8.9 billion as of March 31, 2023 and $9.2 billion as of December 31, 2022 classified as substandard. (5) “Doubtful” refers to a loan with a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions and values. Loss Mitigation Options for Borrowers Experiencing Financial Difficulty As part of our loss mitigation activities, we may agree to modify the contractual terms of a loan to a borrower experiencing financial difficulty. In addition to loan modifications, we also provide other loss mitigation options to assist borrowers who experience financial difficulties. Below we provide disclosures relating to loan restructurings where borrowers were experiencing financial difficulty, including restructurings that resulted in an insignificant payment delay. The disclosures exclude loans classified as held for sale and those for which we have elected the fair value option. See “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K for additional information on our accounting policies for single-family and multifamily loans that have been restructured. 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 typically offer principal forgiveness. We offer the following types of restructurings to single-family borrowers that only result in a payment delay: • A forbearance plan is a short-term loss mitigation option that grants a period of time (typically in 6-month increments and generally not in excess of a total of 12 months) during which the borrower’s monthly payment obligations are reduced or suspended. A forbearance plan does not impact our reporting of when a loan is considered past due, which remains based on the contractual terms of the loan. Borrowers may exit a forbearance plan by repaying all past due amounts to fully reinstate the loan, paying off the loan in full, or entering into another loss mitigation option, such as a repayment plan, a payment deferral, or a loan modification. • A repayment plan is a short-term loss mitigation option that allows borrowers a specific period of time to return the loan to current status by paying the regular monthly payment plus additional agreed-upon delinquent amounts (generally for a period up to 12 months, and the monthly repayment plan amount must not exceed 150% of the contractual mortgage payment). A repayment plan does not impact our reporting of when a loan is considered past due, which remains based on the contractual terms of the loan. At the end of the repayment plan, the borrower resumes making the regular monthly payment. • A payment deferral is a loss mitigation option that defers the repayment of the delinquent principal and interest payments and other eligible default-related amounts that were advanced on behalf of the borrower by converting them into a non-interest-bearing balance due at the earlier of the payoff date, the maturity date, or sale or transfer of the property. The remaining mortgage terms, interest rate, payment schedule, and maturity date remain unchanged, and no trial period is required. The number of months of payments deferred varies based on the types of hardships the borrower is facing. We also offer single-family borrowers loan modifications, which contractually change the terms of the loan. Our loan modification programs generally require completion of a trial period of three to four months during which the borrower makes reduced monthly payments prior to receiving the modification. During the trial period, the mortgage loan is not contractually modified and continues to be reported as past due according to its contractual terms. The reduced payments that are made by the borrower during the trial period will result in a payment delay with respect to the original contractual terms of the loan. After successful completion of the trial period, and the borrower’s execution of a modification agreement, the mortgage loan is contractually modified. Our loan modifications include the following concessions: • capitalization of past due amounts, a form of payment delay, which capitalizes interest and other eligible default related amounts that were advanced on behalf of the borrower that are past due into the unpaid principal balance; and • a term extension, which typically extends the contractual maturity date of the loan to 40 years from the effective date of the modification. In addition to these concessions, loan modifications may also include an interest rate reduction, which reduces the contractual interest rate of the loan, or a principal forbearance, which is another form of payment delay that includes forbearing repayment of a portion of the principal balance as a non-interest bearing amount that is due at the earlier of the payoff date, the maturity date, or sale or transfer of the property. Multifamily Loan Restructurings For multifamily borrowers, loan restructurings include short-term forbearance plans and loan modification programs, which primarily result in term extensions of up to one year with no change to the loan’s interest rate. In certain cases, we may make more significant modifications of terms for borrowers experiencing financial difficulty, such as reducing the interest rate, converting to interest-only payments, extending the maturity for longer than one year, providing principal forbearance, or some combination of these terms. Restructurings for Borrowers Experiencing Financial Difficulty The following tables display the amortized cost of HFI mortgage loans that were restructured during the period indicated, presented by portfolio segment and class of financing receivable. For the Three Months Ended March 31, 2023 Payment Delay (Only) Forbearance Plan Payment Deferral Trial Modification and Repayment Plans Payment Delay and Term Extension (1) Payment Delay, Term Extension and Interest Rate Reduction (1) Total Percentage of Total by Financing Class (2) (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 9,333 $ 3,661 $ 2,629 $ 1,778 $ 267 $ 17,668 1 % 15-year or less, amortizing fixed-rate 419 159 104 — — 682 * Adjustable-rate 46 17 8 — 1 72 * Other 121 51 67 35 29 303 1 Total single-family 9,919 3,888 2,808 1,813 297 18,725 1 Multifamily 572 — — — 570 1,142 * Total (3) $ 10,491 $ 3,888 $ 2,808 $ 1,813 $ 867 $ 19,867 * For the Three Months Ended March 31, 2022 Payment Delay (Only) Forbearance Plan (4) Payment Deferral Trial Modification and Repayment Plans (4) Payment Delay and Term Extension (1) Payment Delay, Term Extension and Interest Rate Reduction (1) Total Percentage of Total by Financing Class (2) (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 15,662 $ 6,784 $ 5,858 $ 1,103 $ 4,547 $ 33,954 1 % 15-year or less, amortizing fixed-rate 803 394 239 — 1 1,437 * Adjustable-rate 97 57 54 — 5 213 1 Other 382 197 241 93 226 1,139 3 Total single-family 16,944 7,432 6,392 1,196 4,779 36,743 1 Multifamily 267 — — 29 — 296 * Total (3) $ 17,211 $ 7,432 $ 6,392 $ 1,225 $ 4,779 $ 37,039 1 * Represents less than 0.5% of total by financing class. (1) Represents loans that received a contractual modification. (2) Based on the amortized cost basis as of period end, divided by the period-end amortized cost basis of the corresponding class of financing receivable. (3) Excludes loans that were the subject of loss mitigation activity during the period that paid off, were repurchased or sold prior to period end. Also excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale. Loans may move from one category to another, as a result of the restructuring(s) they received during the period, in which case they appear in the table above only in the category that best reflects the cumulative effects of the loan restructurings received during the periods. (4) We have updated the presentation of repayment plans for the three months ended March 31, 2022. Previously, repayment plans were included within the table as “Forbearance and Repayment Plans,” however we have reclassified these as component of “Trial Modification and Repayment Plans” to conform with the current year presentation. Our estimate of future credit losses uses a lifetime methodology, derived from modeled loan performance based on extensive historical experience of loans with similar risk characteristics, adjusted to reflect current conditions and reasonable and supportable forecasts. The historical loss experience used in our single-family and multifamily credit loss models includes the impact of the loss mitigation options provided to borrowers experiencing financial difficulty, and also includes the impact of projected loss severities as a result of a loan default. The following tables summarize the financial impacts of loan modifications and payment deferrals for single-family HFI loans presented by class of financing receivable. The qualitative impact of forbearance plans, repayment plans, and trial modifications are discussed earlier in this footnote; these loss mitigation options are not included in the table below. For the Three Months Ended March 31, 2023 Weighted-Average Interest Rate Reduction Weighted-Average Term Extension Average Amount Capitalized as a Result of a Payment Delay (1) Loan by class of financing receivable (2) : 20- and 30-year or more, amortizing fixed-rate 1.08 % 175 $ 16,984 15-year or less, amortizing fixed-rate 0.74 54 14,558 Adjustable-rate 2.00 — 15,629 Other 1.54 185 20,269 For the Three Months Ended March 31, 2022 Weighted-Average Interest Rate Reduction Weighted-Average Term Extension Average Amount Capitalized as a Result of a Payment Delay (1) Loan by class of financing receivable (2) : 20- and 30-year or more, amortizing fixed-rate 1.59 % 178 $ 23,146 15-year or less, amortizing fixed-rate 0.88 52 20,664 Adjustable-rate 0.22 — 24,838 Other 1.62 186 24,759 (1) Represents the average amount of delinquency-related amounts that were capitalized as part of the loan balance. Amounts are in whole dollars. (2) Excludes the financial effects of modifications for loans that were paid off or otherwise liquidated as of period-end. The following table displays the amortized cost of HFI loans that defaulted during the period and had received a completed modification or payment deferral in the twelve months prior to the payment default. The substantial majority of loans that received a completed modification or a payment deferral during the first quarter of 2023 did not default during the period. For purposes of this disclosure, we define loans that had a payment default as single-family loans with completed modifications that are two or more months delinquent during the period; or multifamily loans with completed modifications that are one or more months delinquent during the period. For loans that receive a forbearance plan, repayment plan or trial modification, these loss mitigation options generally remain in default until the loan is no longer delinquent as a result of the payment of all past-due amounts or as a result of a loan modification or payment deferral. Therefore, forbearance plans, repayment plans and trial modifications are not included in default tables below. For the Three Months Ended March 31, 2023 Payment Delay as a Result of a Payment Deferral (Only) Payment Delay and Term Extension Payment Delay, Term Extension and Interest Rate Reduction Total (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 766 $ 200 $ 284 $ 1,250 15-year or less, amortizing fixed-rate 27 — — 27 Adjustable-rate 3 — 1 4 Other 14 4 14 32 Total single-family 810 204 299 1,313 Multifamily — — — — Total loans that subsequently defaulted (1) $ 810 $ 204 $ 299 $ 1,313 (1) Represents amortized cost as of period end. Excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale. The substantial majority of loans that received a completed modification or payment deferral on or after January 1, 2022, the date we adopted ASU 2022-02, through March 31, 2022 did not default during the first quarter of 2022. See “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K for additional information about our adoption of ASU 2022-02. The following table displays an aging analysis of HFI mortgage loans that were restructured during the twelve months prior to March 31, 2023, presented by portfolio segment and class of financing receivable. As of March 31, 2023 (1) 30-59 Days Delinquent 60-89 Days Delinquent (2) Seriously Delinquent Total Delinquent Current Total (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 3,061 $ 2,180 $ 12,376 $ 17,617 $ 22,071 $ 39,688 15-year or less, amortizing fixed-rate 104 83 479 666 744 1,410 Adjustable-rate 15 9 58 82 78 160 Other 79 45 293 417 532 949 Total single-family loans modified 3,259 2,317 13,206 18,782 23,425 42,207 Multifamily — N/A 638 638 594 1,232 Total loans restructured (3) $ 3,259 $ 2,317 $ 13,844 $ 19,420 $ 24,019 $ 43,439 (1) The substantial majority of loans that received a completed modification or a payment deferral during the first quarter of 2023 were not delinquent. (2) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column. (3) Represents the amortized cost basis of the loan as of period end. The following table displays an aging analysis of HFI mortgage loans that entered into a forbearance plan, repayment plan or trial modification on or after January 1, 2022, the date we adopted ASU 2022-02, through March 31, 2022 presented by portfolio segment and class of financing receivable. The substantial majority of loans that received a completed modification or a payment deferral during the first quarter of 2022 were not delinquent. As of March 31, 2022 30-59 Days Delinquent 60-89 Days Delinquent (1) Seriously Delinquent Total Delinquent Current Total (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 1,765 $ 2,048 $ 16,040 $ 19,853 $ 1,667 $ 21,520 15-year or less, amortizing fixed-rate 98 108 715 921 121 1,042 Adjustable-rate 8 9 119 136 15 151 Other 35 42 507 584 39 623 Total single-family loans modified 1,906 2,207 17,381 21,494 1,842 23,336 Multifamily — N/A 243 243 24 267 Total loans restructured (2) $ 1,906 $ 2,207 $ 17,624 $ 21,737 $ 1,866 $ 23,603 (1) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column. (2) Represents the amortized cost basis of the loan as of period end. Nonaccrual Loans We recognize interest income on an accrual basis except when we believe the collection of principal and interest is not reasonably assured. This generally occurs when a single-family loan is three or more months past due and a multifamily loan is two or more months past due according to its contractual terms. A loan is reported as past due if a full payment of principal and interest is not received within one month of its due date. When a loan is placed on nonaccrual status based on delinquency status, interest previously accrued but not collected on the loan is reversed through interest income. We have generally elected not to measure an allowance for credit losses on accrued interest receivable balances as we have a nonaccrual policy to ensure the timely reversal of unpaid accrued interest. See “Note 4, Allowance for Loan Losses” for additional information about our current-period provision for loan losses. For single-family loans, we recognize any contractual interest payments received on the loan while on nonaccrual status as interest income on a cash basis. For multifamily loans we apply any payment received on a cost recovery basis to reduce the amortized cost of the mortgage loan. Thus, we do not recognize any interest income on a multifamily loan placed on nonaccrual status until the amortized cost of the loan has been reduced to zero. Cost basis adjustments on held-for-investment loans are amortized into interest income over the contractual life of the loan using the effective interest method. No amortization is recognized during periods in which the loan is on non-accrual status. A nonaccrual loan is returned to accrual status when the collectability of principal and interest in full is reasonably assured. We generally determine that collectability is reasonably assured when the loan returns to current payment status. If a loan is restructured for a borrower experiencing financial difficulty, we require a performance period of up to 6 months before we return the loan to accrual status. Upon a loan’s return to accrual status, we resume the recognition of interest income and the amortization of cost basis adjustments, if any, into interest income. If interest is capitalized pursuant to a restructuring, any capitalized interest that had not been previously recognized as interest income or that had been reversed through interest income when the loan was placed on nonaccrual status is recorded as a discount to the loan and amortized over the remaining contractual life of the loan. For single-family loans negatively impacted by the COVID-19 pandemic that were three or more months past due as of December 31, 2022, we continue to recognize interest income for up to six months of delinquency provided that the loan was either current as of March 1, 2020, or originated after March 1, 2020. We continue to accrue interest income beyond six months of delinquency provided that the collection of principal and interest continues to be reasonably assured. For multifamily loans that are in a COVID-19 forbearance arrangement on December 31, 2022, we continue to recognize interest income for up to six months of delinquency and then place them on nonaccrual status when the borrower is six months past due. For loans that are subject to the COVID-19-related nonaccrual policy, we establish a valuation allowance for expected credit losses on the accrued interest receivable balance applying the process that we have established for both single-family and multifamily loans. The credit expense related to this valuation allowance is classified as a component of the provision for credit losses. Acc |
Allowance for Loan Losses
Allowance for Loan Losses | 3 Months Ended |
Mar. 31, 2023 | |
Receivables [Abstract] | |
Allowance for Loan Losses | Allowance for Loan Losses We maintain an allowance for loan losses for HFI loans held by Fannie Mae and by consolidated Fannie Mae MBS trusts, excluding loans for which we have elected the fair value option. When calculating our allowance for loan losses, we consider the unpaid principal balance, net of unamortized premiums and discounts, and other cost basis adjustments of HFI loans at the balance sheet date. We record write-offs as a reduction to our allowance for loan losses at the point of foreclosure, completion of a short sale, upon the redesignation of nonperforming and reperforming loans from HFI to HFS or when a loan is determined to be uncollectible. The following table displays changes in our allowance for single-family loans, multifamily loans and total allowance for loan losses. The benefit or provision for loan losses excludes provision for accrued interest receivable losses, guaranty loss reserves and credit losses on available-for-sale (“AFS”) debt securities. Cumulatively, these amounts are recognized as “Provision for credit losses” in our condensed consolidated statements of operations and comprehensive income. For the Three Months Ended March 31, 2023 2022 (Dollars in millions) Single-family allowance for loan losses: Beginning balance $ (9,443) $ (4,950) Benefit (provision) for loan losses 4 (282) Write-offs 42 27 Recoveries (76) (33) Other (6) (3) Ending balance $ (9,479) $ (5,241) Multifamily allowance for loan losses: Beginning balance $ (1,904) $ (679) Benefit (provision) for loan losses (180) 28 Write-offs 237 — Recoveries (9) (7) Ending balance $ (1,856) $ (658) Total allowance for loan losses: Beginning balance $ (11,347) $ (5,629) Benefit (provision) for loan losses (176) (254) Write-offs 279 27 Recoveries (85) (40) Other (6) (3) Ending balance $ (11,335) $ (5,899) Our benefit or provision for loan losses can vary substantially from period to period based on a number of factors, such as changes in actual and forecasted home prices or property valuations, fluctuations in actual and forecasted interest rates, borrower payment behavior, events such as natural disasters or pandemics, the type, volume and effectiveness of our loss mitigation activities, including forbearances and loan modifications, the volume of foreclosures completed, and the volume and pricing of loans redesignated from HFI to HFS. Our benefit or provision can also be impacted by updates to the models, assumptions, and data used in determining our allowance for loan losses. We recognized a modest single-family benefit for loan losses in the first quarter of 2023, primarily driven by a benefit from actual and forecasted home price growth, substantially offset by a provision on newly acquired loans, as described in more detail below: • Benefit from actual and forecasted home price growth . During the first quarter of 2023, we observed modest actual home price appreciation. In addition, our updated 2023 home price forecast changed from our prior estimate, resulting in a lower estimate of home price declines for the year. Higher home prices decrease the likelihood that loans will default and reduce the amount of losses on loans that do default, which impacts our estimate of losses and ultimately reduces our loss reserves and provision for loan losses. • Provision on newly acquired loans . The portion of our single-family acquisitions consisting of purchase loans increased in the first quarter of 2023 compared with the first quarter of 2022. As we shift to more purchase loans, which generally have higher origination loan to value (“LTV”) ratios than refinance loans, the credit profile of our acquisitions weakens. In addition, the average original LTV ratio of purchase loans acquired in the first quarter of 2023 was higher than for purchase loan acquisitions in the first quarter of 2022. These factors drove a higher estimated risk of default and loss severity in the allowance and therefore a higher loan loss provision for those loans at the time of acquisition. The primary factors that contributed to our single-family provision for loan losses in the first quarter of 2022 were a provision for higher actual and projected interest rates partially offset by a benefit from the release of economic concessions, as described in more detail below: • Provision from actual and projected interest rates . Interest rates were higher as of March 31, 2022 compared with December 31, 2021. As mortgage rates increased, we expected a decrease in future prepayments on single-family loans, including modified loans accounted for as TDRs. Lower expected prepayments extended the expected lives of these TDR loans, which increased the expected impairment relating to economic concessions provided on them, resulting in a provision for loan losses. • Benefit from the release of economic concessions on loans previously designated as TDRs that received loss mitigation arrangements during the quarter. Pursuant to our adoption of accounting guidance ASU 2022-02, we removed from our allowance the prior economic concession recorded on a loan previously designated as a TDR when the loan was modified or received or extended a loss mitigation arrangement such as a forbearance plan, repayment plan or other loan workout during the period. See “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K for additional information about our adoption of ASU 2022-02. The primary factors that contributed to our multifamily provision for loan losses for the first quarter of 2023 were: • Provision for actual and projected economic dat a, which was primarily driven by decreases in multifamily actual and projected property values. This resulted in higher estimated LTV ratios, which increased our estimate of expected loan losses. • Pr o vision relating to our multifamily seniors housing loans . In the first quarter of 2023, uncertainty related to our seniors housing loans remained elevated, including uncertainty related to adjustable-rate loans. The impact of these factors was partially offset by the following, which reduced our multifamily provision for loan loss: • Benefit from actual and projected interest rates. Actual and projected interest rates decreased as of March 31, 2023 compared with December 31, 2022, which reduced the probability of default resulting in a benefit for loan losses. Multifamily write-offs for the first quarter of 2023 were due to the write-off of a seniors housing portfolio. The seniors housing loans in our multifamily book have been disproportionately affected by the COVID-19 pandemic and ongoing economic trends, higher operating costs exacerbated by the increase in inflation, and higher short-term interest rates for adjustable-rate mortgages, resulting in increased costs for these borrowers. |
Investments in Securities
Investments in Securities | 3 Months Ended |
Mar. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments in Securities | Investments in Securities Trading Securities Trading securities are recorded at fair value with subsequent changes in fair value recorded as “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income. The following table displays our investments in trading securities. As of March 31, 2023 December 31, 2022 (Dollars in millions) Mortgage-related securities (includes $410 million and $427 million, respectively, related to consolidated trusts) $ 2,852 $ 3,211 Non-mortgage-related securities (includes $4.1 billion and $3.9 billion, respectively, pledged as collateral) (1) 47,558 46,918 Total trading securities $ 50,410 $ 50,129 (1) Primarily includes U.S. Treasury securities. The following table displays information about our net trading gains (losses). For the Three Months Ended March 31, 2023 2022 (Dollars in millions) Net trading gains (losses) $ 746 $ (1,770) Net trading gains (losses) recognized in the period related to securities still held at period end 799 (1,714) Available-for-Sale Securities We record AFS securities at fair value with unrealized gains and losses, recorded net of tax, as a component of “Other comprehensive loss” and we recognize realized gains and losses from the sale of AFS securities in “Investment losses, net” in our condensed consolidated statements of operations and comprehensive income. We define the amortized cost basis of our AFS securities as unpaid principal balance, net of unamortized premiums and discounts, and other cost basis adjustments. We record an allowance for credit losses for AFS securities that reflects the impairment for credit losses, which are limited to the amount that fair value is less than the amortized cost. Impairment due to non-credit losses are recorded as unrealized losses within “Other comprehensive loss.” The following tables display the amortized cost, allowance for credit losses, gross unrealized gains and losses in accumulated other comprehensive income (loss) (“AOCI”), and fair value by major security type for AFS securities. As of March 31, 2023 Total Amortized Cost Allowance for Credit Losses Gross Unrealized Gains in AOCI Gross Unrealized Losses in AOCI Total Fair Value (Dollars in millions) Agency securities (1) $ 435 $ — $ 3 $ (24) $ 414 Other mortgage-related securities 260 (3) 8 — 265 Total $ 695 $ (3) $ 11 $ (24) $ 679 As of December 31, 2022 Total Amortized Cost Allowance for Credit Losses Gross Unrealized Gains in AOCI Gross Unrealized Losses in AOCI Total Fair Value (Dollars in millions) Agency securities (1) $ 445 $ — $ 3 $ (22) $ 426 Other mortgage-related securities 269 (3) 5 (1) 270 Total $ 714 $ (3) $ 8 $ (23) $ 696 (1) Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae. Our Fannie Mae and other agency AFS securities consist of securities issued by us, Freddie Mac, or Ginnie Mae. The principal and interest on these securities are guaranteed by the issuing agency. We believe that the guaranty provided by the issuing agency, the support provided to the agencies by the U.S. government, the importance of the agencies to the liquidity and stability in the secondary mortgage market, and the long history of zero credit losses on agency mortgage-related securities are all indicators that there are currently no credit losses on these securities, even if the security is in an unrealized loss position. In addition, we generally hold these securities that are in an unrealized loss position to recovery. As a result, unless we intend to sell the security, we do not recognize an allowance for credit losses on agency mortgage-related securities. The following tables display additional information regarding gross unrealized losses and fair value by major security type for AFS securities in an unrealized loss position, excluding allowance for credit losses. As of March 31, 2023 December 31, 2022 Less Than 12 Consecutive Months 12 Consecutive Months or Longer Less Than 12 Consecutive Months 12 Consecutive Months or Longer Gross Unrealized Losses in AOCI Fair Value Gross Unrealized Losses in AOCI Fair Value Gross Unrealized Losses in AOCI Fair Value Gross Unrealized Losses in AOCI Fair Value (Dollars in millions) Agency securities $ (14) $ 144 $ (10) $ 155 $ (12) $ 161 $ (10) $ 159 Other mortgage-related securities — — — — (1) 8 — — Total $ (14) $ 144 $ (10) $ 155 $ (13) $ 169 $ (10) $ 159 There were no sales of AFS securities in the first quarter of 2023 or the first quarter of 2022. As a result, no gross realized gains (losses) or proceeds from sales were recognized in either period. The following tables display net unrealized gains and losses on AFS securities and other amounts recorded within our accumulated other comprehensive income, net of tax. As of March 31, 2023 December 31, 2022 (Dollars in millions) Net unrealized gains (losses) on AFS securities for which we have not recorded an allowance for credit losses $ (11) $ (13) Other 46 48 Accumulated other comprehensive income $ 35 $ 35 Maturity Information The following table displays the amortized cost and fair value of our AFS securities by major security type and remaining contractual maturity, assuming no principal prepayments. The contractual maturity of mortgage-backed securities is not a reliable indicator of their expected life because borrowers generally have the right to prepay their obligations at any time. As of March 31, 2023 Total Carrying Amount (1) Total One Year or Less After One Year Through Five Years After Five Years Through Ten Years After Ten Years Net Carrying Amount (1) Fair Value Net Carrying Amount (1) Fair Value Net Carrying Amount (1) Fair Value Net Carrying Amount (1) Fair Value (Dollars in millions) Agency securities $ 435 $ 414 $ — $ — $ 3 $ 3 $ 20 $ 19 $ 412 $ 392 Other mortgage-related securities 257 265 1 1 16 17 16 17 224 230 Total $ 692 $ 679 $ 1 $ 1 $ 19 $ 20 $ 36 $ 36 $ 636 $ 622 (1) Net carrying amount consists of amortized cost, net of allowance for credit losses on AFS debt securities but does not include any unrealized fair value gains or losses. We held no securities classified as held-to-maturity as of March 31, 2023 or December 31, 2022. |
Financial Guarantees
Financial Guarantees | 3 Months Ended |
Mar. 31, 2023 | |
Guarantees [Abstract] | |
Financial Guarantees | Financial Guarantees We recognize a guaranty obligation for our obligation to stand ready to perform on our guarantees to unconsolidated trusts and other guaranty arrangements. These off-balance sheet guarantees expose us to credit losses primarily relating to the unpaid principal balance of our unconsolidated Fannie Mae MBS and other financial guarantees. The maximum remaining contractual term of our guarantees is 30 years; however, the actual term of each guaranty may be significantly less than the contractual term based on the prepayment characteristics of the related mortgage loans. We measure our guaranty reserve for estimated credit losses for off-balance sheet exposures over the contractual period for which they are exposed to the credit risk, unless that obligation is unconditionally cancellable by the issuer. As the guarantor of structured securities backed in whole or in part by Freddie Mac-issued securities, we extend our guaranty to the underlying Freddie Mac securities in our resecuritization trusts. However, Freddie Mac continues to guarantee the payment of principal and interest on the underlying Freddie Mac securities that we have resecuritized. When we began issuing UMBS, we entered into an indemnification agreement under which Freddie Mac agreed to indemnify us for losses caused by its failure to meet its payment or other specified obligations under the trust agreements pursuant to which the underlying resecuritized securities were issued. As a result, and due to the funding commitment available to Freddie Mac through its senior preferred stock purchase agreement with Treasury, we have concluded that the associated credit risk is negligible. Accordingly, we exclude from the following table Freddie Mac securities backing unconsolidated Fannie Mae-issued structured securities of $229.3 billion and $234.0 billion as of March 31, 2023 and December 31, 2022, respectively. The following table displays our off-balance sheet maximum exposure, guaranty obligation recognized in our condensed consolidated balance sheets and the potential maximum recovery from third parties through available credit enhancements and recourse related to our financial guarantees. As of March 31, 2023 December 31, 2022 Maximum Exposure Guaranty Obligation Maximum Recovery (1) Maximum Exposure Guaranty Obligation Maximum Recovery (1) (Dollars in millions) Unconsolidated Fannie Mae MBS $ 3,067 $ 15 $ 2,989 $ 3,139 $ 15 $ 3,058 Other guaranty arrangements (2) 9,459 75 2,000 9,573 79 2,012 Total $ 12,526 $ 90 $ 4,989 $ 12,712 $ 94 $ 5,070 (1) Recoverability of such credit enhancements and recourse is subject to, among other factors, the ability of our mortgage insurers and the U.S. government, as a financial guarantor, to meet their obligations to us. For information on our mortgage insurers, see “Note 10, Concentrations of Credit Risk.” (2) Primarily consists of credit enhancements and long-term standby commitments. |
Short-Term and Long-Term Debt
Short-Term and Long-Term Debt | 3 Months Ended |
Mar. 31, 2023 | |
Debt Disclosure [Abstract] | |
Short-Term and Long-Term Debt | Short-Term and Long-Term Debt Short-Term Debt The following table displays our outstanding short-term debt (debt with an original contractual maturity of one year or less) and weighted-average interest rates of this debt. As of March 31, 2023 December 31, 2022 Outstanding Weighted- Average Interest Rate (1) Outstanding Weighted- Average Interest Rate (1) (Dollars in millions) Short-term debt of Fannie Mae $ 13,967 4.58 % $ 10,204 3.93 % (1) Includes the effects of discounts, premiums and other cost basis adjustments. Long-Term Debt Long-term debt represents debt with an original contractual maturity of greater than one year. The following table displays our outstanding long-term debt. As of March 31, 2023 December 31, 2022 Maturities Outstanding (1) Weighted- Average Interest Rate (2) Maturities Outstanding (1) Weighted- Average Interest Rate (2) (Dollars in millions) Senior fixed: Benchmark notes and bonds 2023 - 2030 $ 70,682 2.36 % 2023 - 2030 $ 72,261 2.35 % Medium-term notes (3) 2023 - 2031 42,344 1.03 2023 - 2031 39,476 0.78 Other (4) 2023 - 2038 6,817 4.03 2023 - 2038 6,778 4.00 Total senior fixed 119,843 2.00 118,515 1.94 Senior floating: Connecticut Avenue Securities (5) 2023 - 2031 5,104 9.75 2023 - 2031 5,207 8.80 Other (6) 2037 250 9.68 2037 242 10.00 Total senior floating 5,354 9.75 5,449 8.86 Total long-term debt of Fannie Mae (7) 125,197 2.32 123,964 2.23 Debt of consolidated trusts 2023 - 2062 4,091,602 2.56 2023 - 2062 4,087,720 2.47 Total long-term debt $ 4,216,799 2.55 % $ 4,211,684 2.47 % (1) Outstanding debt balance consists of the unpaid principal balance, premiums and discounts, fair value adjustments, hedge-related basis adjustments, and other cost basis adjustments. (2) Excludes the effects of fair value adjustments and hedge-related basis adjustments. (3) Includes long-term debt with an original contractual maturity of greater than 1 year and up to 10 years, excluding zero-coupon debt. (4) Includes other long-term debt with an original contractual maturity of greater than 10 years and foreign exchange bonds. (5) Consists of CAS debt issued prior to November 2018, a portion of which is reported at fair value. (6) Consists of structured debt instruments that are reported at fair value. (7) Includes unamortized discounts and premiums, fair value adjustments, hedge-related cost basis adjustments, and other cost basis adjustments in a net discount position of $4.6 billion and $5.1 billion as of March 31, 2023 and December 31, 2022, respectively. |
Derivative Instruments
Derivative Instruments | 3 Months Ended |
Mar. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Derivative Instruments Derivative instruments are an integral part of our strategy in managing interest-rate risk. Derivative instruments may be privately-negotiated, bilateral contracts or they may be listed and traded on an exchange. We refer to our derivative transactions made pursuant to bilateral contracts as our over-the-counter (“OTC”) derivative transactions and our derivative transactions accepted for clearing by a derivatives clearing organization as our cleared derivative transactions. We typically do not settle the notional amount of our risk management derivatives; rather, notional amounts provide the basis for calculating actual payments or settlement amounts. The derivative contracts we use for interest-rate risk management purposes consist primarily of interest-rate swaps and interest-rate options. See “Note 8, Derivative Instruments” in our 2022 Form 10-K for additional information on interest-rate risk management. We account for certain forms of credit risk transfer transactions as derivatives. In our credit risk transfer transactions, a portion of the credit risk associated with losses on a reference pool of mortgage loans is transferred to a third party. We enter into derivative transactions that are associated with some of our credit risk transfer transactions, whereby we manage investment risk to guarantee that certain unconsolidated VIEs have sufficient cash flows to pay their contractual obligations. We enter into forward purchase and sale commitments that lock in the future delivery of mortgage loans and mortgage-related securities at a fixed price or yield. Certain commitments to purchase mortgage loans and purchase or sell mortgage-related securities meet the criteria of a derivative. We typically settle the notional amount of our mortgage commitments that are accounted for as derivatives. We recognize all derivatives as either assets or liabilities in our condensed consolidated balance sheets at their fair value on a trade date basis. Fair value amounts, which are (1) netted to the extent a legal right of offset exists and is enforceable by law at the counterparty level and (2) inclusive of the right or obligation associated with the cash collateral posted or received, are recorded in “Other assets” or “Other liabilities” in our condensed consolidated balance sheets. See “Note 12, Fair Value” for additional information on derivatives recorded at fair value. We present cash flows from derivatives as operating activities in our condensed consolidated statements of cash flows. Fair Value Hedge Accounting Pursuant to our fair value hedge accounting program, we may designate certain interest-rate swaps as hedging instruments in hedges of the change in fair value attributable to the designated benchmark interest rate for certain closed pools of fixed-rate, single-family mortgage loans or our funding debt. For hedged items in qualifying fair value hedging relationships, changes in fair value attributable to the designated risk are recognized as a basis adjustment to the hedged item. We also report changes in the fair value of the derivative hedging instrument in the same condensed consolidated statements of operations and comprehensive income line item used to recognize the earnings effect of the hedged item’s basis adjustment. The objective of our fair value hedges is to reduce GAAP earnings volatility related to changes in benchmark interest rates. For additional discussion of our fair value hedge accounting policy, see “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K. Notional and Fair Value Position of our Derivatives The following table displays the notional amount and estimated fair value of our asset and liability derivative instruments, including derivative instruments designated as hedges. As of March 31, 2023 As of December 31, 2022 Notional Amount Estimated Fair Value Notional Amount Estimated Fair Value Asset Derivatives Liability Derivatives Asset Derivatives Liability Derivatives (Dollars in millions) Risk management derivatives designated as hedging instruments: Swaps: (1) Pay-fixed $ 3,996 $ — $ — $ 5,582 $ — $ — Receive-fixed 44,766 — — 33,276 — — Total risk management derivatives designated as hedging instruments 48,762 — — 38,858 — — Risk management derivatives not designated as hedging instruments: Swaps: (1) Pay-fixed 120,646 — — 97,808 — — Receive-fixed 113,353 20 (3,867) 99,799 1 (4,525) Basis 41,250 24 — 41,250 25 — Foreign currency 306 — (87) 300 — (98) Swaptions: (1) Pay-fixed 5,816 164 (11) 5,286 204 (18) Receive-fixed 2,666 6 (45) 2,136 7 (45) Total risk management derivatives not designated as hedging instruments 284,037 214 (4,010) 246,579 237 (4,686) Netting adjustment (2) — (164) 3,910 — (154) 4,662 Total risk management derivatives portfolio 332,799 50 (100) 285,437 83 (24) Mortgage commitment derivatives: Mortgage commitments to purchase whole loans 4,230 14 (2) 2,596 4 (8) Forward contracts to purchase mortgage-related securities 20,647 83 (12) 17,808 50 (57) Forward contracts to sell mortgage-related securities 37,973 3 (129) 35,302 35 (13) Total mortgage commitment derivatives 62,850 100 (143) 55,706 89 (78) Credit enhancement derivatives 24,755 3 (65) 23,784 3 (66) Derivatives at fair value $ 420,404 $ 153 $ (308) $ 364,927 $ 175 $ (168) (1) Centrally cleared derivatives have no ascribable fair value because the positions are settled daily. We record all gains and losses, including accrued interest, on derivatives while they are not in a qualifying designated hedging relationship in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income. The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives. For the Three Months Ended March 31, 2023 2022 (Dollars in millions) Risk management derivatives: Swaps: Pay-fixed $ (1,590) $ 2,125 Receive-fixed 1,572 (2,260) Basis 13 (68) Foreign currency 8 (24) Swaptions: Pay-fixed (33) 44 Receive-fixed (1) (3) Futures — — Net contractual interest expense on interest-rate swaps (178) (11) Total risk management derivatives fair value losses, net (209) (197) Mortgage commitment derivatives fair value gains (losses), net (114) 1,572 Credit enhancement derivatives fair value losses, net (15) (22) Total derivatives fair value gains (losses), net $ (338) $ 1,353 Effect of Fair Value Hedge Accounting The following table displays the effect of fair value hedge accounting on our condensed consolidated statements of operations and comprehensive income, including gains and losses recognized on fair value hedging relationships. For the Three Months Ended March 31, 2023 2022 Interest Income: Mortgage Loans Interest Expense: Long-Term Debt Interest Income: Mortgage Loans Interest Expense: Long-Term Debt (Dollars in millions) Total amounts presented in our condensed consolidated statements of operations and comprehensive income $ 32,137 $ (26,665) $ 27,142 $ (19,940) Gains (losses) from fair value hedging relationships: Mortgage loans HFI and related interest-rate contracts: Hedged items $ 177 $ — $ (238) $ — Discontinued hedge related basis adjustment amortization 11 — — — Derivatives designated as hedging instruments (214) — 227 — Interest accruals on hedging instruments 26 — (8) — Debt of Fannie Mae and related interest-rate contracts: Hedged items — (239) — 1,623 Discontinued hedge-related basis adjustment amortization — (196) — (65) Derivatives designated as hedging instruments — 432 — (1,524) Interest accruals on derivative hedging instruments — (229) — 47 Total effect of fair value hedges $ — $ (232) $ (19) $ 81 Hedged Items in Fair Value Hedging Relationships The following table displays the carrying amounts of the hedged items that have been in qualifying fair value hedges recorded in our condensed consolidated balance sheets, including the hedged item’s cumulative basis adjustments and the closed portfolio balances under the portfolio layer method. The hedged item carrying amounts and total basis adjustments include both open and discontinued hedges. The amortized cost and designated UPB consists only of open hedges as of March 31, 2023 and December 31, 2022. As of March 31, 2023 Carrying Amount Assets (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio of Mortgage Loans Under Portfolio Layer Method Total Basis Adjustments (1)(2) Remaining Adjustments - Discontinued Hedge Total Amortized Cost Designated UPB (Dollars in millions) Mortgage loans HFI $ 330,541 $ (440) $ (440) $ 132,035 $ 3,787 Debt of Fannie Mae (74,239) 4,278 4,278 N/A N/A As of December 31, 2022 Carrying Amount Assets (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio of Mortgage Loans Under Portfolio Layer Method Total Basis Adjustments (1)(2) Remaining Adjustments - Discontinued Hedge Total Amortized Cost Designated UPB (Dollars in millions) Mortgage loans HFI $ 293,788 $ (628) $ (628) $ 98,377 $ 5,187 Debt of Fannie Mae (73,790) 4,713 4,713 N/A N/A (1) No basis adjustment associated with open hedges, as all hedges are designated at the close of business with a one-day term. (2) Based on the unamortized balance of the hedge-related cost basis. Derivative Counterparty Credit Exposure Our derivative counterparty credit exposure relates principally to interest-rate derivative contracts. We are exposed to the risk that a counterparty in a derivative transaction will default on payments due to us, which may require us to seek a replacement derivative from a different counterparty. This replacement may be at a higher cost, or we may be unable to find a suitable replacement. We manage our derivative counterparty credit exposure relating to our risk management derivative transactions mainly through enforceable master netting arrangements, which allow us to net derivative assets and liabilities with the same counterparty or clearing organization and clearing member. For our OTC derivative transactions, we require counterparties to post collateral, which may include cash, U.S. Treasury securities, agency debt and agency mortgage-related securities. |
Segment Reporting
Segment Reporting | 3 Months Ended |
Mar. 31, 2023 | |
Segment Reporting [Abstract] | |
Segment Reporting | Segment Reporting We have two reportable business segments, which are based on the type of business activities each perform: Single-Family and Multifamily. Results of our two business segments are intended to reflect each segment as if it were a stand-alone business. The sum of the results for our two business segments equals our condensed consolidated results of operations. For additional information related to our business segments, including basis of organization and other segment activities, see “Note 10, Segment Reporting” in our 2022 Form 10-K. Segment Allocations and Results The majority of our revenues and expenses are directly associated with each respective business segment and are included in determining its operating results. Those revenues and expenses that are not directly attributable to a particular business segment are allocated based on the size of each segment’s guaranty book of business. The substantial majority of the gains and losses associated with our risk management derivatives, including the impact of hedge accounting, are allocated to our Single-Family business segment. The following table displays our segment results. For the Three Months Ended March 31, 2023 2022 Single-Family Multifamily Total Single-Family Multifamily Total (Dollars in millions) Net interest income (1) $ 5,672 $ 1,114 $ 6,786 $ 6,255 $ 1,144 $ 7,399 Fee and other income (2) 48 15 63 61 22 83 Net revenues 5,720 1,129 6,849 6,316 1,166 7,482 Investment gains (losses), net (3) (71) 4 (67) (66) (36) (102) Fair value gains (losses), net (4) 166 38 204 527 (47) 480 Administrative expenses (720) (148) (868) (683) (125) (808) Benefit (provision) for credit losses (5) 47 (179) (132) (270) 30 (240) TCCA fees (6) (855) — (855) (824) — (824) Credit enhancement expense (7) (287) (54) (341) (210) (68) (278) Change in expected credit enhancement recoveries (8) 95 25 120 69 (9) 60 Other expenses, net (116) (14) (130) (164) (33) (197) Income before federal income taxes 3,979 801 4,780 4,695 878 5,573 Provision for federal income taxes (847) (161) (1,008) (986) (179) (1,165) Net income $ 3,132 $ 640 $ 3,772 $ 3,709 $ 699 $ 4,408 (1) Net interest income primarily consists of guaranty fees received as compensation for assuming and managing the credit risk on loans underlying Fannie Mae MBS held by third parties for the respective business segment, and the difference between the interest income earned on the respective business segment’s mortgage assets in our retained mortgage portfolio and the interest expense associated with the debt funding those assets. Revenues from single-family guaranty fees include revenues generated by the 10 basis point increase in guaranty fees pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by us. Also includes yield maintenance revenue we recognized on the prepayment of multifamily loans. (2) Single-family fee and other income primarily consists of compensation for engaging in structured transactions and providing other lender services. Multifamily fee and other income consists of fees associated with Multifamily business activities, including credit enhancements for tax-exempt multifamily housing revenue bonds. (3) Single-family investment gains and losses primarily consist of gains and losses on the sale of mortgage assets. Multifamily investment gains and losses primarily consist of gains and losses on resecuritization activity. (4) Single-family fair value gains and losses primarily consist of fair value gains and losses on risk management and mortgage commitment derivatives, trading securities, fair value option debt, and other financial instruments associated with our single-family guaranty book of business. Multifamily fair value gains and losses primarily consist of fair value gains and losses on MBS commitment derivatives, trading securities and other financial instruments associated with our multifamily guaranty book of business. (5) Benefit (provision) for credit losses is based on loans underlying the segment’s guaranty book of business. (6) Consists of the portion of our single-family guaranty fees that is remitted to Treasury pursuant to the TCCA. (7) Single-family credit enhancement expense consists of costs associated with our freestanding credit enhancements, which include primarily costs associated with our Credit Insurance Risk Transfer TM (“CIRT TM ”), Connecticut Avenue Securities ® (“CAS”) and enterprise-paid mortgage insurance (“EPMI”) programs. Multifamily credit enhancement expense primarily consists of costs associated with our Multifamily CIRT TM (“MCIRT TM ”) and Multifamily Connecticut Avenue Securities TM (“MCAS TM ”) programs as well as amortization expense for certain lender risk-sharing programs. Excludes CAS transactions accounted for as debt instruments and credit risk transfer programs accounted for as derivative instruments. (8) Consists of change in benefits recognized from our freestanding credit enhancements, primarily from our CAS and CIRT programs as well as certain lender risk-sharing arrangements, including our multifamily Delegated Underwriting and Servicing (“DUS ® |
Concentrations of Credit Risk
Concentrations of Credit Risk | 3 Months Ended |
Mar. 31, 2023 | |
Risks and Uncertainties [Abstract] | |
Concentrations of Credit Risk | Concentrations of Credit Risk Risk Characteristics of our Guaranty Book of Business One of the measures by which we gauge our credit risk is the delinquency status of the mortgage loans in our guaranty book of business. For single-family and multifamily loans, we use this information, in conjunction with housing market and other economic data, to structure our pricing and our eligibility and underwriting criteria to reflect the current risk of loans with higher-risk characteristics, and in some cases we decide to significantly reduce our participation in riskier loan product categories. Management also uses this data together with other credit risk measures to identify key trends that guide the development of our loss mitigation strategies. We report the delinquency status of our single-family and multifamily guaranty book of business below. We report loans receiving payment forbearance as delinquent according to the contractual terms of the loans. Single-Family Credit Risk Characteristics For single-family loans, management monitors the serious delinquency rate, which is the percentage of single-family loans, based on the number of loans, that are 90 days or more past due or in the foreclosure process, and loans that have higher risk characteristics, such as high mark-to-market LTV ratios. The following tables display the delinquency status and serious delinquency rates for specified loan categories of our single-family conventional guaranty book of business. As of March 31, 2023 December 31, 2022 30 Days Delinquent 60 Days Delinquent Seriously Delinquent (1) 30 Days Delinquent 60 Days Delinquent Seriously Delinquent (1) Percentage of single-family conventional guaranty book of business based on UPB 0.65 % 0.17 % 0.55 % 0.84 % 0.20 % 0.60 % Percentage of single-family conventional loans based on loan count 0.74 0.19 0.59 0.96 0.23 0.65 As of March 31, 2023 December 31, 2022 Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB Serious Delinquency Rate (1) Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB Serious Delinquency Rate (1) Estimated mark-to-market LTV ratio: 80.01% to 90% 6 % 0.68 % 5 % 0.68 % 90.01% to 100% 3 0.53 3 0.40 Greater than 100% * 1.67 * 4.04 Geographical distribution: California 19 0.43 19 0.46 Florida 6 0.81 6 0.90 Illinois 3 0.79 3 0.86 New Jersey 3 0.76 3 0.85 New York 5 1.02 5 1.12 All other states 64 0.55 64 0.62 Vintages: 2008 and prior 2 2.62 2 2.78 2009-2023 98 0.48 98 0.53 * Represents less than 0.5% of single-family conventional guaranty book of business. (1) Based on loan count, consists of single-family conventional loans that were 90 days or more past due or in the foreclosure process as of March 31, 2023 or December 31, 2022. Multifamily Credit Risk Characteristics For multifamily loans, management monitors the serious delinquency rate, which is the percentage of multifamily loans, based on unpaid principal balance, that are 60 days or more past due, and loans with other higher risk characteristics to determine the overall credit quality of our multifamily book of business. Higher risk characteristics include, but are not limited to, current debt service coverage ratio (“DSCR”) below 1.0 and original LTV ratios greater than 80%. We stratify multifamily loans into different internal risk categories based on the credit risk inherent in each individual loan. The following tables display the delinquency status and serious delinquency rates for specified loan categories of our multifamily guaranty book of business. As of March 31, 2023 (1) December 31, 2022 (1) 30 Days Delinquent Seriously Delinquent (2) 30 Days Delinquent Seriously Delinquent (2) Percentage of multifamily guaranty book of business 0.06 % 0.35 % 0.04 % 0.24 % As of March 31, 2023 December 31, 2022 Percentage of Multifamily Guaranty Book of Business (1) Serious Delinquency Rate (2)(3) Percentage of Multifamily Guaranty Book of Business (1) Serious Delinquency Rate (2)(3) Original LTV ratio: Greater than 80% 1 % 0.22 % 1 % 0.85 % Less than or equal to 80% 99 0.35 99 0.24 Current DSCR below 1.0 (4) 3 7.89 3 3.88 (1) Calculated based on the aggregate unpaid principal balance of multifamily loans for each category divided by the aggregate unpaid principal balance of loans in our multifamily guaranty book of business. (2) Consists of multifamily loans that were 60 days or more past due as of the dates indicated. (3) Calculated based on the unpaid principal balance of multifamily loans that were seriously delinquent divided by the aggregate unpaid principal balance of multifamily loans for each category included in our multifamily guaranty book of business. (4) Our estimates of current DSCRs are based on the latest available income information covering a 12 month period, from quarterly and annual statements for these properties including the related debt service. Other Concentrations Mortgage Insurers. Mortgage insurance “risk in force” refers to our maximum potential loss recovery under the applicable mortgage insurance policies in force and is generally based on the loan-level insurance coverage percentage and, if applicable, any aggregate pool loss limit, as specified in the policy. The following table displays our total mortgage insurance risk in force by primary and pool insurance, as well as the total risk-in-force mortgage insurance coverage as a percentage of the single-family conventional guaranty book of business. As of March 31, 2023 December 31, 2022 Risk in Force Percentage of Single-Family Conventional Guaranty Book of Business Risk in Force Percentage of Single-Family Conventional Guaranty Book of Business (Dollars in millions) Mortgage insurance risk in force: Primary mortgage insurance $ 194,232 $ 193,549 Pool mortgage insurance 236 237 Total mortgage insurance risk in force $ 194,468 5% $ 193,786 5% The table below displays our mortgage insurer counterparties that provided approximately 10% or more of the risk-in-force mortgage insurance coverage on mortgage loans in our single-family conventional guaranty book of business. Percentage of Risk-in-Force Coverage by Mortgage Insurer As of March 31, 2023 December 31, 2022 Counterparty: (1) Mortgage Guaranty Insurance Corp. 19 % 19 % Arch Capital Group Ltd. 18 18 Radian Guaranty, Inc. 17 17 Enact Mortgage Insurance Corp. 17 17 Essent Guaranty, Inc. 16 16 National Mortgage Insurance Corp. 12 12 Others 1 1 Total 100 % 100 % (1) Insurance coverage amounts provided for each counterparty may include coverage provided by affiliates and subsidiaries of the counterparty. We have counterparty credit risk relating to the potential insolvency of, or non-performance by, monoline mortgage insurers that insure single-family loans we purchase or guarantee. There is risk that these counterparties may fail to fulfill their obligations to pay our claims under insurance policies. On at least a quarterly basis, we assess our mortgage insurer counterparties’ respective abilities to fulfill their obligations to us. Our assessment includes financial reviews and analyses of the insurers’ portfolios and capital adequacy. If we determine that it is probable that we will not collect all of our claims from one or more of our mortgage insurer counterparties, it could increase our loss reserves, which could adversely affect our results of operations, liquidity, financial condition and net worth. When we estimate the credit losses that are inherent in our mortgage loans and under the terms of our guaranty obligations, we also consider the recoveries that we expect to receive from primary mortgage insurance, as mortgage insurance recoveries reduce the severity of the loss associated with defaulted loans if the borrower defaults and title to the property is subsequently transferred. Mortgage insurance does not cover credit losses that result from a reduction in mortgage interest paid by the borrower in connection with a loan modification, forbearance of principal, or forbearance of scheduled loan payments. We evaluate the financial condition of our mortgage insurer counterparties and adjust the contractually due recovery amounts to ensure that expected credit losses as of the balance sheet date are included in our loss reserve estimate. As a result, if our assessment of one or more of our mortgage insurer counterparties’ ability to fulfill their respective obligations to us worsens, it could increase our loss reserves. As of March 31, 2023 and December 31, 2022, our estimated benefit from mortgage insurance, which is based on estimated credit losses as of period end, reduced our loss reserves by $2.2 billion. As of March 31, 2023 and December 31, 2022, we had outstanding receivables of $513 million and $515 million, respectively, recorded in “Other assets” in our condensed consolidated balance sheets related to amounts claimed on insured, defaulted loans excluding government-insured loans. As of March 31, 2023 and December 31, 2022, we assessed these outstanding receivables for collectability, and established a valuation allowance of $462 million. Mortgage Servicers and Sellers. Mortgage servicers collect mortgage and escrow payments from borrowers, pay taxes and insurance costs from escrow accounts, monitor and report delinquencies, and perform other required activities, including loss mitigation, on our behalf. Our mortgage servicers and sellers may also be obligated to repurchase loans or real estate owned (“REO”) properties, reimburse us for losses or provide other remedies under certain circumstances, such as if it is determined that the mortgage loan did not meet our underwriting or eligibility requirements, if certain loan representations and warranties are violated or if mortgage insurers rescind coverage. Our representation and warranty framework does not require repurchase for loans that have breaches of certain selling representations and warranties if they have met specified criteria for relief. Our business with mortgage servicers is concentrated. The table below displays the percentage of our single-family guaranty book of business serviced by our top five depository single-family mortgage servicers and top five non-depository single-family mortgage servicers (i.e., servicers that are not insured depository institutions) based on unpaid principal balance. There were no servicers that serviced 10% or more of our single-family guaranty book of business as of March 31, 2023 or December 31, 2022. Percentage of Single-Family As of March 31, 2023 December 31, 2022 Top five depository servicers 23 % 22 % Top five non-depository servicers 23 23 Total 46 % 45 % Compared with depository financial institutions, our non-depository servicers pose additional risks because they may not have the same financial strength or operational capacity, or be subject to the same level of regulatory oversight as depository financial institutions. The table below displays the percentage of our multifamily guaranty book of business serviced by our top five multifamily mortgage servicers, and identifies two servicers that serviced 10% or more of our multifamily guaranty book of business based on unpaid principal balance. Percentage of Multifamily As of March 31, 2023 December 31, 2022 Walker & Dunlop, Inc. 13 % 13 % Wells Fargo Bank, N.A. (together with its affiliates) 11 11 Remaining top five servicers 24 24 Total 48 % 48 % If a significant mortgage servicer or seller counterparty, or a number of mortgage servicers or sellers, fails to meet their obligations to us, it could adversely affect our results of operations and financial condition. We mitigate these risks in several ways, including: • establishing minimum standards and financial requirements for our servicers; • monitoring financial and portfolio performance as compared with peers and internal benchmarks; and • for our largest mortgage servicers, conducting periodic financial reviews to confirm compliance with servicing guidelines and servicing performance expectations. We may take one or more of the following actions to mitigate our credit exposure to mortgage servicers that present a higher risk: • require a guaranty of obligations by higher-rated entities; • transfer exposure to third parties; • require collateral; • establish more stringent financial requirements; • work with underperforming servicers to improve operational processes; and • suspend or terminate the selling and servicing relationship if deemed necessary. Derivatives Counterparties. For information on credit risk associated with our derivative transactions and repurchase agreements see “Note 8, Derivative Instruments” and “Note 11, Netting Arrangements.” |
Netting Arrangements
Netting Arrangements | 3 Months Ended |
Mar. 31, 2023 | |
Offsetting [Abstract] | |
Netting Arrangements | Netting Arrangements We use master netting arrangements, which allow us to offset certain financial instruments and collateral with the same counterparty, to minimize counterparty credit exposure. The tables below display information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase, which are subject to an enforceable master netting arrangement or similar agreement that are either offset or not offset in our condensed consolidated balance sheets. As of March 31, 2023 Gross Amount Offset (1) Net Amount Presented in our Condensed Consolidated Balance Sheets Amounts Not Offset in our Condensed Consolidated Balance Sheets Gross Amount Financial Instruments (2) Collateral (3) Net Amount (Dollars in millions) Assets: OTC risk management derivatives $ 214 $ (165) $ 49 $ — $ — $ 49 Cleared risk management derivatives — 1 1 — — 1 Mortgage commitment derivatives 100 — 100 (55) (1) 44 Total derivative assets 314 (164) 150 (4) (55) (1) 94 Securities purchased under agreements to resell (5) 81,550 — 81,550 — (81,550) — Total assets $ 81,864 $ (164) $ 81,700 $ (55) $ (81,551) $ 94 Liabilities: OTC risk management derivatives $ (4,010) $ 4,007 $ (3) $ — $ — $ (3) Cleared risk management derivatives — (97) (97) — 97 — Mortgage commitment derivatives (143) — (143) 55 — (88) Total liabilities $ (4,153) $ 3,910 $ (243) (4) $ 55 $ 97 $ (91) As of December 31, 2022 Gross Amount Offset (1) Net Amount Presented in our Condensed Consolidated Balance Sheets Amounts Not Offset in our Condensed Consolidated Balance Sheets Gross Amount Financial Instruments (2) Collateral (3) Net Amount (Dollars in millions) Assets: OTC risk management derivatives $ 237 $ (234) $ 3 $ — $ — $ 3 Cleared risk management derivatives — 80 80 — — 80 Mortgage commitment derivatives 89 — 89 (50) (12) 27 Total derivative assets 326 (154) 172 (4) (50) (12) 110 Securities purchased under agreements to resell (5) 69,415 — 69,415 — (69,415) — Total assets $ 69,741 $ (154) $ 69,587 $ (50) $ (69,427) $ 110 Liabilities: OTC risk management derivatives $ (4,686) $ 4,662 $ (24) $ — $ — $ (24) Cleared risk management derivatives — — — — — — Mortgage commitment derivatives (78) — (78) 50 7 (21) Total liabilities $ (4,764) $ 4,662 $ (102) (4) $ 50 $ 7 $ (45) (1) Represents the effect of the right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received and accrued interest. (2) Mortgage commitment derivative amounts reflect where we have recognized both an asset and a liability with the same counterparty under an enforceable master netting arrangement but we have not elected to offset the related amounts in our condensed consolidated balance sheets. (3) Represents collateral received that has not been recognized and not offset in our condensed consolidated balance sheets, as well as collateral posted which has been recognized but not offset in our condensed consolidated balance sheets. Does not include collateral held or posted in excess of our exposure. The fair value of non-cash collateral we pledged which the counterparty was permitted to sell or repledge was $2.2 billion and $2.1 billion as of March 31, 2023 and December 31, 2022, respectively. The fair value of non-cash collateral received was $81.6 billion and $69.5 billion, of which $41.5 billion and $28.7 billion could be sold or repledged as of March 31, 2023 and December 31, 2022, respectively. None of the underlying collateral was sold or repledged as of March 31, 2023 or December 31, 2022. (4) Excludes derivative assets of $3 million as of March 31, 2023 and December 31, 2022, and derivative liabilities of $65 million and $66 million recognized in our condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively, that were not subject to enforceable master netting arrangements. (5) Includes $45.5 billion and $45.2 billion in securities purchased under agreements to resell classified as “Cash and cash equivalents” in our condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively. Includes $9.1 billion and $9.7 billion in securities purchased under agreements to resell classified as “Restricted cash and cash equivalents” in our condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively. Derivative instruments are recorded at fair value and securities purchased under agreements to resell are recorded at amortized cost in our condensed consolidated balance sheets. For a discussion of how we determine our rights to offset the assets and liabilities presented above with the same counterparty, including collateral posted or received, see “Note 14, Netting Arrangements” in our 2022 Form 10-K. |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2023 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Fair Value We use fair value measurements for the initial recording of certain assets and liabilities and periodic remeasurement of certain assets and liabilities on a recurring or nonrecurring basis. Fair Value Measurement Fair value measurement guidance defines fair value, establishes a framework for measuring fair value, and sets forth disclosures around fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. The guidance establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The hierarchy gives the highest priority, Level 1, to measurements based on unadjusted quoted prices in active markets for identical assets or liabilities. The next highest priority, Level 2, is given to measurements of assets and liabilities based on limited observable inputs or observable inputs for similar assets and liabilities. The lowest priority, Level 3, is given to measurements based on unobservable inputs. We use valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. See “Note 15, Fair Value” in our 2022 Form 10-K for information on the valuation control processes and the valuation techniques we use for fair value measurement and disclosure as well as our basis for classifying these measurements as Level 1, Level 2 or Level 3 of the valuation hierarchy in more specific situations. If the inputs used to measure assets or liabilities at fair value change, it may also result in a change in classification between levels 1, 2, and 3. We made no material changes to the valuation control processes or the valuation techniques for the three months ended March 31, 2023. Recurring Changes in Fair Value The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair value option. Fair Value Measurements as of March 31, 2023 Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Netting Adjustment (1) Estimated Fair Value (Dollars in millions) Recurring fair value measurements: Assets: Trading securities: Mortgage-related $ — $ 2,820 $ 32 $ — $ 2,852 Non-mortgage-related (2) 47,537 21 — — 47,558 Total trading securities 47,537 2,841 32 — 50,410 Available-for-sale securities: Agency (3) — 52 362 — 414 Other mortgage-related — 5 260 — 265 Total available-for-sale securities — 57 622 — 679 Mortgage loans — 3,073 526 — 3,599 Derivative assets — 290 27 (164) 153 Total assets at fair value $ 47,537 $ 6,261 $ 1,207 $ (164) $ 54,841 Liabilities: Long-term debt: Of Fannie Mae $ — $ 882 $ 250 $ — $ 1,132 Of consolidated trusts — 15,839 133 — 15,972 Total long-term debt — 16,721 383 — 17,104 Derivative liabilities — 4,153 65 (3,910) 308 Total liabilities at fair value $ — $ 20,874 $ 448 $ (3,910) $ 17,412 Fair Value Measurements as of December 31, 2022 Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Netting Adjustment (1) Estimated Fair Value (Dollars in millions) Recurring fair value measurements: Assets: Trading securities: Mortgage-related $ — $ 3,164 $ 47 $ — $ 3,211 Non-mortgage-related (2) 46,898 20 — — 46,918 Total trading securities 46,898 3,184 47 — 50,129 Available-for-sale securities: Agency (3) — 55 371 — 426 Other mortgage-related — 7 263 — 270 Total available-for-sale securities — 62 634 — 696 Mortgage loans — 3,102 543 — 3,645 Derivative assets — 300 29 (154) 175 Total assets at fair value $ 46,898 $ 6,648 $ 1,253 $ (154) $ 54,645 Liabilities: Long-term debt: Of Fannie Mae $ — $ 919 $ 242 $ — $ 1,161 Of consolidated trusts — 16,124 136 — 16,260 Total long-term debt — 17,043 378 — 17,421 Derivative liabilities — 4,764 66 (4,662) 168 Total liabilities at fair value $ — $ 21,807 $ 444 $ (4,662) $ 17,589 (1) Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received. (2) Primarily includes U.S. Treasury securities. (3) Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae. Fair Value Measurements Using Significant Unobservable Inputs (Level 3) For the Three Months Ended March 31, 2023 Total Gains (Losses) (Realized/Unrealized) Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2023 (4)(5) Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2023 (1) Balance, December 31, 2022 Included in Net Income Included in Total OCI (Loss) (1) Purchases (2) Sales (2) Issues (3) Settlements (3) Transfers out of Level 3 Transfers into Balance, March 31, 2023 (Dollars in millions) Trading securities: Mortgage-related $ 47 $ (6) (5)(6) $ — $ — $ — $ — $ — $ (9) $ — $ 32 $ (4) $ — Available-for-sale securities: Agency $ 371 $ — $ (1) $ — $ — $ — $ (8) $ — $ — $ 362 $ — $ (1) Other mortgage-related 263 2 4 — — — (10) — 1 260 — 3 Total available-for-sale securities $ 634 $ 2 (6)(7) $ 3 $ — $ — $ — $ (18) $ — $ 1 $ 622 $ — $ 2 Mortgage loans $ 543 $ 7 (5)(6) $ — $ — $ — $ — $ (25) $ (9) $ 10 $ 526 $ 6 $ — Net derivatives (37) (6) (5) — — — — 5 — — (38) (1) — Long-term debt: Of Fannie Mae $ (242) $ (8) (5) $ — $ — $ — $ — $ — $ — $ — $ (250) $ (8) $ — Of consolidated trusts (136) (2) (5)(6) — — — — 5 — — (133) (2) — Total long-term debt $ (378) $ (10) $ — $ — $ — $ — $ 5 $ — $ — $ (383) $ (10) $ — Fair Value Measurements Using Significant Unobservable Inputs (Level 3) For the Three Months Ended March 31, 2022 Total Gains (Losses) (Realized/Unrealized) Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2022 (4)(5) Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2022 (1) Balance, December 31, 2021 Included in Net Income Included in Total OCI (Loss) (1) Purchases (2) Sales (2) Issues (3) Settlements (3) Transfers out of Level 3 Transfers into Balance, March 31, 2022 (Dollars in millions) Trading securities: Mortgage-related $ 57 $ (6) (5)(6) $ — $ — $ — $ — $ — $ (9) $ 5 $ 47 $ (4) $ — Available-for-sale securities: Agency $ 431 $ 1 $ (4) $ — $ — $ — $ (10) $ — $ — $ 418 $ — $ (3) Other mortgage-related 322 (8) (1) — — — (3) (2) 1 309 — (1) Total available-for-sale securities $ 753 $ (7) (6)(7) $ (5) $ — $ — $ — $ (13) $ (2) $ 1 $ 727 $ — $ (4) Mortgage loans $ 755 $ (25) (5)(6) $ — $ — $ — $ — $ (41) $ (44) $ 23 $ 668 $ (21) $ — Net derivatives 131 (82) (5) — — — — 8 — — 57 (74) — Long-term debt: Of Fannie Mae $ (373) $ 66 (5) $ — $ — $ — $ — $ — $ — $ — $ (307) $ 66 $ — Of consolidated trusts (95) 2 (5)(6) — — — (86) 18 1 (1) (161) 2 — Total long-term debt $ (468) $ 68 $ — $ — $ — $ (86) $ 18 $ 1 $ (1) $ (468) $ 68 $ — (1) Gains (losses) included in “Other comprehensive loss” in our condensed consolidated statements of operations and comprehensive income. (2) Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts. (3) Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts. (4) Amount represents temporary changes in fair value. Amortization, accretion and the impairment of credit losses are not considered unrealized and are not included in this amount. (5) Gains (losses) are included in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income. (6) Gains (losses) included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income includes amortization of cost basis adjustments. (7) Gains (losses) are included in “Investment losses, net” in our condensed consolidated statements of operations and comprehensive income. The following tables display valuation techniques and the range and the weighted average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis, excluding instruments for which we have elected the fair value option. Changes in these unobservable inputs can result in significantly higher or lower fair value measurements of these assets and liabilities as of the reporting date. Fair Value Measurements as of March 31, 2023 Fair Value Significant Valuation Techniques Significant Unobservable Inputs (1) Range (1) Weighted - Average (1)(2) (Dollars in millions) Recurring fair value measurements: Trading securities: Mortgage-related (3) $ 32 Various Available-for-sale securities: Agency (3) 362 Consensus Other mortgage-related 138 Discounted Cash Flow Spreads (bps) 530.0 - 560.0 545.5 97 Single Vendor 25 Various Total other mortgage-related 260 Total available-for-sale securities $ 622 Net derivatives $ 25 Dealer Mark (63) Discounted Cash Flow Total net derivatives $ (38) Fair Value Measurements as of December 31, 2022 Fair Value Significant Valuation Techniques Significant Unobservable Inputs (1) Range (1) Weighted - Average (1)(2) (Dollars in millions) Recurring fair value measurements: Trading securities: Mortgage-related (3) $ 47 Various Available-for-sale securities: Agency (3) 371 Consensus Other mortgage-related 142 Discounted Cash Flow Spreads (bps) 531.0 - 582.0 557.7 96 Single Vendor 25 Various Total other mortgage-related 263 Total available-for-sale securities $ 634 Net derivatives $ 25 Dealer Mark (62) Discounted Cash Flow Total net derivatives $ (37) (1) Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the security level using discounted cash flows. (2) Unobservable inputs were weighted by the relative fair value of the instruments. (3) Includes Fannie Mae and Freddie Mac securities. In our condensed consolidated balance sheets, certain assets and liabilities are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, when we evaluate loans for impairment). We held no Level 1 assets or liabilities that were measured at fair value on a nonrecurring basis as of March 31, 2023 or December 31, 2022. We held $11 million and $30 million in Level 2 assets as of March 31, 2023 and December 31, 2022, respectively, composed of mortgage loans held for sale that were impaired. We held no Level 2 or Level 3 liabilities that were measured at fair value on a nonrecurring basis as of March 31, 2023 or December 31, 2022. The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis. Fair Value Measurements as of Valuation Techniques March 31, 2023 December 31, 2022 (Dollars in millions) Nonrecurring fair value measurements: Mortgage loans: (1) Mortgage loans held for sale, at lower of cost or fair value Consensus $ 205 $ 1,571 Single Vendor 121 92 Total mortgage loans held for sale, at lower of cost or fair value 326 1,663 Single-family mortgage loans held for investment, at amortized cost Internal Model 926 1,636 Multifamily mortgage loans held for investment, at amortized cost Appraisal 12 3 Broker Price Opinion 697 614 Internal Model 146 27 Total multifamily mortgage loans held for investment, at amortized cost 855 644 Acquired property, net: Single-family Accepted Offer 23 17 Appraisal 43 65 Internal Model 211 215 Walk Forward 98 91 Various 20 12 Total single-family 395 400 Multifamily Various 36 119 Total nonrecurring assets at fair value $ 2,538 $ 4,462 (1) When we measure impairment, including recoveries, based on the fair value of the loan or the underlying collateral and impairment is recorded on any component of the mortgage loan, including accrued interest receivable and amounts due from the borrower for advances of taxes and insurance, we present the entire fair value measurement amount with the corresponding mortgage loan. Fair Value of Financial Instruments The following table displays the carrying value and estimated fair value of our financial instruments. The fair value of financial instruments we disclose includes commitments to purchase multifamily and single-family mortgage loans that we do not record in our condensed consolidated balance sheets. The fair values of these commitments are included as “Mortgage loans held for investment, net of allowance for loan losses.” The disclosure excludes all non-financial instruments; therefore, the fair value of our financial assets and liabilities does not represent the underlying fair value of our total consolidated assets and liabilities. As of March 31, 2023 Carrying Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs Netting Adjustment Estimated Fair Value (Dollars in millions) Financial assets: Cash and cash equivalents, including restricted cash and cash equivalents $ 90,837 $ 36,237 $ 54,600 $ — $ — $ 90,837 Securities purchased under agreements to resell 26,950 — 26,950 — — 26,950 Trading securities 50,410 47,537 2,841 32 — 50,410 Available-for-sale securities 679 — 57 622 — 679 Mortgage loans held for sale 512 — 23 503 — 526 Mortgage loans held for investment, net of allowance for loan losses 4,109,823 — 3,489,281 170,658 — 3,659,939 Advances to lenders 2,748 — 2,748 — — 2,748 Derivative assets at fair value 153 — 290 27 (164) 153 Guaranty assets and buy-ups 83 — — 172 — 172 Total financial assets $ 4,282,195 $ 83,774 $ 3,576,790 $ 172,014 $ (164) $ 3,832,414 Financial liabilities: Short-term debt: Of Fannie Mae $ 13,967 $ — $ 13,969 $ — $ — $ 13,969 Long-term debt: Of Fannie Mae 125,197 — 124,585 577 — 125,162 Of consolidated trusts 4,091,602 — 3,573,396 41,490 — 3,614,886 Derivative liabilities at fair value 308 — 4,153 65 (3,910) 308 Guaranty obligations 90 — — 68 — 68 Total financial liabilities $ 4,231,164 $ — $ 3,716,103 $ 42,200 $ (3,910) $ 3,754,393 As of December 31, 2022 Carrying Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs Netting Adjustment Estimated Fair Value (Dollars in millions) Financial assets: Cash and cash equivalents, including restricted cash and cash equivalents $ 87,841 $ 32,991 $ 54,850 $ — $ — $ 87,841 Securities purchased under agreements to resell 14,565 — 14,565 — — 14,565 Trading securities 50,129 46,898 3,184 47 — 50,129 Available-for-sale securities 696 — 62 634 — 696 Mortgage loans held for sale 2,033 — 48 2,029 — 2,077 Mortgage loans held for investment, net of allowance for loan losses 4,112,403 — 3,437,979 171,857 — 3,609,836 Advances to lenders 1,502 — 1,502 — — 1,502 Derivative assets at fair value 175 — 300 29 (154) 175 Guaranty assets and buy-ups 87 — — 166 — 166 Total financial assets $ 4,269,431 $ 79,889 $ 3,512,490 $ 174,762 $ (154) $ 3,766,987 Financial liabilities: Short-term debt: Of Fannie Mae $ 10,204 $ — $ 10,208 $ — $ — $ 10,208 Long-term debt: Of Fannie Mae 123,964 — 122,066 558 — 122,624 Of consolidated trusts 4,087,720 — 3,511,958 42,150 — 3,554,108 Derivative liabilities at fair value 168 — 4,764 66 (4,662) 168 Guaranty obligations 94 — — 66 — 66 Total financial liabilities $ 4,222,150 $ — $ 3,648,996 $ 42,840 $ (4,662) $ 3,687,174 For a detailed description and classification of our financial instruments, see “Note 15, Fair Value” in our 2022 Form 10-K. Fair Value Option We elected the fair value option for loans and debt that contain embedded derivatives that would otherwise require bifurcation. Under the fair value option, we elected to carry these instruments at fair value instead of bifurcating the embedded derivative from such instruments. Interest income for the mortgage loans is recorded in “Interest income: Mortgage loans” and interest expense for the debt instruments is recorded in “Interest expense: Long-term debt” in our condensed consolidated statements of operations and comprehensive income. The following table displays the fair value and unpaid principal balance of the financial instruments for which we have elected the fair value option. As of March 31, 2023 December 31, 2022 Loans (1) Long-Term Debt of Fannie Mae Long-Term Debt of Consolidated Trusts Loans (1) Long-Term Debt of Fannie Mae Long-Term Debt of Consolidated Trusts (Dollars in millions) Fair value $ 3,599 $ 1,132 $ 15,972 $ 3,645 $ 1,161 $ 16,260 Unpaid principal balance 3,730 1,105 15,835 3,835 1,145 16,311 (1) Includes nonaccrual loans with a fair value of $35 million and $40 million as of March 31, 2023 and December 31, 2022, respectively. Includes loans that are 90 days or more past due with a fair value of $41 million and $48 million as of March 31, 2023 and December 31, 2022, respectively. Changes in Fair Value under the Fair Value Option Election We recorded gains of $71 million for the three months ended March 31, 2023 and losses of $191 million for the three months ended March 31, 2022 from changes in the fair value of loans recorded at fair value in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income. We recorded losses of $269 million and gains of $1.1 billion for the three months ended March 31, 2023 and March 31, 2022, respectively, from changes in the fair value of long-term debt recorded at fair value in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies We are party to various types of legal actions and proceedings, including actions brought on behalf of various classes of claimants. We also are subject to regulatory examinations, inquiries and investigations, and other information gathering requests. In some of the matters, indeterminate amounts are sought. Modern pleading practice in the U.S. permits considerable variation in the assertion of monetary damages or other relief. Jurisdictions may permit claimants not to specify the monetary damages sought or may permit claimants to state only that the amount sought is sufficient to invoke the jurisdiction of the trial court. This variability in pleadings, together with our and our counsel’s actual experience in litigating or settling claims, leads us to conclude that the monetary relief that may be sought by plaintiffs bears little relevance to the merits or disposition value of claims. We have substantial and valid defenses to the claims in the proceedings described below and intend to defend these matters vigorously. However, legal actions and proceedings of all types are subject to many uncertain factors that generally cannot be predicted with assurance. Accordingly, the outcome of any given matter and the amount or range of potential loss at particular points in time is frequently difficult to ascertain. Uncertainties can include how fact finders will evaluate documentary evidence and the credibility and effectiveness of witness testimony, and how the court will apply the law. Disposition valuations are also subject to the uncertainty of how opposing parties and their counsel may view the evidence and applicable law. On a quarterly basis, we review relevant information about all pending legal actions and proceedings for the purpose of evaluating and revising our contingencies, accruals and disclosures. We establish an accrual only for matters when the likelihood of a loss is probable and we can reasonably estimate the amount of such loss. We are often unable to estimate the possible losses or ranges of losses, particularly for proceedings that are in their early stages of development, where plaintiffs seek indeterminate or unspecified damages, where there may be novel or unsettled legal questions relevant to the proceedings, or where settlement negotiations have not occurred or progressed. Given the uncertainties involved in any action or proceeding, regardless of whether we have established an accrual, the ultimate resolution of certain of these matters may be material to our operating results for a particular period, depending on, among other factors, the size of the loss or liability imposed and the level of our net income or loss for that period. In addition to the matters specifically described below, we are involved in a number of legal and regulatory proceedings that arise in the ordinary course of business that we do not expect will have a material impact on our business or financial condition. Senior Preferred Stock Purchase Agreements Litigation A consolidated class action ( “In re Fannie Mae/Freddie Mac Senior Preferred Stock Purchase Agreement Class Action Litigations” ) and a non-class action lawsuit, Fairholme Funds v. FHFA , filed by Fannie Mae and Freddie Mac shareholders against us, FHFA as our conservator, and Freddie Mac are pending in the U.S. District Court for the District of Columbia. The lawsuits challenge the August 2012 amendment to each company’s senior preferred stock purchase agreement with Treasury. Plaintiffs in these lawsuits allege that the net worth sweep dividend provisions of the senior preferred stock that were implemented pursuant to the August 2012 amendments nullified certain of the shareholders’ rights and caused them harm. Plaintiffs in the class action represent a class of Fannie Mae preferred shareholders and classes of Freddie Mac common and preferred shareholders. On September 23, 2022, the court issued a summary judgment ruling that permitted the plaintiffs in these lawsuits to present to a jury their claims for breach of the implied covenant of good faith and fair dealing. The cases were consolidated for trial and the trial was conducted from October 17, 2022 to November 1, 2022. Jury deliberations began on November 1, 2022. The jury was not able to reach a verdict and the judge declared a mistrial on November 7, 2022. A new trial is scheduled to begin on July 24, 2023. In the trial, plaintiffs requested $779 million in damages from Fannie Mae and prejudgment interest on the amount of any damages. We estimate that prejudgment interest, if awarded in the new trial, would be calculated at a rate of 5.75% and expect plaintiffs to seek such interest from August 17, 2012. Prejudgment interest calculated from August 17, 2012 through March 31, 2023 based on the amount of damages plaintiffs requested would be approximately $475 million. The ultimate amount of prejudgment interest awarded, if any, would be impacted by the amount of damages awarded, the date from and through which interest is calculated, and other determinations by the court. At this time, we do not believe the likelihood of loss is probable; therefore, we have not established an accrual in connection with these lawsuits. However, it is reasonably possible that the plaintiffs could ultimately prevail in this matter and, if so, we may incur a loss up to the amount of damages discussed above and any related interest. |
Regulatory Capital Requirements
Regulatory Capital Requirements | 3 Months Ended |
Mar. 31, 2023 | |
Broker-Dealer, Net Capital Requirement, SEC Regulation [Abstract] | |
Regulatory Capital Requirements | Regulatory Capital Requirements FHFA has established an enterprise regulatory capital framework that went into effect in February 2021; however, we are not required to hold capital according to the framework’s requirements until the date of termination of our conservatorship, or such later date as may be ordered by FHFA. The enterprise regulatory capital framework includes the following requirements under the standardized approach related to the amount and form of capital we must hold: • Supplemental leverage and risk-based capital requirements based largely on definitions of capital used in U.S. banking regulators’ regulatory capital framework. Under the leverage capital requirements, we must maintain a tier 1 capital ratio of 2.5% of adjusted total assets. Under the risk-based capital requirements, we must maintain minimum common equity tier 1 capital, tier 1 capital, and adjusted total capital ratios of 4.5%, 6%, and 8%, respectively, of risk-weighted assets; • A requirement that we hold prescribed capital buffers that can be drawn down in periods of financial stress and then rebuilt over time as economic conditions improve. If we fall below the prescribed buffer amounts, we must restrict capital distributions such as stock repurchases and dividends, as well as discretionary bonus payments to executives, until the buffer amounts are restored. The prescribed capital buffers represent the amount of capital we are required to hold above the minimum leverage and risk-based capital requirements. ◦ The prescribed leverage buffer amount (“PLBA”) represents the amount of tier 1 capital we are required to hold above the minimum tier 1 leverage capital requirement; ◦ The risk-based capital buffers consist of three separate components: a stability capital buffer, a stress capital buffer, and a countercyclical capital buffer. Taken together, these risk-based buffers comprise the prescribed capital conservation buffer amount (“PCCBA”). The PCCBA must be comprised entirely of common equity tier 1 capital; and • Specific minimum percentages, or “floors,” on the risk-weights applicable to single-family and multifamily exposures, as well as retained portions of credit risk transfer transactions. The table below sets forth information about our capital requirements under the standardized approach of the enterprise regulatory capital framework. Available capital for purposes of the enterprise regulatory capital framework excludes the stated value of the senior preferred stock ($120.8 billion) and other amounts specified in footnote 2 to the table. Because of these exclusions, we had a deficit in available capital as of March 31, 2023, even though we had positive net worth under GAAP of $64.0 billion as of March 31, 2023. As of March 31, 2023, we had a $253 billion shortfall of our available capital (deficit) to the adjusted total capital requirement (including buffers) of $184 billion under the standardized approach of the rule as shown in the table below. As of March 31, 2023, our risk-based adjusted total capital requirement (including buffers) represented the amount of capital needed to be fully capitalized under the standardized approach to the rule. Capital Metrics under the Enterprise Regulatory Capital Framework as of March 31, 2023 (1) (Dollars in billions) Adjusted total assets $ 4,560 Risk-weighted assets 1,308 Amounts Ratios Available Capital (Deficit) (2) Minimum Capital Requirement Total Capital Requirement (including Buffers) (3) Available Capital (Deficit) Ratio (4) Minimum Capital Ratio Requirement Total Capital Requirement Ratio (including Buffers) Risk-based capital: Total capital (statutory) (5) $ (45) $ 105 $ 105 (3.5) % 8.0 % 8.0 % Common equity tier 1 capital (89) 59 138 (6.8) 4.5 10.6 Tier 1 capital (69) 78 157 (5.3) 6.0 12.0 Adjusted total capital (69) 105 184 (5.3) 8.0 14.1 Leverage capital: Core capital (statutory) (6) (57) 114 114 (1.2) 2.5 2.5 Tier 1 capital (69) 114 137 (1.5) 2.5 3.0 (1) Ratios are calculated as a percentage of risk-weighted assets for risk-based capital metrics and as a percentage of adjusted total assets for leverage capital metrics. (2) Available capital (deficit) for all line items excludes the stated value of the senior preferred stock ($120.8 billion). Available capital (deficit) for all line items except total capital and core capital also deducts a portion of deferred tax assets. Deferred tax assets arising from temporary differences between GAAP and tax requirements are deducted from capital to the extent they exceed 10% of common equity. As of March 31, 2023, this resulted in the full deduction of deferred tax assets ($12.6 billion) from our available capital (deficit). Available capital (deficit) for common equity tier 1 capital also excludes the value of the non-cumulative perpetual preferred stock ($19.1 billion). (3) The applicable buffer for common equity tier 1 capital, tier 1 capital, and adjusted total capital is the PCCBA, comprised of a stress capital buffer, a stability capital buffer, and a countercyclical capital buffer. The applicable buffer for tier 1 capital (leverage based) is the PLBA. The stress capital buffer and countercyclical capital buffer are each calculated by multiplying prescribed factors by adjusted total assets as of the last day of the previous calendar quarter. The 2023 stability capital buffer is calculated by multiplying a factor determined based on our share of mortgage debt outstanding by adjusted total assets as of December 31, 2020. The prescribed leverage buffer for 2023 is set at 50% of the 2023 stability buffer. Going forward the stability buffer and the prescribed leverage buffer will be updated with an effective date that depends on whether the stability capital buffer increases or decreases relative to the previously calculated value. (4) Ratios are negative because we had a deficit in available capital for each tier of capital. (5) The sum of (a) core capital (see definition in footnote 6 below); and (b) a general allowance for foreclosure losses, which (i) shall include an allowance for portfolio mortgage losses, an allowance for non-reimbursable foreclosure costs on government claims, and an allowance for liabilities reflected on the balance sheet for estimated foreclosure losses on mortgage-backed securities; and (ii) shall not include any reserves made or held against specific assets; and (c) any other amounts from sources of funds available to absorb losses that the Director of FHFA by regulation determines are appropriate to include in determining total capital. (6) The sum of (a) the stated value of our outstanding common stock (common stock less treasury stock); (b) the stated value of our outstanding non-cumulative perpetual preferred stock; (c) our paid-in capital; and (d) our retained earnings (accumulated deficit). Core capital does not include: (a) accumulated other comprehensive income or (b) senior preferred stock. As a result of our capital shortfall, our maximum payout ratio under the enterprise regulatory capital framework as of March 31, 2023 was 0%. While it is not applicable until the date of termination of our conservatorship, our maximum payout ratio represents the percentage of eligible retained income that we are permitted to pay out in the form of distributions or discretionary bonus payments under the enterprise regulatory capital framework. The maximum payout ratio for a given quarter is the lowest of the payout ratios determined by our capital conservation buffer and our leverage buffer. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2023 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The accompanying unaudited interim condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial information and with the SEC’s instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and note disclosures required by GAAP for complete consolidated financial statements. In the opinion of management, all adjustments of a normal recurring nature considered necessary for a fair presentation have been included. The accompanying condensed consolidated financial statements include our accounts as well as the accounts of other entities in which we have a controlling financial interest. All intercompany accounts and transactions have been eliminated. |
Use of Estimates | Use of Estimates Preparing condensed consolidated financial statements in accordance with GAAP requires management to make estimates and assumptions that affect our reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the dates of our condensed consolidated financial statements, as well as our reported amounts of revenues and expenses during the reporting periods. Management has made significant estimates in a variety of areas including, but not limited to, the allowance for loan losses. Actual results could be different from these estimates. |
Conservatorship | Conservatorship On September 7, 2008, the Secretary of the Treasury and the Director of FHFA announced several actions taken by Treasury and FHFA regarding Fannie Mae, which included: (1) placing us in conservatorship, with FHFA acting as our conservator, and (2) the execution of a senior preferred stock purchase agreement by our conservator, on our behalf, and Treasury, pursuant to which we issued to Treasury both senior preferred stock and a warrant to purchase common stock. Under the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended, including by the Housing and Economic Recovery Act of 2008 (together, the “GSE Act”), the conservator immediately succeeded to (1) all rights, titles, powers and privileges of Fannie Mae, and of any stockholder, officer or director of Fannie Mae with respect to Fannie Mae and its assets, and (2) title to the books, records and assets of any other legal custodian of Fannie Mae. The conservator subsequently issued an order that provided for our Board of Directors to exercise specified functions and authorities. The conservator also provided instructions regarding matters for which conservator decision or notification is required. The conservator retains the authority to amend or withdraw its order and instructions at any time. The conservatorship has no specified termination date and there continues to be significant uncertainty regarding our future, including how long we will continue to exist in our current form, the extent of our role in the market, the level of government support of our business, how long we will be in conservatorship, what form we will have and what ownership interest, if any, our current common and preferred stockholders will hold in us after the conservatorship is terminated and whether we will continue to exist following conservatorship. Under the GSE Act, the Director of FHFA must place us into receivership if they make a written determination that our assets are less than our obligations or if we have not been paying our debts, in either case, for a period of 60 days. In addition, the Director of FHFA may place us into receivership at the Director’s discretion at any time for other reasons set forth in the GSE Act, including if we are critically undercapitalized or if we are undercapitalized and have no reasonable prospect of becoming adequately capitalized. Should we be placed into receivership, different assumptions would be required to determine the carrying value of our assets, which would likely lead to substantially different financial results. Treasury has made a commitment under the senior preferred stock purchase agreement to provide funding to us under certain circumstances if we have a net worth deficit. We are not aware of any plans of FHFA (1) to fundamentally change our business model, or (2) to reduce the aggregate amount available to or held by the company under our equity structure, which includes the senior preferred stock purchase agreement. |
Related Parties | Related Parties Treasury holds an investment in our senior preferred stock with a liquidation preference as discussed in “Senior Preferred Stock Purchase Agreement and Senior Preferred Stock” above, as well as a warrant to purchase shares of Fannie Mae common stock equal to 79.9% of the total number of shares of Fannie Mae common stock. Therefore, we and Treasury are deemed related parties. FHFA’s control of both Fannie Mae and Freddie Mac has caused Fannie Mae, FHFA and Freddie Mac to be deemed related parties. Additionally, Fannie Mae and Freddie Mac jointly own Common Securitization Solutions, LLC (“CSS”), a limited liability company created to operate a common securitization platform; as a result, CSS is deemed a related party. As a part of our joint ownership, Fannie Mae, Freddie Mac and CSS are parties to a limited liability company agreement that sets forth the overall framework for the joint venture, including Fannie Mae’s and Freddie Mac’s rights and responsibilities as members of CSS. Fannie Mae, Freddie Mac and CSS are also parties to a customer services agreement that sets forth the terms under which CSS provides mortgage securitization services to us and Freddie Mac, including the operation of the common securitization platform, as well as an administrative services agreement. CSS operates as a separate company from us and Freddie Mac, with all funding and limited administrative support services and other resources provided to it by us and Freddie Mac. In the ordinary course of business, Fannie Mae may purchase and sell securities issued by Treasury and Freddie Mac in the capital markets. Some of the structured securities we issue are backed in whole or in part by Freddie Mac securities. Fannie Mae and Freddie Mac each have agreed to indemnify the other party for losses caused by: its failure to meet its payment or other specified obligations under the trust agreements pursuant to which the underlying resecuritized securities were issued; its failure to meet its obligations under the customer services agreement; its |
Obligation to pay TCCA Fees to Treasury | To meet our obligations under the TCCA and at the direction of FHFA, we increased the guaranty fee on all single-family residential mortgages delivered to us by 10 basis points in April 2012. The resulting fee revenue and expense are recorded in “Interest income: Mortgage loans” and “TCCA fees,” respectively, in our condensed consolidated statements of operations and comprehensive income. In November 2021, the Infrastructure Investment and Jobs Act was enacted, which extended to October 1, 2032 our obligation under the TCCA to collect 10 basis points in guaranty fees on single-family residential mortgages delivered to us and pay the associated revenue to Treasury. In January 2022, FHFA advised us to continue to pay these TCCA fees to Treasury with respect to all single-family loans acquired by us before October 1, 2032, and to continue to remit these amounts to Treasury on and after October 1, 2032 with respect to loans we acquired before this date until those loans are paid off or otherwise liquidated. |
Acquired Property, Net | Acquired Property, Net We recognize foreclosed property ( i.e. , “Acquired property, net”) upon the earlier of the loan foreclosure event or when we take physical possession of the property ( i.e. , through a deed-in-lieu of foreclosure transaction). We present foreclosed property in “Other assets” in our condensed consolidated balance sheets. We held $1.6 billion of acquired property, net as of March 31, 2023 and December 31, 2022. |
Earnings per Share | Earnings per Share Earnings per share (“EPS”) is presented for basic and diluted EPS. We compute basic EPS by dividing net income attributable to common stockholders by the weighted-average number of shares of common stock outstanding during |
New Accounting Guidance | New Accounting Guidance Fair Value Hedging - Portfolio Layer Method On March 28, 2022, the FASB issued ASU 2022-01, Fair Value Hedging - Portfolio Layer Method, which clarifies the guidance on fair value hedge accounting of interest rate risk portfolios of financial assets. The ASU expands the scope of the previous last-of-layer method to allow entities to apply this method, renamed the portfolio layer method, to non-prepayable financial assets and to designate multiple hedge relationships within a single closed portfolio of financial assets. Additionally, the ASU clarifies that basis adjustments related to existing portfolio layer hedge relationships should not be allocated to the individual financial assets of the closed portfolio and should not be considered when measuring credit losses on those assets. Further, the ASU clarifies that any reversal of fair value hedge basis adjustments associated with an actual breach should be recognized in interest income immediately. The ASU is effective for public business entities for fiscal years beginning after December 15, 2022, and interim periods within those years. The adoption of this guidance on January 1, 2023 did not have a material impact on our financial statements. |
Consolidations | We have interests in various entities that are considered to be variable interest entities (“VIEs”). The primary types of entities are securitization and resecuritization trusts, limited partnerships and special purpose vehicles (“SPVs”). These interests include investments in securities issued by VIEs, such as Fannie Mae MBS created pursuant to our securitization transactions and our guaranty to the entity. We consolidate the substantial majority of our single-class securitization trusts because our role as guarantor and master servicer provides us with the power to direct matters (primarily the servicing of mortgage loans) that impact the credit risk to which we are exposed. In contrast, we do not consolidate single-class securitization trusts when other organizations have the power to direct these activities unless we have the unilateral ability to dissolve the trust. We also do not consolidate our resecuritization trusts unless we have the unilateral ability to dissolve the trust. The underlying assets of our resecuritization trusts include both Fannie Mae securities collateralized solely by mortgage loans held in consolidated trusts as well as uniform mortgage-backed securities (“UMBS ® ”) collateralized with securities issued by Fannie Mae or Freddie Mac. The mortgage loans that serve as collateral for Freddie Mac-issued securities are not held in trusts that are consolidated by Fannie Mae. |
Transfers of Financial Assets | Transfers of Financial AssetsWe issue Fannie Mae MBS through portfolio securitization transactions by transferring pools of mortgage loans or mortgage-related securities to one or more trusts or special purpose entities. We are considered to be the transferor when we transfer assets from our own retained mortgage portfolio in a portfolio securitization transaction.We retain interests from the transfer and sale of mortgage-related securities to unconsolidated single-class and multi-class portfolio securitization trusts. |
Mortgage Loans Held-for-investment | we report the amortized cost of HFI loans for which we have not elected the fair value option at the unpaid principal balance, net of unamortized premiums and discounts, hedge-related basis adjustments, other cost basis adjustments, and accrued interest receivable in these “Note 3, Mortgage Loans” disclosures. For purposes of our condensed consolidated balance sheets, we present accrued interest receivable, net separately from the amortized cost of our loans held for investment. |
Mortgage Loans Held-for-sale | We report the carrying value of HFS loans at the lower of cost or fair value and record valuation changes in “Investment losses, net” in our condensed consolidated statements of operations and comprehensive income. |
Nonaccrual Loans and Allowance for Loan Losses | The estimated mark-to-market loan-to-value (“LTV”) ratio is a primary factor we consider when estimating our allowance for loan losses for single-family loans. As a borrower’s LTV ratio increases, their equity in the home decreases, which may negatively affect the borrower’s ability to refinance or to sell the property for an amount at or above the outstanding balance of the loan. Nonaccrual Loans We recognize interest income on an accrual basis except when we believe the collection of principal and interest is not reasonably assured. This generally occurs when a single-family loan is three or more months past due and a multifamily loan is two or more months past due according to its contractual terms. A loan is reported as past due if a full payment of principal and interest is not received within one month of its due date. When a loan is placed on nonaccrual status based on delinquency status, interest previously accrued but not collected on the loan is reversed through interest income. We have generally elected not to measure an allowance for credit losses on accrued interest receivable balances as we have a nonaccrual policy to ensure the timely reversal of unpaid accrued interest. See “Note 4, Allowance for Loan Losses” for additional information about our current-period provision for loan losses. For single-family loans, we recognize any contractual interest payments received on the loan while on nonaccrual status as interest income on a cash basis. For multifamily loans we apply any payment received on a cost recovery basis to reduce the amortized cost of the mortgage loan. Thus, we do not recognize any interest income on a multifamily loan placed on nonaccrual status until the amortized cost of the loan has been reduced to zero. Cost basis adjustments on held-for-investment loans are amortized into interest income over the contractual life of the loan using the effective interest method. No amortization is recognized during periods in which the loan is on non-accrual status. A nonaccrual loan is returned to accrual status when the collectability of principal and interest in full is reasonably assured. We generally determine that collectability is reasonably assured when the loan returns to current payment status. If a loan is restructured for a borrower experiencing financial difficulty, we require a performance period of up to 6 months before we return the loan to accrual status. Upon a loan’s return to accrual status, we resume the recognition of interest income and the amortization of cost basis adjustments, if any, into interest income. If interest is capitalized pursuant to a restructuring, any capitalized interest that had not been previously recognized as interest income or that had been reversed through interest income when the loan was placed on nonaccrual status is recorded as a discount to the loan and amortized over the remaining contractual life of the loan. For single-family loans negatively impacted by the COVID-19 pandemic that were three or more months past due as of December 31, 2022, we continue to recognize interest income for up to six months of delinquency provided that the loan was either current as of March 1, 2020, or originated after March 1, 2020. We continue to accrue interest income beyond six months of delinquency provided that the collection of principal and interest continues to be reasonably assured. For multifamily loans that are in a COVID-19 forbearance arrangement on December 31, 2022, we continue to recognize interest income for up to six months of delinquency and then place them on nonaccrual status when the borrower is six months past due. |
Trading and Available-for-sale Securities | Trading SecuritiesTrading securities are recorded at fair value with subsequent changes in fair value recorded as “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income. Available-for-Sale Securities We record AFS securities at fair value with unrealized gains and losses, recorded net of tax, as a component of “Other comprehensive loss” and we recognize realized gains and losses from the sale of AFS securities in “Investment losses, net” in our condensed consolidated statements of operations and comprehensive income. We define the amortized cost basis of our AFS securities as unpaid principal balance, net of unamortized premiums and discounts, and other cost basis adjustments. We record an allowance for credit losses for AFS securities that reflects the impairment for credit losses, which are limited to the amount that fair value is less than the amortized cost. Impairment due to non-credit losses are recorded as unrealized losses within “Other comprehensive loss.” |
Financial Guarantees | We recognize a guaranty obligation for our obligation to stand ready to perform on our guarantees to unconsolidated trusts and other guaranty arrangements. These off-balance sheet guarantees expose us to credit losses primarily relating to the unpaid principal balance of our unconsolidated Fannie Mae MBS and other financial guarantees.We measure our guaranty reserve for estimated credit losses for off-balance sheet exposures over the contractual period for which they are exposed to the credit risk, unless that obligation is unconditionally cancellable by the issuer. |
Derivatives | We recognize all derivatives as either assets or liabilities in our condensed consolidated balance sheets at their fair value on a trade date basis. Fair value amounts, which are (1) netted to the extent a legal right of offset exists and is enforceable by law at the counterparty level and (2) inclusive of the right or obligation associated with the cash collateral posted or received, are recorded in “Other assets” or “Other liabilities” in our condensed consolidated balance sheets.We present cash flows from derivatives as operating activities in our condensed consolidated statements of cash flows.We record all gains and losses, including accrued interest, on derivatives while they are not in a qualifying designated hedging relationship in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income. |
Derivatives, Methods of Accounting, Hedging Derivatives | Pursuant to our fair value hedge accounting program, we may designate certain interest-rate swaps as hedging instruments in hedges of the change in fair value attributable to the designated benchmark interest rate for certain closed pools of fixed-rate, single-family mortgage loans or our funding debt. For hedged items in qualifying fair value hedging relationships, changes in fair value attributable to the designated risk are recognized as a basis adjustment to the hedged item. We also report changes in the fair value of the derivative hedging instrument in the same condensed consolidated statements of operations and comprehensive income line item used to recognize the earnings effect of the hedged item’s basis adjustment. |
Segment Reporting | We have two reportable business segments, which are based on the type of business activities each perform: Single-Family and Multifamily. Results of our two business segments are intended to reflect each segment as if it were a stand-alone business. The sum of the results for our two business segments equals our condensed consolidated results of operations. |
Concentrations of Credit Risk | One of the measures by which we gauge our credit risk is the delinquency status of the mortgage loans in our guaranty book of business. For single-family and multifamily loans, we use this information, in conjunction with housing market and other economic data, to structure our pricing and our eligibility and underwriting criteria to reflect the current risk of loans with higher-risk characteristics, and in some cases we decide to significantly reduce our participation in riskier loan product categories. Management also uses this data together with other credit risk measures to identify key trends that guide the development of our loss mitigation strategies. |
Derivatives, Offsetting | Derivative instruments are recorded at fair value and securities purchased under agreements to resell are recorded at amortized cost in our condensed consolidated balance sheets. |
Fair Value Measurement | Fair Value Measurement Fair value measurement guidance defines fair value, establishes a framework for measuring fair value, and sets forth disclosures around fair value measurements. This guidance applies whenever other accounting guidance requires or permits assets or liabilities to be measured at fair value. The guidance establishes a three-level fair value hierarchy that prioritizes the inputs into the valuation techniques used to measure fair value. The hierarchy gives the highest priority, Level 1, to measurements based on unadjusted quoted prices in active markets for identical assets or liabilities. The next highest priority, Level 2, is given to measurements of assets and liabilities based on limited observable inputs or observable inputs for similar assets and liabilities. The lowest priority, Level 3, is given to measurements based on unobservable inputs. Fair Value Option We elected the fair value option for loans and debt that contain embedded derivatives that would otherwise require bifurcation. Under the fair value option, we elected to carry these instruments at fair value instead of bifurcating the embedded derivative from such instruments. Interest income for the mortgage loans is recorded in “Interest income: Mortgage loans” and interest expense for the debt instruments is recorded in “Interest expense: Long-term debt” in our condensed consolidated statements of operations and comprehensive income. |
Fair Value of Financial Instruments | The fair value of financial instruments we disclose includes commitments to purchase multifamily and single-family mortgage loans that we do not record in our condensed consolidated balance sheets. The fair values of these commitments are included as “Mortgage loans held for investment, net of allowance for loan losses.” |
Commitments and Contingencies | On a quarterly basis, we review relevant information about all pending legal actions and proceedings for the purpose of evaluating and revising our contingencies, accruals and disclosures. We establish an accrual only for matters when the likelihood of a loss is probable and we can reasonably estimate the amount of such loss. |
Consolidations and Transfers _2
Consolidations and Transfers of Financial Assets (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Consolidations and Transfers of Financial Assets [Abstract] | |
Unconsolidated Variable Interest Entities | The following table displays the carrying amount and classification of our assets and liabilities that relate to our involvement with unconsolidated securitization and resecuritization trusts. As of March 31, 2023 December 31, 2022 (Dollars in millions) Assets and liabilities recorded in our condensed consolidated balance sheets related to unconsolidated mortgage-backed trusts: Investments in securities, at fair value $ 2,992 $ 3,353 Other assets 40 40 Other liabilities (45) (45) Net carrying amount $ 2,987 $ 3,348 |
Mortgage Loans (Tables)
Mortgage Loans (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Loans in Mortgage Portfolio | The following table displays the carrying value of our mortgage loans and allowance for loan losses. As of March 31, 2023 December 31, 2022 (Dollars in millions) Single-family $ 3,636,329 $ 3,644,158 Multifamily 436,307 431,440 Total unpaid principal balance of mortgage loans 4,072,636 4,075,598 Cost basis and fair value adjustments, net 49,034 50,185 Allowance for loan losses for HFI loans (11,335) (11,347) Total mortgage loans (1) $ 4,110,335 $ 4,114,436 (1) Excludes $9.5 billion of accrued interest receivable, net of allowance as of March 31, 2023 and December 31, 2022. The following table displays information about our purchase of HFI loans, redesignation of loans from HFI to HFS and the sales of mortgage loans during the period. For the Three Months Ended March 31, 2023 2022 (Dollars in millions) Purchase of HFI loans: Single-family unpaid principal balance $ 67,467 $ 239,468 Multifamily unpaid principal balance 10,235 16,009 Single-family loans redesignated from HFI to HFS: Amortized cost $ — $ 1,181 Lower of cost or fair value adjustment at time of redesignation (1) — (13) Allowance reversed at time of redesignation — 63 Single-family loans sold: Unpaid principal balance $ 1,842 $ — Realized gains, net 17 — (1) Consists of the write-off against the allowance at the time of redesignation. |
Financing Receivable, Past Due | The following tables display an aging analysis of the total amortized cost of our HFI mortgage loans by portfolio segment and class of financing receivable, excluding loans for which we have elected the fair value option. As of March 31, 2023 30 - 59 Days Delinquent 60 - 89 Days Delinquent Seriously Delinquent (1) Total Delinquent Current Total Loans 90 Days or More Delinquent and Accruing Interest Nonaccrual Loans with No Allowance (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 21,710 $ 5,910 $ 18,512 $ 46,132 $ 3,110,579 $ 3,156,711 $ 6,929 $ 3,000 15-year or less, amortizing fixed-rate 1,308 266 722 2,296 473,257 475,553 366 96 Adjustable-rate 143 30 113 286 27,138 27,424 50 22 Other (2) 538 154 801 1,493 28,915 30,408 310 287 Total single-family 23,699 6,360 20,148 50,207 3,639,889 3,690,096 7,655 3,405 Multifamily (3) 214 N/A 1,321 1,535 435,503 437,038 198 647 Total $ 23,913 $ 6,360 $ 21,469 $ 51,742 $ 4,075,392 $ 4,127,134 $ 7,853 $ 4,052 As of December 31, 2022 30 - 59 Days Delinquent 60 - 89 Days Delinquent Seriously Delinquent (1) Total Delinquent Current Total Loans 90 Days or More Delinquent and Accruing Interest Nonaccrual Loans with No Allowance (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 27,891 $ 6,774 $ 19,990 $ 54,655 $ 3,092,199 $ 3,146,854 $ 13,257 $ 3,254 15-year or less, amortizing fixed-rate 1,902 314 800 3,016 488,452 491,468 666 82 Adjustable-rate 176 38 127 341 26,767 27,108 90 24 Other (2) 660 179 898 1,737 30,362 32,099 424 324 Total single-family 30,629 7,305 21,815 59,749 3,637,780 3,697,529 14,437 3,684 Multifamily (3) 173 N/A 955 1,128 431,094 432,222 11 13 Total $ 30,802 $ 7,305 $ 22,770 $ 60,877 $ 4,068,874 $ 4,129,751 $ 14,448 $ 3,697 (1) Single-family seriously delinquent loans are loans that are 90 days or more past due or in the foreclosure process. Multifamily seriously delinquent loans are loans that are 60 days or more past due. (2) Reverse mortgage loans included in “Other” are not aged due to their nature and are included in the current column. (3) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column. |
Credit Quality Indicators | The following tables display information about the credit quality of our single-family HFI loans, based on total amortized cost. Effective January 1, 2023, we adopted amendments to ASU 2022-02 that require us to disclose current-period gross write-offs by year of origination for financing receivables. As a result, for the periods beginning January 1, 2023, the tables below includes current year write-offs of our single-family HFI mortgage loans by class of financing receivable and year of origination, excluding loans for which we have elected the fair value option. Credit Quality Indicators as of March 31, 2023 and Write-offs For the Three Months Ended March 31, 2023, by Year of Origination (1) 2023 2022 2021 2020 2019 Prior Total (Dollars in millions) Estimated mark-to-market LTV ratio: (2) 20- and 30-year or more, amortizing fixed-rate: Less than or equal to 80% $ 22,412 $ 279,467 $ 877,834 $ 806,520 $ 145,978 $ 703,955 $ 2,836,166 Greater than 80% and less than or equal to 90% 6,625 94,815 87,316 6,836 1,293 1,682 198,567 Greater than 90% and less than or equal to 100% 11,194 88,919 13,722 1,280 177 315 115,607 Greater than 100% — 5,506 511 83 21 246 6,367 Total 20- and 30-year or more, amortizing fixed-rate 40,231 468,707 979,383 814,719 147,469 706,198 3,156,707 Current-period 20- and 30-year or more, $ — $ 3 $ 10 $ 5 $ 2 $ 15 $ 35 15-year or less, amortizing fixed-rate: Less than or equal to 80% 1,494 37,382 180,495 130,210 19,451 103,939 472,971 Greater than 80% and less than or equal to 90% 86 1,475 372 27 2 2 1,964 Greater than 90% and less than or equal to 100% 79 509 20 1 — 1 610 Greater than 100% — 6 — — — 2 8 Total 15-year or less, amortizing fixed-rate 1,659 39,372 180,887 130,238 19,453 103,944 475,553 Current-period 15-year or less, amortizing — — — — — 1 1 Adjustable-rate: Less than or equal to 80% 349 4,093 6,239 1,812 796 11,533 24,822 Greater than 80% and less than or equal to 90% 128 1,237 251 11 3 4 1,634 Greater than 90% and less than or equal to 100% 97 816 28 1 — 1 943 Greater than 100% — 24 1 — — — 25 Total adjustable-rate 574 6,170 6,519 1,824 799 11,538 27,424 Current-period adjustable-rate write-offs — — — — — — — Other: Less than or equal to 80% — — — — 28 21,604 21,632 Greater than 80% and less than or equal to 90% — — — — — 127 127 Greater than 90% and less than or equal to 100% — — — — — 60 60 Greater than 100% — — — — — 61 61 Total other — — — — 28 21,852 21,880 Current-period other write-offs — — — — — 4 4 Total for all classes by LTV ratio: (2) Less than or equal to 80% $ 24,255 $ 320,942 $ 1,064,568 $ 938,542 $ 166,253 $ 841,031 $ 3,355,591 Greater than 80% and less than or equal to 90% 6,839 97,527 87,939 6,874 1,298 1,815 202,292 Greater than 90% and less than or equal to 100% 11,370 90,244 13,770 1,282 177 377 117,220 Greater than 100% — 5,536 512 83 21 309 6,461 Total $ 42,464 $ 514,249 $ 1,166,789 $ 946,781 $ 167,749 $ 843,532 $ 3,681,564 Total current-period write-offs $ — $ 3 $ 10 $ 5 $ 2 $ 20 $ 40 Credit Quality Indicators as of December 31, 2022, by Year of Origination (1) 2022 2021 2020 2019 2018 Prior Total (Dollars in millions) Estimated mark-to-market LTV ratio: (2) 20- and 30-year or more, amortizing fixed-rate: Less than or equal to 80% $ 281,257 $ 896,977 $ 820,452 $ 149,067 $ 70,306 $ 651,297 $ 2,869,356 Greater than 80% and less than or equal to 90% 84,864 86,335 5,904 1,152 618 1,062 179,935 Greater than 90% and less than or equal to 100% 84,664 9,284 1,333 217 77 224 95,799 Greater than 100% 1,230 208 56 18 12 240 1,764 Total 20- and 30-year or more, amortizing fixed-rate 452,015 992,804 827,745 150,454 71,013 652,823 3,146,854 15-year or less, amortizing fixed-rate: Less than or equal to 80% 37,830 185,511 134,336 20,239 7,324 103,841 489,081 Greater than 80% and less than or equal to 90% 1,363 410 33 3 — 2 1,811 Greater than 90% and less than or equal to 100% 552 16 1 — — 1 570 Greater than 100% 3 1 — — — 2 6 Total 15-year or less, amortizing fixed-rate 39,748 185,938 134,370 20,242 7,324 103,846 491,468 Adjustable-rate: Less than or equal to 80% 3,971 6,383 1,865 821 906 11,226 25,172 Greater than 80% and less than or equal to 90% 1,013 236 12 3 1 3 1,268 Greater than 90% and less than or equal to 100% 645 21 — — 1 — 667 Greater than 100% 1 — — — — — 1 Total adjustable-rate 5,630 6,640 1,877 824 908 11,229 27,108 Other: Less than or equal to 80% — — — 29 222 22,103 22,354 Greater than 80% and less than or equal to 90% — — — — 1 129 130 Greater than 90% and less than or equal to 100% — — — — 1 56 57 Greater than 100% — — — — — 57 57 Total other — — — 29 224 22,345 22,598 Total $ 497,393 $ 1,185,382 $ 963,992 $ 171,549 $ 79,469 $ 790,243 $ 3,688,028 Total for all classes by LTV ratio: (2) Less than or equal to 80% $ 323,058 $ 1,088,871 $ 956,653 $ 170,156 $ 78,758 $ 788,467 $ 3,405,963 Greater than 80% and less than or equal to 90% 87,240 86,981 5,949 1,158 620 1,196 183,144 Greater than 90% and less than or equal to 100% 85,861 9,321 1,334 217 79 281 97,093 Greater than 100% 1,234 209 56 18 12 299 1,828 Total $ 497,393 $ 1,185,382 $ 963,992 $ 171,549 $ 79,469 $ 790,243 $ 3,688,028 (1) Excludes amortized cost of $8.5 billion and $9.5 billion as of March 31, 2023 and December 31, 2022, respectively, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies, which represents primarily reverse mortgages for which we do not calculate an estimated mark-to-market LTV ratio. For the three months ended March 31, 2023, it also excludes write-offs of $2 million, of mortgage loans guaranteed or insured, in whole or in part, by the U.S. government or one of its agencies. Year of loan origination may not be the same as the period in which we subsequently acquired the loan. (2) The aggregate estimated mark-to-market LTV ratio is based on the unpaid principal balance of the loan divided by the estimated current value of the property as of the end of each reported period, which we calculate using an internal valuation model that estimates periodic changes in home value. The following tables display the total amortized cost of our multifamily HFI loans by year of origination and credit-risk rating, excluding loans for which we have elected the fair value option. Property rental income and property valuations are key inputs to our internally assigned credit risk ratings. For the periods beginning January 1, 2023, the tables below includes current year write-offs of our multifamily HFI mortgage loans by year of origination, excluding loans for which we have elected the fair value option. Credit Quality Indicators as of March 31, 2023 and Write-offs for the Three Months Ended March 31, 2023, by Year of Origination (1) 2023 2022 2021 2020 2019 Prior Total (Dollars in millions) Internally assigned credit risk rating: Pass (2) $ 8,098 $ 59,264 $ 62,849 $ 74,920 $ 59,164 $ 148,085 $ 412,380 Special mention (3) — 8 99 82 24 293 506 Substandard (4) — 2,238 2,278 1,692 2,905 15,035 24,148 Doubtful (5) — — — — — 4 4 Total $ 8,098 $ 61,510 $ 65,226 $ 76,694 $ 62,093 $ 163,417 $ 437,038 Current-period write-offs $ — $ 3 $ — $ 1 $ — $ 233 $ 237 Credit Quality Indicators as of December 31, 2022, by Year of Origination (1) 2022 2021 2020 2019 2018 Prior Total (Dollars in millions) Internally assigned credit risk rating: Pass (2) $ 57,976 $ 64,165 $ 75,468 $ 59,507 $ 48,720 $ 103,772 $ 409,608 Special mention (3) 11 41 128 55 54 306 595 Substandard (4) 1,415 1,580 1,388 2,816 2,488 12,324 22,011 Doubtful (5) — — — — 8 — 8 Total $ 59,402 $ 65,786 $ 76,984 $ 62,378 $ 51,270 $ 116,402 $ 432,222 (1) In the current period, we updated our presentation of credit quality indicators. Previously, “Pass” and “Special mention” were disclosed as “Non-classified,” and “Substandard” and “Doubtful” were disclosed as “Classified.” Prior periods have been updated to conform to the current period presentation. Year of loan origination may not be the same as the period in which we subsequently acquired the loan. (2) A loan categorized as “Pass” is current or is adequately protected by the current financial strength and debt service capability of the borrower. (3) “Special mention” refers to loans that are otherwise performing but have potential weaknesses that, if left uncorrected, may result in deterioration in the borrower’s ability to repay in full. (4) Loans classified as “Substandard” have a well-defined weakness that jeopardizes the timely full repayment. We had seniors housing loans with an amortized cost of $8.9 billion as of March 31, 2023 and $9.2 billion as of December 31, 2022 classified as substandard. (5) “Doubtful” refers to a loan with a weakness that makes collection or liquidation in full highly questionable and improbable based on existing conditions and values. |
Financing Receivable, Loan Modification | The following tables display the amortized cost of HFI mortgage loans that were restructured during the period indicated, presented by portfolio segment and class of financing receivable. For the Three Months Ended March 31, 2023 Payment Delay (Only) Forbearance Plan Payment Deferral Trial Modification and Repayment Plans Payment Delay and Term Extension (1) Payment Delay, Term Extension and Interest Rate Reduction (1) Total Percentage of Total by Financing Class (2) (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 9,333 $ 3,661 $ 2,629 $ 1,778 $ 267 $ 17,668 1 % 15-year or less, amortizing fixed-rate 419 159 104 — — 682 * Adjustable-rate 46 17 8 — 1 72 * Other 121 51 67 35 29 303 1 Total single-family 9,919 3,888 2,808 1,813 297 18,725 1 Multifamily 572 — — — 570 1,142 * Total (3) $ 10,491 $ 3,888 $ 2,808 $ 1,813 $ 867 $ 19,867 * For the Three Months Ended March 31, 2022 Payment Delay (Only) Forbearance Plan (4) Payment Deferral Trial Modification and Repayment Plans (4) Payment Delay and Term Extension (1) Payment Delay, Term Extension and Interest Rate Reduction (1) Total Percentage of Total by Financing Class (2) (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 15,662 $ 6,784 $ 5,858 $ 1,103 $ 4,547 $ 33,954 1 % 15-year or less, amortizing fixed-rate 803 394 239 — 1 1,437 * Adjustable-rate 97 57 54 — 5 213 1 Other 382 197 241 93 226 1,139 3 Total single-family 16,944 7,432 6,392 1,196 4,779 36,743 1 Multifamily 267 — — 29 — 296 * Total (3) $ 17,211 $ 7,432 $ 6,392 $ 1,225 $ 4,779 $ 37,039 1 * Represents less than 0.5% of total by financing class. (1) Represents loans that received a contractual modification. (2) Based on the amortized cost basis as of period end, divided by the period-end amortized cost basis of the corresponding class of financing receivable. (3) Excludes loans that were the subject of loss mitigation activity during the period that paid off, were repurchased or sold prior to period end. Also excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale. Loans may move from one category to another, as a result of the restructuring(s) they received during the period, in which case they appear in the table above only in the category that best reflects the cumulative effects of the loan restructurings received during the periods. (4) We have updated the presentation of repayment plans for the three months ended March 31, 2022. Previously, repayment plans were included within the table as “Forbearance and Repayment Plans,” however we have reclassified these as component of “Trial Modification and Repayment Plans” to conform with the current year presentation. The following tables summarize the financial impacts of loan modifications and payment deferrals for single-family HFI loans presented by class of financing receivable. The qualitative impact of forbearance plans, repayment plans, and trial modifications are discussed earlier in this footnote; these loss mitigation options are not included in the table below. For the Three Months Ended March 31, 2023 Weighted-Average Interest Rate Reduction Weighted-Average Term Extension Average Amount Capitalized as a Result of a Payment Delay (1) Loan by class of financing receivable (2) : 20- and 30-year or more, amortizing fixed-rate 1.08 % 175 $ 16,984 15-year or less, amortizing fixed-rate 0.74 54 14,558 Adjustable-rate 2.00 — 15,629 Other 1.54 185 20,269 For the Three Months Ended March 31, 2022 Weighted-Average Interest Rate Reduction Weighted-Average Term Extension Average Amount Capitalized as a Result of a Payment Delay (1) Loan by class of financing receivable (2) : 20- and 30-year or more, amortizing fixed-rate 1.59 % 178 $ 23,146 15-year or less, amortizing fixed-rate 0.88 52 20,664 Adjustable-rate 0.22 — 24,838 Other 1.62 186 24,759 (1) Represents the average amount of delinquency-related amounts that were capitalized as part of the loan balance. Amounts are in whole dollars. (2) Excludes the financial effects of modifications for loans that were paid off or otherwise liquidated as of period-end. The following table displays the amortized cost of HFI loans that defaulted during the period and had received a completed modification or payment deferral in the twelve months prior to the payment default. The substantial majority of loans that received a completed modification or a payment deferral during the first quarter of 2023 did not default during the period. For purposes of this disclosure, we define loans that had a payment default as single-family loans with completed modifications that are two or more months delinquent during the period; or multifamily loans with completed modifications that are one or more months delinquent during the period. For loans that receive a forbearance plan, repayment plan or trial modification, these loss mitigation options generally remain in default until the loan is no longer delinquent as a result of the payment of all past-due amounts or as a result of a loan modification or payment deferral. Therefore, forbearance plans, repayment plans and trial modifications are not included in default tables below. For the Three Months Ended March 31, 2023 Payment Delay as a Result of a Payment Deferral (Only) Payment Delay and Term Extension Payment Delay, Term Extension and Interest Rate Reduction Total (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 766 $ 200 $ 284 $ 1,250 15-year or less, amortizing fixed-rate 27 — — 27 Adjustable-rate 3 — 1 4 Other 14 4 14 32 Total single-family 810 204 299 1,313 Multifamily — — — — Total loans that subsequently defaulted (1) $ 810 $ 204 $ 299 $ 1,313 (1) Represents amortized cost as of period end. Excludes loans that liquidated either through foreclosure, deed-in-lieu of foreclosure, or a short sale. The substantial majority of loans that received a completed modification or payment deferral on or after January 1, 2022, the date we adopted ASU 2022-02, through March 31, 2022 did not default during the first quarter of 2022. See “Note 1, Summary of Significant Accounting Policies” in our 2022 Form 10-K for additional information about our adoption of ASU 2022-02. The following table displays an aging analysis of HFI mortgage loans that were restructured during the twelve months prior to March 31, 2023, presented by portfolio segment and class of financing receivable. As of March 31, 2023 (1) 30-59 Days Delinquent 60-89 Days Delinquent (2) Seriously Delinquent Total Delinquent Current Total (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 3,061 $ 2,180 $ 12,376 $ 17,617 $ 22,071 $ 39,688 15-year or less, amortizing fixed-rate 104 83 479 666 744 1,410 Adjustable-rate 15 9 58 82 78 160 Other 79 45 293 417 532 949 Total single-family loans modified 3,259 2,317 13,206 18,782 23,425 42,207 Multifamily — N/A 638 638 594 1,232 Total loans restructured (3) $ 3,259 $ 2,317 $ 13,844 $ 19,420 $ 24,019 $ 43,439 (1) The substantial majority of loans that received a completed modification or a payment deferral during the first quarter of 2023 were not delinquent. (2) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column. (3) Represents the amortized cost basis of the loan as of period end. The following table displays an aging analysis of HFI mortgage loans that entered into a forbearance plan, repayment plan or trial modification on or after January 1, 2022, the date we adopted ASU 2022-02, through March 31, 2022 presented by portfolio segment and class of financing receivable. The substantial majority of loans that received a completed modification or a payment deferral during the first quarter of 2022 were not delinquent. As of March 31, 2022 30-59 Days Delinquent 60-89 Days Delinquent (1) Seriously Delinquent Total Delinquent Current Total (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 1,765 $ 2,048 $ 16,040 $ 19,853 $ 1,667 $ 21,520 15-year or less, amortizing fixed-rate 98 108 715 921 121 1,042 Adjustable-rate 8 9 119 136 15 151 Other 35 42 507 584 39 623 Total single-family loans modified 1,906 2,207 17,381 21,494 1,842 23,336 Multifamily — N/A 243 243 24 267 Total loans restructured (2) $ 1,906 $ 2,207 $ 17,624 $ 21,737 $ 1,866 $ 23,603 (1) Multifamily loans 60-89 days delinquent are included in the seriously delinquent column. (2) Represents the amortized cost basis of the loan as of period end. |
Financing Receivable, Nonaccrual | The table below displays the accrued interest receivable written off through the reversal of interest income for nonaccrual loans. For the Three Months Ended March 31, 2023 2022 (Dollars in millions) Accrued interest receivable written off through the reversal of interest income: Single-family $ 79 $ 17 Multifamily 2 1 The tables below include the amortized cost of and interest income recognized on our HFI single-family and multifamily loans on nonaccrual status by class, excluding loans for which we have elected the fair value option. As of For the Three Months Ended March 31, 2023 March 31, 2023 December 31, 2022 Amortized Cost Total Interest Income Recognized (1) (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 14,172 $ 9,447 $ 7 15-year or less, amortizing fixed-rate 429 200 — Adjustable-rate 75 53 — Other 601 617 2 Total single-family 15,277 10,317 9 Multifamily 1,541 2,200 29 Total nonaccrual loans $ 16,818 $ 12,517 $ 38 As of For the Three Months Ended March 31, 2022 March 31, 2022 December 31, 2021 Amortized Cost Total Interest Income Recognized (1) (Dollars in millions) Single-family: 20- and 30-year or more, amortizing fixed-rate $ 13,692 $ 17,599 $ 47 15-year or less, amortizing fixed-rate 331 430 1 Adjustable-rate 84 107 — Other 913 1,101 3 Total single-family 15,020 19,237 51 Multifamily 1,258 1,259 5 Total nonaccrual loans $ 16,278 $ 20,496 $ 56 (1) Interest income recognized includes amortization of any deferred cost basis adjustments while the loan is performing and that is not reversed when the loan is placed on nonaccrual status. For loans negatively impacted by the COVID-19 pandemic, also includes amounts accrued but not collected prior to the loan being placed on nonaccrual status. For single-family, interest income recognized includes payments received on nonaccrual loans held as of period end. |
Allowance for Loan Losses (Tabl
Allowance for Loan Losses (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Receivables [Abstract] | |
Financing Receivable, Allowance for Credit Loss | The following table displays changes in our allowance for single-family loans, multifamily loans and total allowance for loan losses. The benefit or provision for loan losses excludes provision for accrued interest receivable losses, guaranty loss reserves and credit losses on available-for-sale (“AFS”) debt securities. Cumulatively, these amounts are recognized as “Provision for credit losses” in our condensed consolidated statements of operations and comprehensive income. For the Three Months Ended March 31, 2023 2022 (Dollars in millions) Single-family allowance for loan losses: Beginning balance $ (9,443) $ (4,950) Benefit (provision) for loan losses 4 (282) Write-offs 42 27 Recoveries (76) (33) Other (6) (3) Ending balance $ (9,479) $ (5,241) Multifamily allowance for loan losses: Beginning balance $ (1,904) $ (679) Benefit (provision) for loan losses (180) 28 Write-offs 237 — Recoveries (9) (7) Ending balance $ (1,856) $ (658) Total allowance for loan losses: Beginning balance $ (11,347) $ (5,629) Benefit (provision) for loan losses (176) (254) Write-offs 279 27 Recoveries (85) (40) Other (6) (3) Ending balance $ (11,335) $ (5,899) |
Investments in Securities (Tabl
Investments in Securities (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments In Trading Securities | The following table displays our investments in trading securities. As of March 31, 2023 December 31, 2022 (Dollars in millions) Mortgage-related securities (includes $410 million and $427 million, respectively, related to consolidated trusts) $ 2,852 $ 3,211 Non-mortgage-related securities (includes $4.1 billion and $3.9 billion, respectively, pledged as collateral) (1) 47,558 46,918 Total trading securities $ 50,410 $ 50,129 (1) Primarily includes U.S. Treasury securities. |
Schedule of Trading Securities Gains (Losses), Net | The following table displays information about our net trading gains (losses). For the Three Months Ended March 31, 2023 2022 (Dollars in millions) Net trading gains (losses) $ 746 $ (1,770) Net trading gains (losses) recognized in the period related to securities still held at period end 799 (1,714) |
Schedule of Available-for-sale Securities Reconciliation | The following tables display the amortized cost, allowance for credit losses, gross unrealized gains and losses in accumulated other comprehensive income (loss) (“AOCI”), and fair value by major security type for AFS securities. As of March 31, 2023 Total Amortized Cost Allowance for Credit Losses Gross Unrealized Gains in AOCI Gross Unrealized Losses in AOCI Total Fair Value (Dollars in millions) Agency securities (1) $ 435 $ — $ 3 $ (24) $ 414 Other mortgage-related securities 260 (3) 8 — 265 Total $ 695 $ (3) $ 11 $ (24) $ 679 As of December 31, 2022 Total Amortized Cost Allowance for Credit Losses Gross Unrealized Gains in AOCI Gross Unrealized Losses in AOCI Total Fair Value (Dollars in millions) Agency securities (1) $ 445 $ — $ 3 $ (22) $ 426 Other mortgage-related securities 269 (3) 5 (1) 270 Total $ 714 $ (3) $ 8 $ (23) $ 696 (1) Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae. |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | The following tables display additional information regarding gross unrealized losses and fair value by major security type for AFS securities in an unrealized loss position, excluding allowance for credit losses. As of March 31, 2023 December 31, 2022 Less Than 12 Consecutive Months 12 Consecutive Months or Longer Less Than 12 Consecutive Months 12 Consecutive Months or Longer Gross Unrealized Losses in AOCI Fair Value Gross Unrealized Losses in AOCI Fair Value Gross Unrealized Losses in AOCI Fair Value Gross Unrealized Losses in AOCI Fair Value (Dollars in millions) Agency securities $ (14) $ 144 $ (10) $ 155 $ (12) $ 161 $ (10) $ 159 Other mortgage-related securities — — — — (1) 8 — — Total $ (14) $ 144 $ (10) $ 155 $ (13) $ 169 $ (10) $ 159 |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following tables display net unrealized gains and losses on AFS securities and other amounts recorded within our accumulated other comprehensive income, net of tax. As of March 31, 2023 December 31, 2022 (Dollars in millions) Net unrealized gains (losses) on AFS securities for which we have not recorded an allowance for credit losses $ (11) $ (13) Other 46 48 Accumulated other comprehensive income $ 35 $ 35 |
Investments Classified by Contractual Maturity Date | The following table displays the amortized cost and fair value of our AFS securities by major security type and remaining contractual maturity, assuming no principal prepayments. The contractual maturity of mortgage-backed securities is not a reliable indicator of their expected life because borrowers generally have the right to prepay their obligations at any time. As of March 31, 2023 Total Carrying Amount (1) Total One Year or Less After One Year Through Five Years After Five Years Through Ten Years After Ten Years Net Carrying Amount (1) Fair Value Net Carrying Amount (1) Fair Value Net Carrying Amount (1) Fair Value Net Carrying Amount (1) Fair Value (Dollars in millions) Agency securities $ 435 $ 414 $ — $ — $ 3 $ 3 $ 20 $ 19 $ 412 $ 392 Other mortgage-related securities 257 265 1 1 16 17 16 17 224 230 Total $ 692 $ 679 $ 1 $ 1 $ 19 $ 20 $ 36 $ 36 $ 636 $ 622 (1) Net carrying amount consists of amortized cost, net of allowance for credit losses on AFS debt securities but does not include any unrealized fair value gains or losses. |
Financial Guarantees (Tables)
Financial Guarantees (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Guarantees [Abstract] | |
Schedule of Guarantor Obligations | The following table displays our off-balance sheet maximum exposure, guaranty obligation recognized in our condensed consolidated balance sheets and the potential maximum recovery from third parties through available credit enhancements and recourse related to our financial guarantees. As of March 31, 2023 December 31, 2022 Maximum Exposure Guaranty Obligation Maximum Recovery (1) Maximum Exposure Guaranty Obligation Maximum Recovery (1) (Dollars in millions) Unconsolidated Fannie Mae MBS $ 3,067 $ 15 $ 2,989 $ 3,139 $ 15 $ 3,058 Other guaranty arrangements (2) 9,459 75 2,000 9,573 79 2,012 Total $ 12,526 $ 90 $ 4,989 $ 12,712 $ 94 $ 5,070 (1) Recoverability of such credit enhancements and recourse is subject to, among other factors, the ability of our mortgage insurers and the U.S. government, as a financial guarantor, to meet their obligations to us. For information on our mortgage insurers, see “Note 10, Concentrations of Credit Risk.” (2) Primarily consists of credit enhancements and long-term standby commitments. |
Short-Term and Long-Term Debt (
Short-Term and Long-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Debt Disclosure [Abstract] | |
Short-Term Debt | The following table displays our outstanding short-term debt (debt with an original contractual maturity of one year or less) and weighted-average interest rates of this debt. As of March 31, 2023 December 31, 2022 Outstanding Weighted- Average Interest Rate (1) Outstanding Weighted- Average Interest Rate (1) (Dollars in millions) Short-term debt of Fannie Mae $ 13,967 4.58 % $ 10,204 3.93 % (1) Includes the effects of discounts, premiums and other cost basis adjustments. |
Long-Term Debt | The following table displays our outstanding long-term debt. As of March 31, 2023 December 31, 2022 Maturities Outstanding (1) Weighted- Average Interest Rate (2) Maturities Outstanding (1) Weighted- Average Interest Rate (2) (Dollars in millions) Senior fixed: Benchmark notes and bonds 2023 - 2030 $ 70,682 2.36 % 2023 - 2030 $ 72,261 2.35 % Medium-term notes (3) 2023 - 2031 42,344 1.03 2023 - 2031 39,476 0.78 Other (4) 2023 - 2038 6,817 4.03 2023 - 2038 6,778 4.00 Total senior fixed 119,843 2.00 118,515 1.94 Senior floating: Connecticut Avenue Securities (5) 2023 - 2031 5,104 9.75 2023 - 2031 5,207 8.80 Other (6) 2037 250 9.68 2037 242 10.00 Total senior floating 5,354 9.75 5,449 8.86 Total long-term debt of Fannie Mae (7) 125,197 2.32 123,964 2.23 Debt of consolidated trusts 2023 - 2062 4,091,602 2.56 2023 - 2062 4,087,720 2.47 Total long-term debt $ 4,216,799 2.55 % $ 4,211,684 2.47 % (1) Outstanding debt balance consists of the unpaid principal balance, premiums and discounts, fair value adjustments, hedge-related basis adjustments, and other cost basis adjustments. (2) Excludes the effects of fair value adjustments and hedge-related basis adjustments. (3) Includes long-term debt with an original contractual maturity of greater than 1 year and up to 10 years, excluding zero-coupon debt. (4) Includes other long-term debt with an original contractual maturity of greater than 10 years and foreign exchange bonds. (5) Consists of CAS debt issued prior to November 2018, a portion of which is reported at fair value. (6) Consists of structured debt instruments that are reported at fair value. (7) Includes unamortized discounts and premiums, fair value adjustments, hedge-related cost basis adjustments, and other cost basis adjustments in a net discount position of $4.6 billion and $5.1 billion as of March 31, 2023 and December 31, 2022, respectively. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Notional and Fair Value Position | The following table displays the notional amount and estimated fair value of our asset and liability derivative instruments, including derivative instruments designated as hedges. As of March 31, 2023 As of December 31, 2022 Notional Amount Estimated Fair Value Notional Amount Estimated Fair Value Asset Derivatives Liability Derivatives Asset Derivatives Liability Derivatives (Dollars in millions) Risk management derivatives designated as hedging instruments: Swaps: (1) Pay-fixed $ 3,996 $ — $ — $ 5,582 $ — $ — Receive-fixed 44,766 — — 33,276 — — Total risk management derivatives designated as hedging instruments 48,762 — — 38,858 — — Risk management derivatives not designated as hedging instruments: Swaps: (1) Pay-fixed 120,646 — — 97,808 — — Receive-fixed 113,353 20 (3,867) 99,799 1 (4,525) Basis 41,250 24 — 41,250 25 — Foreign currency 306 — (87) 300 — (98) Swaptions: (1) Pay-fixed 5,816 164 (11) 5,286 204 (18) Receive-fixed 2,666 6 (45) 2,136 7 (45) Total risk management derivatives not designated as hedging instruments 284,037 214 (4,010) 246,579 237 (4,686) Netting adjustment (2) — (164) 3,910 — (154) 4,662 Total risk management derivatives portfolio 332,799 50 (100) 285,437 83 (24) Mortgage commitment derivatives: Mortgage commitments to purchase whole loans 4,230 14 (2) 2,596 4 (8) Forward contracts to purchase mortgage-related securities 20,647 83 (12) 17,808 50 (57) Forward contracts to sell mortgage-related securities 37,973 3 (129) 35,302 35 (13) Total mortgage commitment derivatives 62,850 100 (143) 55,706 89 (78) Credit enhancement derivatives 24,755 3 (65) 23,784 3 (66) Derivatives at fair value $ 420,404 $ 153 $ (308) $ 364,927 $ 175 $ (168) (1) Centrally cleared derivatives have no ascribable fair value because the positions are settled daily. |
Fair Value Gain (Loss), Net | The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives. For the Three Months Ended March 31, 2023 2022 (Dollars in millions) Risk management derivatives: Swaps: Pay-fixed $ (1,590) $ 2,125 Receive-fixed 1,572 (2,260) Basis 13 (68) Foreign currency 8 (24) Swaptions: Pay-fixed (33) 44 Receive-fixed (1) (3) Futures — — Net contractual interest expense on interest-rate swaps (178) (11) Total risk management derivatives fair value losses, net (209) (197) Mortgage commitment derivatives fair value gains (losses), net (114) 1,572 Credit enhancement derivatives fair value losses, net (15) (22) Total derivatives fair value gains (losses), net $ (338) $ 1,353 |
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location | The following table displays the effect of fair value hedge accounting on our condensed consolidated statements of operations and comprehensive income, including gains and losses recognized on fair value hedging relationships. For the Three Months Ended March 31, 2023 2022 Interest Income: Mortgage Loans Interest Expense: Long-Term Debt Interest Income: Mortgage Loans Interest Expense: Long-Term Debt (Dollars in millions) Total amounts presented in our condensed consolidated statements of operations and comprehensive income $ 32,137 $ (26,665) $ 27,142 $ (19,940) Gains (losses) from fair value hedging relationships: Mortgage loans HFI and related interest-rate contracts: Hedged items $ 177 $ — $ (238) $ — Discontinued hedge related basis adjustment amortization 11 — — — Derivatives designated as hedging instruments (214) — 227 — Interest accruals on hedging instruments 26 — (8) — Debt of Fannie Mae and related interest-rate contracts: Hedged items — (239) — 1,623 Discontinued hedge-related basis adjustment amortization — (196) — (65) Derivatives designated as hedging instruments — 432 — (1,524) Interest accruals on derivative hedging instruments — (229) — 47 Total effect of fair value hedges $ — $ (232) $ (19) $ 81 The following table displays the carrying amounts of the hedged items that have been in qualifying fair value hedges recorded in our condensed consolidated balance sheets, including the hedged item’s cumulative basis adjustments and the closed portfolio balances under the portfolio layer method. The hedged item carrying amounts and total basis adjustments include both open and discontinued hedges. The amortized cost and designated UPB consists only of open hedges as of March 31, 2023 and December 31, 2022. As of March 31, 2023 Carrying Amount Assets (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio of Mortgage Loans Under Portfolio Layer Method Total Basis Adjustments (1)(2) Remaining Adjustments - Discontinued Hedge Total Amortized Cost Designated UPB (Dollars in millions) Mortgage loans HFI $ 330,541 $ (440) $ (440) $ 132,035 $ 3,787 Debt of Fannie Mae (74,239) 4,278 4,278 N/A N/A As of December 31, 2022 Carrying Amount Assets (Liabilities) Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount Closed Portfolio of Mortgage Loans Under Portfolio Layer Method Total Basis Adjustments (1)(2) Remaining Adjustments - Discontinued Hedge Total Amortized Cost Designated UPB (Dollars in millions) Mortgage loans HFI $ 293,788 $ (628) $ (628) $ 98,377 $ 5,187 Debt of Fannie Mae (73,790) 4,713 4,713 N/A N/A (1) No basis adjustment associated with open hedges, as all hedges are designated at the close of business with a one-day term. (2) Based on the unamortized balance of the hedge-related cost basis. |
Segment Reporting (Tables)
Segment Reporting (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Segment Reporting [Abstract] | |
Segment results | The following table displays our segment results. For the Three Months Ended March 31, 2023 2022 Single-Family Multifamily Total Single-Family Multifamily Total (Dollars in millions) Net interest income (1) $ 5,672 $ 1,114 $ 6,786 $ 6,255 $ 1,144 $ 7,399 Fee and other income (2) 48 15 63 61 22 83 Net revenues 5,720 1,129 6,849 6,316 1,166 7,482 Investment gains (losses), net (3) (71) 4 (67) (66) (36) (102) Fair value gains (losses), net (4) 166 38 204 527 (47) 480 Administrative expenses (720) (148) (868) (683) (125) (808) Benefit (provision) for credit losses (5) 47 (179) (132) (270) 30 (240) TCCA fees (6) (855) — (855) (824) — (824) Credit enhancement expense (7) (287) (54) (341) (210) (68) (278) Change in expected credit enhancement recoveries (8) 95 25 120 69 (9) 60 Other expenses, net (116) (14) (130) (164) (33) (197) Income before federal income taxes 3,979 801 4,780 4,695 878 5,573 Provision for federal income taxes (847) (161) (1,008) (986) (179) (1,165) Net income $ 3,132 $ 640 $ 3,772 $ 3,709 $ 699 $ 4,408 (1) Net interest income primarily consists of guaranty fees received as compensation for assuming and managing the credit risk on loans underlying Fannie Mae MBS held by third parties for the respective business segment, and the difference between the interest income earned on the respective business segment’s mortgage assets in our retained mortgage portfolio and the interest expense associated with the debt funding those assets. Revenues from single-family guaranty fees include revenues generated by the 10 basis point increase in guaranty fees pursuant to the TCCA, the incremental revenue from which is remitted to Treasury and not retained by us. Also includes yield maintenance revenue we recognized on the prepayment of multifamily loans. (2) Single-family fee and other income primarily consists of compensation for engaging in structured transactions and providing other lender services. Multifamily fee and other income consists of fees associated with Multifamily business activities, including credit enhancements for tax-exempt multifamily housing revenue bonds. (3) Single-family investment gains and losses primarily consist of gains and losses on the sale of mortgage assets. Multifamily investment gains and losses primarily consist of gains and losses on resecuritization activity. (4) Single-family fair value gains and losses primarily consist of fair value gains and losses on risk management and mortgage commitment derivatives, trading securities, fair value option debt, and other financial instruments associated with our single-family guaranty book of business. Multifamily fair value gains and losses primarily consist of fair value gains and losses on MBS commitment derivatives, trading securities and other financial instruments associated with our multifamily guaranty book of business. (5) Benefit (provision) for credit losses is based on loans underlying the segment’s guaranty book of business. (6) Consists of the portion of our single-family guaranty fees that is remitted to Treasury pursuant to the TCCA. (7) Single-family credit enhancement expense consists of costs associated with our freestanding credit enhancements, which include primarily costs associated with our Credit Insurance Risk Transfer TM (“CIRT TM ”), Connecticut Avenue Securities ® (“CAS”) and enterprise-paid mortgage insurance (“EPMI”) programs. Multifamily credit enhancement expense primarily consists of costs associated with our Multifamily CIRT TM (“MCIRT TM ”) and Multifamily Connecticut Avenue Securities TM (“MCAS TM ”) programs as well as amortization expense for certain lender risk-sharing programs. Excludes CAS transactions accounted for as debt instruments and credit risk transfer programs accounted for as derivative instruments. (8) Consists of change in benefits recognized from our freestanding credit enhancements, primarily from our CAS and CIRT programs as well as certain lender risk-sharing arrangements, including our multifamily Delegated Underwriting and Servicing (“DUS ® |
Concentrations of Credit Risk (
Concentrations of Credit Risk (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Single-family | |
Concentration Risk [Line Items] | |
Schedule of Delinquency Status Guaranty Book of Business | The following tables display the delinquency status and serious delinquency rates for specified loan categories of our single-family conventional guaranty book of business. As of March 31, 2023 December 31, 2022 30 Days Delinquent 60 Days Delinquent Seriously Delinquent (1) 30 Days Delinquent 60 Days Delinquent Seriously Delinquent (1) Percentage of single-family conventional guaranty book of business based on UPB 0.65 % 0.17 % 0.55 % 0.84 % 0.20 % 0.60 % Percentage of single-family conventional loans based on loan count 0.74 0.19 0.59 0.96 0.23 0.65 |
Schedule of Risk Characteristics Guaranty Book of Business | As of March 31, 2023 December 31, 2022 Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB Serious Delinquency Rate (1) Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB Serious Delinquency Rate (1) Estimated mark-to-market LTV ratio: 80.01% to 90% 6 % 0.68 % 5 % 0.68 % 90.01% to 100% 3 0.53 3 0.40 Greater than 100% * 1.67 * 4.04 Geographical distribution: California 19 0.43 19 0.46 Florida 6 0.81 6 0.90 Illinois 3 0.79 3 0.86 New Jersey 3 0.76 3 0.85 New York 5 1.02 5 1.12 All other states 64 0.55 64 0.62 Vintages: 2008 and prior 2 2.62 2 2.78 2009-2023 98 0.48 98 0.53 * Represents less than 0.5% of single-family conventional guaranty book of business. |
Schedule of Risk in Force Mortgage Insurance Coverage | The following table displays our total mortgage insurance risk in force by primary and pool insurance, as well as the total risk-in-force mortgage insurance coverage as a percentage of the single-family conventional guaranty book of business. As of March 31, 2023 December 31, 2022 Risk in Force Percentage of Single-Family Conventional Guaranty Book of Business Risk in Force Percentage of Single-Family Conventional Guaranty Book of Business (Dollars in millions) Mortgage insurance risk in force: Primary mortgage insurance $ 194,232 $ 193,549 Pool mortgage insurance 236 237 Total mortgage insurance risk in force $ 194,468 5% $ 193,786 5% |
Schedule of Risk in Force Mortgage Insurance Coverage, by Counterparty | The table below displays our mortgage insurer counterparties that provided approximately 10% or more of the risk-in-force mortgage insurance coverage on mortgage loans in our single-family conventional guaranty book of business. Percentage of Risk-in-Force Coverage by Mortgage Insurer As of March 31, 2023 December 31, 2022 Counterparty: (1) Mortgage Guaranty Insurance Corp. 19 % 19 % Arch Capital Group Ltd. 18 18 Radian Guaranty, Inc. 17 17 Enact Mortgage Insurance Corp. 17 17 Essent Guaranty, Inc. 16 16 National Mortgage Insurance Corp. 12 12 Others 1 1 Total 100 % 100 % (1) Insurance coverage amounts provided for each counterparty may include coverage provided by affiliates and subsidiaries of the counterparty. |
Schedules of Concentration of Risk, by Risk Factor | The table below displays the percentage of our single-family guaranty book of business serviced by our top five depository single-family mortgage servicers and top five non-depository single-family mortgage servicers (i.e., servicers that are not insured depository institutions) based on unpaid principal balance. There were no servicers that serviced 10% or more of our single-family guaranty book of business as of March 31, 2023 or December 31, 2022. Percentage of Single-Family As of March 31, 2023 December 31, 2022 Top five depository servicers 23 % 22 % Top five non-depository servicers 23 23 Total 46 % 45 % |
Multifamily | |
Concentration Risk [Line Items] | |
Schedule of Delinquency Status Guaranty Book of Business | The following tables display the delinquency status and serious delinquency rates for specified loan categories of our multifamily guaranty book of business. As of March 31, 2023 (1) December 31, 2022 (1) 30 Days Delinquent Seriously Delinquent (2) 30 Days Delinquent Seriously Delinquent (2) Percentage of multifamily guaranty book of business 0.06 % 0.35 % 0.04 % 0.24 % |
Schedule of Risk Characteristics Guaranty Book of Business | As of March 31, 2023 December 31, 2022 Percentage of Multifamily Guaranty Book of Business (1) Serious Delinquency Rate (2)(3) Percentage of Multifamily Guaranty Book of Business (1) Serious Delinquency Rate (2)(3) Original LTV ratio: Greater than 80% 1 % 0.22 % 1 % 0.85 % Less than or equal to 80% 99 0.35 99 0.24 Current DSCR below 1.0 (4) 3 7.89 3 3.88 (1) Calculated based on the aggregate unpaid principal balance of multifamily loans for each category divided by the aggregate unpaid principal balance of loans in our multifamily guaranty book of business. (2) Consists of multifamily loans that were 60 days or more past due as of the dates indicated. (3) Calculated based on the unpaid principal balance of multifamily loans that were seriously delinquent divided by the aggregate unpaid principal balance of multifamily loans for each category included in our multifamily guaranty book of business. (4) Our estimates of current DSCRs are based on the latest available income information covering a 12 month period, from quarterly and annual statements for these properties including the related debt service. |
Schedules of Concentration of Risk, by Risk Factor | The table below displays the percentage of our multifamily guaranty book of business serviced by our top five multifamily mortgage servicers, and identifies two servicers that serviced 10% or more of our multifamily guaranty book of business based on unpaid principal balance. Percentage of Multifamily As of March 31, 2023 December 31, 2022 Walker & Dunlop, Inc. 13 % 13 % Wells Fargo Bank, N.A. (together with its affiliates) 11 11 Remaining top five servicers 24 24 Total 48 % 48 % |
Netting Arrangements (Tables)
Netting Arrangements (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Offsetting [Abstract] | |
Offsetting | The tables below display information related to derivatives, securities purchased under agreements to resell, and securities sold under agreements to repurchase, which are subject to an enforceable master netting arrangement or similar agreement that are either offset or not offset in our condensed consolidated balance sheets. As of March 31, 2023 Gross Amount Offset (1) Net Amount Presented in our Condensed Consolidated Balance Sheets Amounts Not Offset in our Condensed Consolidated Balance Sheets Gross Amount Financial Instruments (2) Collateral (3) Net Amount (Dollars in millions) Assets: OTC risk management derivatives $ 214 $ (165) $ 49 $ — $ — $ 49 Cleared risk management derivatives — 1 1 — — 1 Mortgage commitment derivatives 100 — 100 (55) (1) 44 Total derivative assets 314 (164) 150 (4) (55) (1) 94 Securities purchased under agreements to resell (5) 81,550 — 81,550 — (81,550) — Total assets $ 81,864 $ (164) $ 81,700 $ (55) $ (81,551) $ 94 Liabilities: OTC risk management derivatives $ (4,010) $ 4,007 $ (3) $ — $ — $ (3) Cleared risk management derivatives — (97) (97) — 97 — Mortgage commitment derivatives (143) — (143) 55 — (88) Total liabilities $ (4,153) $ 3,910 $ (243) (4) $ 55 $ 97 $ (91) As of December 31, 2022 Gross Amount Offset (1) Net Amount Presented in our Condensed Consolidated Balance Sheets Amounts Not Offset in our Condensed Consolidated Balance Sheets Gross Amount Financial Instruments (2) Collateral (3) Net Amount (Dollars in millions) Assets: OTC risk management derivatives $ 237 $ (234) $ 3 $ — $ — $ 3 Cleared risk management derivatives — 80 80 — — 80 Mortgage commitment derivatives 89 — 89 (50) (12) 27 Total derivative assets 326 (154) 172 (4) (50) (12) 110 Securities purchased under agreements to resell (5) 69,415 — 69,415 — (69,415) — Total assets $ 69,741 $ (154) $ 69,587 $ (50) $ (69,427) $ 110 Liabilities: OTC risk management derivatives $ (4,686) $ 4,662 $ (24) $ — $ — $ (24) Cleared risk management derivatives — — — — — — Mortgage commitment derivatives (78) — (78) 50 7 (21) Total liabilities $ (4,764) $ 4,662 $ (102) (4) $ 50 $ 7 $ (45) (1) Represents the effect of the right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received and accrued interest. (2) Mortgage commitment derivative amounts reflect where we have recognized both an asset and a liability with the same counterparty under an enforceable master netting arrangement but we have not elected to offset the related amounts in our condensed consolidated balance sheets. (3) Represents collateral received that has not been recognized and not offset in our condensed consolidated balance sheets, as well as collateral posted which has been recognized but not offset in our condensed consolidated balance sheets. Does not include collateral held or posted in excess of our exposure. The fair value of non-cash collateral we pledged which the counterparty was permitted to sell or repledge was $2.2 billion and $2.1 billion as of March 31, 2023 and December 31, 2022, respectively. The fair value of non-cash collateral received was $81.6 billion and $69.5 billion, of which $41.5 billion and $28.7 billion could be sold or repledged as of March 31, 2023 and December 31, 2022, respectively. None of the underlying collateral was sold or repledged as of March 31, 2023 or December 31, 2022. (4) Excludes derivative assets of $3 million as of March 31, 2023 and December 31, 2022, and derivative liabilities of $65 million and $66 million recognized in our condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively, that were not subject to enforceable master netting arrangements. |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Fair Value Disclosures [Abstract] | |
Recurring Changes in Fair Value | The following tables display our assets and liabilities measured in our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments for which we have elected the fair value option. Fair Value Measurements as of March 31, 2023 Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Netting Adjustment (1) Estimated Fair Value (Dollars in millions) Recurring fair value measurements: Assets: Trading securities: Mortgage-related $ — $ 2,820 $ 32 $ — $ 2,852 Non-mortgage-related (2) 47,537 21 — — 47,558 Total trading securities 47,537 2,841 32 — 50,410 Available-for-sale securities: Agency (3) — 52 362 — 414 Other mortgage-related — 5 260 — 265 Total available-for-sale securities — 57 622 — 679 Mortgage loans — 3,073 526 — 3,599 Derivative assets — 290 27 (164) 153 Total assets at fair value $ 47,537 $ 6,261 $ 1,207 $ (164) $ 54,841 Liabilities: Long-term debt: Of Fannie Mae $ — $ 882 $ 250 $ — $ 1,132 Of consolidated trusts — 15,839 133 — 15,972 Total long-term debt — 16,721 383 — 17,104 Derivative liabilities — 4,153 65 (3,910) 308 Total liabilities at fair value $ — $ 20,874 $ 448 $ (3,910) $ 17,412 Fair Value Measurements as of December 31, 2022 Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Netting Adjustment (1) Estimated Fair Value (Dollars in millions) Recurring fair value measurements: Assets: Trading securities: Mortgage-related $ — $ 3,164 $ 47 $ — $ 3,211 Non-mortgage-related (2) 46,898 20 — — 46,918 Total trading securities 46,898 3,184 47 — 50,129 Available-for-sale securities: Agency (3) — 55 371 — 426 Other mortgage-related — 7 263 — 270 Total available-for-sale securities — 62 634 — 696 Mortgage loans — 3,102 543 — 3,645 Derivative assets — 300 29 (154) 175 Total assets at fair value $ 46,898 $ 6,648 $ 1,253 $ (154) $ 54,645 Liabilities: Long-term debt: Of Fannie Mae $ — $ 919 $ 242 $ — $ 1,161 Of consolidated trusts — 16,124 136 — 16,260 Total long-term debt — 17,043 378 — 17,421 Derivative liabilities — 4,764 66 (4,662) 168 Total liabilities at fair value $ — $ 21,807 $ 444 $ (4,662) $ 17,589 (1) Derivative contracts are reported on a gross basis by level. The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received. (2) Primarily includes U.S. Treasury securities. (3) Agency securities consist of securities issued by Fannie Mae, Freddie Mac, and Ginnie Mae. |
Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | The following tables display a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3). The tables also display gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized in our condensed consolidated statements of operations and comprehensive income for Level 3 assets and liabilities. Fair Value Measurements Using Significant Unobservable Inputs (Level 3) For the Three Months Ended March 31, 2023 Total Gains (Losses) (Realized/Unrealized) Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2023 (4)(5) Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2023 (1) Balance, December 31, 2022 Included in Net Income Included in Total OCI (Loss) (1) Purchases (2) Sales (2) Issues (3) Settlements (3) Transfers out of Level 3 Transfers into Balance, March 31, 2023 (Dollars in millions) Trading securities: Mortgage-related $ 47 $ (6) (5)(6) $ — $ — $ — $ — $ — $ (9) $ — $ 32 $ (4) $ — Available-for-sale securities: Agency $ 371 $ — $ (1) $ — $ — $ — $ (8) $ — $ — $ 362 $ — $ (1) Other mortgage-related 263 2 4 — — — (10) — 1 260 — 3 Total available-for-sale securities $ 634 $ 2 (6)(7) $ 3 $ — $ — $ — $ (18) $ — $ 1 $ 622 $ — $ 2 Mortgage loans $ 543 $ 7 (5)(6) $ — $ — $ — $ — $ (25) $ (9) $ 10 $ 526 $ 6 $ — Net derivatives (37) (6) (5) — — — — 5 — — (38) (1) — Long-term debt: Of Fannie Mae $ (242) $ (8) (5) $ — $ — $ — $ — $ — $ — $ — $ (250) $ (8) $ — Of consolidated trusts (136) (2) (5)(6) — — — — 5 — — (133) (2) — Total long-term debt $ (378) $ (10) $ — $ — $ — $ — $ 5 $ — $ — $ (383) $ (10) $ — Fair Value Measurements Using Significant Unobservable Inputs (Level 3) For the Three Months Ended March 31, 2022 Total Gains (Losses) (Realized/Unrealized) Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2022 (4)(5) Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held as of March 31, 2022 (1) Balance, December 31, 2021 Included in Net Income Included in Total OCI (Loss) (1) Purchases (2) Sales (2) Issues (3) Settlements (3) Transfers out of Level 3 Transfers into Balance, March 31, 2022 (Dollars in millions) Trading securities: Mortgage-related $ 57 $ (6) (5)(6) $ — $ — $ — $ — $ — $ (9) $ 5 $ 47 $ (4) $ — Available-for-sale securities: Agency $ 431 $ 1 $ (4) $ — $ — $ — $ (10) $ — $ — $ 418 $ — $ (3) Other mortgage-related 322 (8) (1) — — — (3) (2) 1 309 — (1) Total available-for-sale securities $ 753 $ (7) (6)(7) $ (5) $ — $ — $ — $ (13) $ (2) $ 1 $ 727 $ — $ (4) Mortgage loans $ 755 $ (25) (5)(6) $ — $ — $ — $ — $ (41) $ (44) $ 23 $ 668 $ (21) $ — Net derivatives 131 (82) (5) — — — — 8 — — 57 (74) — Long-term debt: Of Fannie Mae $ (373) $ 66 (5) $ — $ — $ — $ — $ — $ — $ — $ (307) $ 66 $ — Of consolidated trusts (95) 2 (5)(6) — — — (86) 18 1 (1) (161) 2 — Total long-term debt $ (468) $ 68 $ — $ — $ — $ (86) $ 18 $ 1 $ (1) $ (468) $ 68 $ — (1) Gains (losses) included in “Other comprehensive loss” in our condensed consolidated statements of operations and comprehensive income. (2) Purchases and sales include activity related to the consolidation and deconsolidation of assets of securitization trusts. (3) Issues and settlements include activity related to the consolidation and deconsolidation of liabilities of securitization trusts. (4) Amount represents temporary changes in fair value. Amortization, accretion and the impairment of credit losses are not considered unrealized and are not included in this amount. (5) Gains (losses) are included in “Fair value gains, net” in our condensed consolidated statements of operations and comprehensive income. (6) Gains (losses) included in “Net interest income” in our condensed consolidated statements of operations and comprehensive income includes amortization of cost basis adjustments. (7) Gains (losses) are included in “Investment losses, net” in our condensed consolidated statements of operations and comprehensive income. |
Level 3 Assets Measured on Nonrecurring Basis | The following tables display valuation techniques and the range and the weighted average of significant unobservable inputs for our Level 3 assets and liabilities measured at fair value on a recurring basis, excluding instruments for which we have elected the fair value option. Changes in these unobservable inputs can result in significantly higher or lower fair value measurements of these assets and liabilities as of the reporting date. Fair Value Measurements as of March 31, 2023 Fair Value Significant Valuation Techniques Significant Unobservable Inputs (1) Range (1) Weighted - Average (1)(2) (Dollars in millions) Recurring fair value measurements: Trading securities: Mortgage-related (3) $ 32 Various Available-for-sale securities: Agency (3) 362 Consensus Other mortgage-related 138 Discounted Cash Flow Spreads (bps) 530.0 - 560.0 545.5 97 Single Vendor 25 Various Total other mortgage-related 260 Total available-for-sale securities $ 622 Net derivatives $ 25 Dealer Mark (63) Discounted Cash Flow Total net derivatives $ (38) Fair Value Measurements as of December 31, 2022 Fair Value Significant Valuation Techniques Significant Unobservable Inputs (1) Range (1) Weighted - Average (1)(2) (Dollars in millions) Recurring fair value measurements: Trading securities: Mortgage-related (3) $ 47 Various Available-for-sale securities: Agency (3) 371 Consensus Other mortgage-related 142 Discounted Cash Flow Spreads (bps) 531.0 - 582.0 557.7 96 Single Vendor 25 Various Total other mortgage-related 263 Total available-for-sale securities $ 634 Net derivatives $ 25 Dealer Mark (62) Discounted Cash Flow Total net derivatives $ (37) (1) Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated. Where we have disclosed unobservable inputs for consensus and single vendor techniques, those inputs are based on our validations performed at the security level using discounted cash flows. (2) Unobservable inputs were weighted by the relative fair value of the instruments. (3) Includes Fannie Mae and Freddie Mac securities. The following table displays valuation techniques for our Level 3 assets measured at fair value on a nonrecurring basis. Fair Value Measurements as of Valuation Techniques March 31, 2023 December 31, 2022 (Dollars in millions) Nonrecurring fair value measurements: Mortgage loans: (1) Mortgage loans held for sale, at lower of cost or fair value Consensus $ 205 $ 1,571 Single Vendor 121 92 Total mortgage loans held for sale, at lower of cost or fair value 326 1,663 Single-family mortgage loans held for investment, at amortized cost Internal Model 926 1,636 Multifamily mortgage loans held for investment, at amortized cost Appraisal 12 3 Broker Price Opinion 697 614 Internal Model 146 27 Total multifamily mortgage loans held for investment, at amortized cost 855 644 Acquired property, net: Single-family Accepted Offer 23 17 Appraisal 43 65 Internal Model 211 215 Walk Forward 98 91 Various 20 12 Total single-family 395 400 Multifamily Various 36 119 Total nonrecurring assets at fair value $ 2,538 $ 4,462 (1) When we measure impairment, including recoveries, based on the fair value of the loan or the underlying collateral and impairment is recorded on any component of the mortgage loan, including accrued interest receivable and amounts due from the borrower for advances of taxes and insurance, we present the entire fair value measurement amount with the corresponding mortgage loan. |
Fair Value of Financial Instruments | The following table displays the carrying value and estimated fair value of our financial instruments. The fair value of financial instruments we disclose includes commitments to purchase multifamily and single-family mortgage loans that we do not record in our condensed consolidated balance sheets. The fair values of these commitments are included as “Mortgage loans held for investment, net of allowance for loan losses.” The disclosure excludes all non-financial instruments; therefore, the fair value of our financial assets and liabilities does not represent the underlying fair value of our total consolidated assets and liabilities. As of March 31, 2023 Carrying Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs Netting Adjustment Estimated Fair Value (Dollars in millions) Financial assets: Cash and cash equivalents, including restricted cash and cash equivalents $ 90,837 $ 36,237 $ 54,600 $ — $ — $ 90,837 Securities purchased under agreements to resell 26,950 — 26,950 — — 26,950 Trading securities 50,410 47,537 2,841 32 — 50,410 Available-for-sale securities 679 — 57 622 — 679 Mortgage loans held for sale 512 — 23 503 — 526 Mortgage loans held for investment, net of allowance for loan losses 4,109,823 — 3,489,281 170,658 — 3,659,939 Advances to lenders 2,748 — 2,748 — — 2,748 Derivative assets at fair value 153 — 290 27 (164) 153 Guaranty assets and buy-ups 83 — — 172 — 172 Total financial assets $ 4,282,195 $ 83,774 $ 3,576,790 $ 172,014 $ (164) $ 3,832,414 Financial liabilities: Short-term debt: Of Fannie Mae $ 13,967 $ — $ 13,969 $ — $ — $ 13,969 Long-term debt: Of Fannie Mae 125,197 — 124,585 577 — 125,162 Of consolidated trusts 4,091,602 — 3,573,396 41,490 — 3,614,886 Derivative liabilities at fair value 308 — 4,153 65 (3,910) 308 Guaranty obligations 90 — — 68 — 68 Total financial liabilities $ 4,231,164 $ — $ 3,716,103 $ 42,200 $ (3,910) $ 3,754,393 As of December 31, 2022 Carrying Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs Netting Adjustment Estimated Fair Value (Dollars in millions) Financial assets: Cash and cash equivalents, including restricted cash and cash equivalents $ 87,841 $ 32,991 $ 54,850 $ — $ — $ 87,841 Securities purchased under agreements to resell 14,565 — 14,565 — — 14,565 Trading securities 50,129 46,898 3,184 47 — 50,129 Available-for-sale securities 696 — 62 634 — 696 Mortgage loans held for sale 2,033 — 48 2,029 — 2,077 Mortgage loans held for investment, net of allowance for loan losses 4,112,403 — 3,437,979 171,857 — 3,609,836 Advances to lenders 1,502 — 1,502 — — 1,502 Derivative assets at fair value 175 — 300 29 (154) 175 Guaranty assets and buy-ups 87 — — 166 — 166 Total financial assets $ 4,269,431 $ 79,889 $ 3,512,490 $ 174,762 $ (154) $ 3,766,987 Financial liabilities: Short-term debt: Of Fannie Mae $ 10,204 $ — $ 10,208 $ — $ — $ 10,208 Long-term debt: Of Fannie Mae 123,964 — 122,066 558 — 122,624 Of consolidated trusts 4,087,720 — 3,511,958 42,150 — 3,554,108 Derivative liabilities at fair value 168 — 4,764 66 (4,662) 168 Guaranty obligations 94 — — 66 — 66 Total financial liabilities $ 4,222,150 $ — $ 3,648,996 $ 42,840 $ (4,662) $ 3,687,174 |
Fair Value Option | The following table displays the fair value and unpaid principal balance of the financial instruments for which we have elected the fair value option. As of March 31, 2023 December 31, 2022 Loans (1) Long-Term Debt of Fannie Mae Long-Term Debt of Consolidated Trusts Loans (1) Long-Term Debt of Fannie Mae Long-Term Debt of Consolidated Trusts (Dollars in millions) Fair value $ 3,599 $ 1,132 $ 15,972 $ 3,645 $ 1,161 $ 16,260 Unpaid principal balance 3,730 1,105 15,835 3,835 1,145 16,311 (1) Includes nonaccrual loans with a fair value of $35 million and $40 million as of March 31, 2023 and December 31, 2022, respectively. Includes loans that are 90 days or more past due with a fair value of $41 million and $48 million as of March 31, 2023 and December 31, 2022, respectively. |
Regulatory Capital Requiremen_2
Regulatory Capital Requirements (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Broker-Dealer, Net Capital Requirement, SEC Regulation [Abstract] | |
Regulatory Capital Classification Measures | Capital Metrics under the Enterprise Regulatory Capital Framework as of March 31, 2023 (1) (Dollars in billions) Adjusted total assets $ 4,560 Risk-weighted assets 1,308 Amounts Ratios Available Capital (Deficit) (2) Minimum Capital Requirement Total Capital Requirement (including Buffers) (3) Available Capital (Deficit) Ratio (4) Minimum Capital Ratio Requirement Total Capital Requirement Ratio (including Buffers) Risk-based capital: Total capital (statutory) (5) $ (45) $ 105 $ 105 (3.5) % 8.0 % 8.0 % Common equity tier 1 capital (89) 59 138 (6.8) 4.5 10.6 Tier 1 capital (69) 78 157 (5.3) 6.0 12.0 Adjusted total capital (69) 105 184 (5.3) 8.0 14.1 Leverage capital: Core capital (statutory) (6) (57) 114 114 (1.2) 2.5 2.5 Tier 1 capital (69) 114 137 (1.5) 2.5 3.0 (1) Ratios are calculated as a percentage of risk-weighted assets for risk-based capital metrics and as a percentage of adjusted total assets for leverage capital metrics. (2) Available capital (deficit) for all line items excludes the stated value of the senior preferred stock ($120.8 billion). Available capital (deficit) for all line items except total capital and core capital also deducts a portion of deferred tax assets. Deferred tax assets arising from temporary differences between GAAP and tax requirements are deducted from capital to the extent they exceed 10% of common equity. As of March 31, 2023, this resulted in the full deduction of deferred tax assets ($12.6 billion) from our available capital (deficit). Available capital (deficit) for common equity tier 1 capital also excludes the value of the non-cumulative perpetual preferred stock ($19.1 billion). (3) The applicable buffer for common equity tier 1 capital, tier 1 capital, and adjusted total capital is the PCCBA, comprised of a stress capital buffer, a stability capital buffer, and a countercyclical capital buffer. The applicable buffer for tier 1 capital (leverage based) is the PLBA. The stress capital buffer and countercyclical capital buffer are each calculated by multiplying prescribed factors by adjusted total assets as of the last day of the previous calendar quarter. The 2023 stability capital buffer is calculated by multiplying a factor determined based on our share of mortgage debt outstanding by adjusted total assets as of December 31, 2020. The prescribed leverage buffer for 2023 is set at 50% of the 2023 stability buffer. Going forward the stability buffer and the prescribed leverage buffer will be updated with an effective date that depends on whether the stability capital buffer increases or decreases relative to the previously calculated value. (4) Ratios are negative because we had a deficit in available capital for each tier of capital. (5) The sum of (a) core capital (see definition in footnote 6 below); and (b) a general allowance for foreclosure losses, which (i) shall include an allowance for portfolio mortgage losses, an allowance for non-reimbursable foreclosure costs on government claims, and an allowance for liabilities reflected on the balance sheet for estimated foreclosure losses on mortgage-backed securities; and (ii) shall not include any reserves made or held against specific assets; and (c) any other amounts from sources of funds available to absorb losses that the Director of FHFA by regulation determines are appropriate to include in determining total capital. (6) The sum of (a) the stated value of our outstanding common stock (common stock less treasury stock); (b) the stated value of our outstanding non-cumulative perpetual preferred stock; (c) our paid-in capital; and (d) our retained earnings (accumulated deficit). Core capital does not include: (a) accumulated other comprehensive income or (b) senior preferred stock. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) - USD ($) shares in Millions, $ in Millions | 3 Months Ended | |||
Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Jun. 30, 2023 | |
Related Parties [Line Items] | ||||
Net worth | $ 64,000 | |||
Increase in net worth | 3,800 | $ 1,400 | ||
TCCA fees | $ 855 | $ 824 | ||
Basis points of each dollar of unpaid principal balance | 0.042% | |||
Affordable Housing Program obligation | 35% | |||
Acquired property | $ 1,600 | $ 1,600 | ||
Weighted average number of contingently issuable shares (shares) | 4,700 | 4,700 | ||
Incremental common shares attributable to dilutive effect of conversion of preferred stock (in shares) | 26 | 26 | ||
US Treasury | ||||
Related Parties [Line Items] | ||||
Total available funding from US Treasury pursuant to the senior preferred stock agreement | $ 113,900 | |||
Aggregate liquidation preference of senior preferred stock | $ 181,800 | |||
Percentage of common shares attributable to warrants | 79.90% | |||
Home Affordable Modification Program administrative expense reimbursements | $ 3 | $ 4 | ||
TCCA, increase of guarantee fee rate | 0.10% | |||
TCCA fees | $ 855 | 824 | ||
US Treasury | Other Expense | ||||
Related Parties [Line Items] | ||||
Affordable Housing Program assessments recognized | 11 | 38 | ||
Affordable housing program assessments not remitted | 11 | |||
US Treasury | Single-Family | ||||
Related Parties [Line Items] | ||||
Recognized TCCA fees that had not been remitted to Treasury as of period end | 855 | |||
US Treasury | Forecast | ||||
Related Parties [Line Items] | ||||
Aggregate liquidation preference of senior preferred stock | $ 185,500 | |||
Federal Housing Finance Agency | ||||
Related Parties [Line Items] | ||||
FHFA assessment fees | 39 | 32 | ||
Common Securitization Solutions | ||||
Related Parties [Line Items] | ||||
Capital contributed | 26 | $ 22 | ||
US Treasury and Government | ||||
Related Parties [Line Items] | ||||
Aggregate funding received from US Treasury pursuant to the senior preferred stock purchase agreement | $ 119,800 |
Consolidations and Transfers _3
Consolidations and Transfers of Financial Assets - Unconsolidated VIEs (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Variable Interest Entities [Line Items] | ||
Investments in securities, at fair value | $ 51,089 | $ 50,825 |
Other assets | 13,106 | 13,387 |
Other liabilities | (12,463) | (13,206) |
Assets | 4,317,460 | 4,305,288 |
Total unpaid principal balance of mortgage loans | 4,072,636 | 4,075,598 |
Multifamily | ||
Variable Interest Entities [Line Items] | ||
Total unpaid principal balance of mortgage loans | 436,307 | 431,440 |
Multifamily | Unconsolidated VIEs | ||
Variable Interest Entities [Line Items] | ||
Total unpaid principal balance of mortgage loans | 436,300 | |
Mortgage-related | Unconsolidated VIEs | ||
Variable Interest Entities [Line Items] | ||
Investments in securities, at fair value | 2,992 | 3,353 |
Other assets | 40 | 40 |
Other liabilities | (45) | (45) |
Net carrying amount | 2,987 | 3,348 |
Maximum exposure to loss | 235,000 | 240,000 |
Assets | 241,000 | 240,000 |
Partnership interest LIHTC | Unconsolidated VIEs | ||
Variable Interest Entities [Line Items] | ||
Net carrying amount | 429 | 424 |
Maximum exposure to loss | 433 | 427 |
Assets | 4,300 | 4,300 |
Total available-for-sale securities | Unconsolidated VIEs | ||
Variable Interest Entities [Line Items] | ||
Maximum exposure to loss | 18,100 | 16,900 |
Assets | $ 18,200 | $ 17,000 |
Consolidations and Transfers _4
Consolidations and Transfers of Financial Assets - Transfers of Financial Assets (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Transfers of Financial Assets [Line Items] | |||
Portfolio securitizations: unpaid principal balance | $ 28,300 | $ 102,800 | |
Unconsolidated VIEs | |||
Transfers of Financial Assets [Line Items] | |||
Retained interests: principal and interest received | 78 | $ 114 | |
Unconsolidated VIEs | Single Class MBS, REMIC & Megas | |||
Transfers of Financial Assets [Line Items] | |||
Retained interests: unpaid principal balance | 875 | $ 910 | |
Retained interests: fair value | $ 1,400 | $ 1,400 |
Mortgage Loans - Loans in Mortg
Mortgage Loans - Loans in Mortgage Portfolio (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | |
Loans in Mortgage Portfolio [Line Items] | ||||
Total unpaid principal balance of mortgage loans | $ 4,072,636 | $ 4,075,598 | ||
Cost basis and fair value adjustments, net | 49,034 | 50,185 | ||
Allowance for loan losses for HFI loans | (11,335) | $ (5,899) | (11,347) | $ (5,629) |
Total mortgage loans | 4,110,335 | 4,114,436 | ||
Accrued interest receivable | 9,780 | 9,821 | ||
Single-family | ||||
Loans in Mortgage Portfolio [Line Items] | ||||
Total unpaid principal balance of mortgage loans | 3,636,329 | 3,644,158 | ||
Purchase of HFI loans: | 67,467 | 239,468 | ||
Amortized cost | 0 | 1,181 | ||
Lower of cost or fair value adjustment at time of redesignation | 0 | (13) | ||
Allowance reversed at time of redesignation | 0 | 63 | ||
Unpaid principal balance | 1,842 | 0 | ||
Realized gains, net | 17 | 0 | ||
Mortgage loans in process of foreclosure | 4,600 | 4,600 | ||
Multifamily | ||||
Loans in Mortgage Portfolio [Line Items] | ||||
Total unpaid principal balance of mortgage loans | 436,307 | 431,440 | ||
Purchase of HFI loans: | 10,235 | $ 16,009 | ||
Mortgage loans | ||||
Loans in Mortgage Portfolio [Line Items] | ||||
Accrued interest receivable | $ 9,500 | $ 9,500 |
Mortgage Loans - Aging (Details
Mortgage Loans - Aging (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | $ 4,127,134 | $ 4,129,751 | |
Loans 90 Days or More Delinquent and Accruing Interest | 7,853 | 14,448 | |
Nonaccrual Loans with No Allowance | $ 4,052 | 3,697 | |
Table Footnote [Abstract] | |||
Serious delinquency, days past due | 90 days | ||
Total Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | $ 51,742 | 60,877 | |
30 - 59 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 23,913 | 30,802 | |
60 - 89 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 6,360 | 7,305 | |
Seriously Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 21,469 | 22,770 | |
Current | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 4,075,392 | 4,068,874 | |
Single-family | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 3,690,096 | 3,697,529 | |
Loans 90 Days or More Delinquent and Accruing Interest | 7,655 | 14,437 | |
Nonaccrual Loans with No Allowance | $ 3,405 | $ 3,684 | |
Single-family | Minimum | |||
Table Footnote [Abstract] | |||
Serious delinquency, days past due | 90 days | 90 days | |
Single-family | Total Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | $ 50,207 | $ 59,749 | |
Single-family | 30 - 59 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 23,699 | 30,629 | |
Single-family | 60 - 89 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 6,360 | 7,305 | |
Single-family | Seriously Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 20,148 | 21,815 | |
Single-family | Current | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 3,639,889 | 3,637,780 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 3,156,711 | 3,146,854 | |
Loans 90 Days or More Delinquent and Accruing Interest | 6,929 | 13,257 | |
Nonaccrual Loans with No Allowance | 3,000 | 3,254 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Total Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 46,132 | 54,655 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | 30 - 59 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 21,710 | 27,891 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | 60 - 89 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 5,910 | 6,774 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Seriously Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 18,512 | 19,990 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Current | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 3,110,579 | 3,092,199 | |
Single-family | 15-year or less, amortizing fixed-rate | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 475,553 | 491,468 | |
Loans 90 Days or More Delinquent and Accruing Interest | 366 | 666 | |
Nonaccrual Loans with No Allowance | 96 | 82 | |
Single-family | 15-year or less, amortizing fixed-rate | Total Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 2,296 | 3,016 | |
Single-family | 15-year or less, amortizing fixed-rate | 30 - 59 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 1,308 | 1,902 | |
Single-family | 15-year or less, amortizing fixed-rate | 60 - 89 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 266 | 314 | |
Single-family | 15-year or less, amortizing fixed-rate | Seriously Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 722 | 800 | |
Single-family | 15-year or less, amortizing fixed-rate | Current | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 473,257 | 488,452 | |
Single-family | Adjustable-rate | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 27,424 | 27,108 | |
Loans 90 Days or More Delinquent and Accruing Interest | 50 | 90 | |
Nonaccrual Loans with No Allowance | 22 | 24 | |
Single-family | Adjustable-rate | Total Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 286 | 341 | |
Single-family | Adjustable-rate | 30 - 59 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 143 | 176 | |
Single-family | Adjustable-rate | 60 - 89 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 30 | 38 | |
Single-family | Adjustable-rate | Seriously Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 113 | 127 | |
Single-family | Adjustable-rate | Current | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 27,138 | 26,767 | |
Single-family | Other | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 30,408 | 32,099 | |
Loans 90 Days or More Delinquent and Accruing Interest | 310 | 424 | |
Nonaccrual Loans with No Allowance | 287 | 324 | |
Single-family | Other | Total Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 1,493 | 1,737 | |
Single-family | Other | 30 - 59 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 538 | 660 | |
Single-family | Other | 60 - 89 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 154 | 179 | |
Single-family | Other | Seriously Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 801 | 898 | |
Single-family | Other | Current | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 28,915 | 30,362 | |
Multifamily | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 437,038 | 432,222 | |
Loans 90 Days or More Delinquent and Accruing Interest | 198 | 11 | |
Nonaccrual Loans with No Allowance | $ 647 | 13 | |
Multifamily | Minimum | |||
Table Footnote [Abstract] | |||
Serious delinquency, days past due | 60 days | 60 days | |
Multifamily | Total Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | $ 1,535 | 1,128 | |
Multifamily | 30 - 59 Days Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 214 | 173 | |
Multifamily | Seriously Delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | 1,321 | 955 | |
Multifamily | Current | |||
Financing Receivable, Past Due [Line Items] | |||
Loans held for investment, excluding fair value option | $ 435,503 | $ 431,094 |
Mortgage Loans - Credit Quality
Mortgage Loans - Credit Quality Indicators - SF (Details) - Single-family - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Dec. 31, 2022 | |
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | $ 42,464 | $ 497,393 |
One fiscal year before | 514,249 | 1,185,382 |
Two fiscal years before | 1,166,789 | 963,992 |
Three fiscal years before | 946,781 | 171,549 |
Four fiscal years before | 167,749 | 79,469 |
Prior | 843,532 | 790,243 |
Total mortgage loans | 3,681,564 | 3,688,028 |
Financing Receivable, Allowance for Credit Loss, Writeoff, by Origination Year [Abstract] | ||
Current fiscal year, writeoff | 0 | |
One fiscal year, writeoff | 3 | |
Two fiscal years, writeoff | 10 | |
Three fiscal years, writeoff | 5 | |
Four fiscal years, writeoff | 2 | |
Prior | 20 | |
Total writeoff | 40 | |
Less than or equal to 80% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 24,255 | 323,058 |
One fiscal year before | 320,942 | 1,088,871 |
Two fiscal years before | 1,064,568 | 956,653 |
Three fiscal years before | 938,542 | 170,156 |
Four fiscal years before | 166,253 | 78,758 |
Prior | 841,031 | 788,467 |
Total mortgage loans | 3,355,591 | 3,405,963 |
Greater than 80% and less than or equal to 90% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 6,839 | 87,240 |
One fiscal year before | 97,527 | 86,981 |
Two fiscal years before | 87,939 | 5,949 |
Three fiscal years before | 6,874 | 1,158 |
Four fiscal years before | 1,298 | 620 |
Prior | 1,815 | 1,196 |
Total mortgage loans | 202,292 | 183,144 |
Greater than 90% and less than or equal to 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 11,370 | 85,861 |
One fiscal year before | 90,244 | 9,321 |
Two fiscal years before | 13,770 | 1,334 |
Three fiscal years before | 1,282 | 217 |
Four fiscal years before | 177 | 79 |
Prior | 377 | 281 |
Total mortgage loans | 117,220 | 97,093 |
Greater than 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 0 | 1,234 |
One fiscal year before | 5,536 | 209 |
Two fiscal years before | 512 | 56 |
Three fiscal years before | 83 | 18 |
Four fiscal years before | 21 | 12 |
Prior | 309 | 299 |
Total mortgage loans | 6,461 | 1,828 |
20- and 30-year or more, amortizing fixed-rate | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 40,231 | 452,015 |
One fiscal year before | 468,707 | 992,804 |
Two fiscal years before | 979,383 | 827,745 |
Three fiscal years before | 814,719 | 150,454 |
Four fiscal years before | 147,469 | 71,013 |
Prior | 706,198 | 652,823 |
Total mortgage loans | 3,156,707 | 3,146,854 |
Financing Receivable, Allowance for Credit Loss, Writeoff, by Origination Year [Abstract] | ||
Current fiscal year, writeoff | 0 | |
One fiscal year, writeoff | 3 | |
Two fiscal years, writeoff | 10 | |
Three fiscal years, writeoff | 5 | |
Four fiscal years, writeoff | 2 | |
Prior | 15 | |
Total writeoff | 35 | |
20- and 30-year or more, amortizing fixed-rate | Less than or equal to 80% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 22,412 | 281,257 |
One fiscal year before | 279,467 | 896,977 |
Two fiscal years before | 877,834 | 820,452 |
Three fiscal years before | 806,520 | 149,067 |
Four fiscal years before | 145,978 | 70,306 |
Prior | 703,955 | 651,297 |
Total mortgage loans | 2,836,166 | 2,869,356 |
20- and 30-year or more, amortizing fixed-rate | Greater than 80% and less than or equal to 90% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 6,625 | 84,864 |
One fiscal year before | 94,815 | 86,335 |
Two fiscal years before | 87,316 | 5,904 |
Three fiscal years before | 6,836 | 1,152 |
Four fiscal years before | 1,293 | 618 |
Prior | 1,682 | 1,062 |
Total mortgage loans | 198,567 | 179,935 |
20- and 30-year or more, amortizing fixed-rate | Greater than 90% and less than or equal to 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 11,194 | 84,664 |
One fiscal year before | 88,919 | 9,284 |
Two fiscal years before | 13,722 | 1,333 |
Three fiscal years before | 1,280 | 217 |
Four fiscal years before | 177 | 77 |
Prior | 315 | 224 |
Total mortgage loans | 115,607 | 95,799 |
20- and 30-year or more, amortizing fixed-rate | Greater than 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 0 | 1,230 |
One fiscal year before | 5,506 | 208 |
Two fiscal years before | 511 | 56 |
Three fiscal years before | 83 | 18 |
Four fiscal years before | 21 | 12 |
Prior | 246 | 240 |
Total mortgage loans | 6,367 | 1,764 |
15-year or less, amortizing fixed-rate | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 1,659 | 39,748 |
One fiscal year before | 39,372 | 185,938 |
Two fiscal years before | 180,887 | 134,370 |
Three fiscal years before | 130,238 | 20,242 |
Four fiscal years before | 19,453 | 7,324 |
Prior | 103,944 | 103,846 |
Total mortgage loans | 475,553 | 491,468 |
Financing Receivable, Allowance for Credit Loss, Writeoff, by Origination Year [Abstract] | ||
Current fiscal year, writeoff | 0 | |
One fiscal year, writeoff | 0 | |
Two fiscal years, writeoff | 0 | |
Three fiscal years, writeoff | 0 | |
Four fiscal years, writeoff | 0 | |
Prior | 1 | |
Total writeoff | 1 | |
15-year or less, amortizing fixed-rate | Less than or equal to 80% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 1,494 | 37,830 |
One fiscal year before | 37,382 | 185,511 |
Two fiscal years before | 180,495 | 134,336 |
Three fiscal years before | 130,210 | 20,239 |
Four fiscal years before | 19,451 | 7,324 |
Prior | 103,939 | 103,841 |
Total mortgage loans | 472,971 | 489,081 |
15-year or less, amortizing fixed-rate | Greater than 80% and less than or equal to 90% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 86 | 1,363 |
One fiscal year before | 1,475 | 410 |
Two fiscal years before | 372 | 33 |
Three fiscal years before | 27 | 3 |
Four fiscal years before | 2 | 0 |
Prior | 2 | 2 |
Total mortgage loans | 1,964 | 1,811 |
15-year or less, amortizing fixed-rate | Greater than 90% and less than or equal to 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 79 | 552 |
One fiscal year before | 509 | 16 |
Two fiscal years before | 20 | 1 |
Three fiscal years before | 1 | 0 |
Four fiscal years before | 0 | 0 |
Prior | 1 | 1 |
Total mortgage loans | 610 | 570 |
15-year or less, amortizing fixed-rate | Greater than 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 0 | 3 |
One fiscal year before | 6 | 1 |
Two fiscal years before | 0 | 0 |
Three fiscal years before | 0 | 0 |
Four fiscal years before | 0 | 0 |
Prior | 2 | 2 |
Total mortgage loans | 8 | 6 |
Adjustable-rate | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 574 | 5,630 |
One fiscal year before | 6,170 | 6,640 |
Two fiscal years before | 6,519 | 1,877 |
Three fiscal years before | 1,824 | 824 |
Four fiscal years before | 799 | 908 |
Prior | 11,538 | 11,229 |
Total mortgage loans | 27,424 | 27,108 |
Financing Receivable, Allowance for Credit Loss, Writeoff, by Origination Year [Abstract] | ||
Current fiscal year, writeoff | 0 | |
One fiscal year, writeoff | 0 | |
Two fiscal years, writeoff | 0 | |
Three fiscal years, writeoff | 0 | |
Four fiscal years, writeoff | 0 | |
Prior | 0 | |
Total writeoff | 0 | |
Adjustable-rate | Less than or equal to 80% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 349 | 3,971 |
One fiscal year before | 4,093 | 6,383 |
Two fiscal years before | 6,239 | 1,865 |
Three fiscal years before | 1,812 | 821 |
Four fiscal years before | 796 | 906 |
Prior | 11,533 | 11,226 |
Total mortgage loans | 24,822 | 25,172 |
Adjustable-rate | Greater than 80% and less than or equal to 90% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 128 | 1,013 |
One fiscal year before | 1,237 | 236 |
Two fiscal years before | 251 | 12 |
Three fiscal years before | 11 | 3 |
Four fiscal years before | 3 | 1 |
Prior | 4 | 3 |
Total mortgage loans | 1,634 | 1,268 |
Adjustable-rate | Greater than 90% and less than or equal to 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 97 | 645 |
One fiscal year before | 816 | 21 |
Two fiscal years before | 28 | 0 |
Three fiscal years before | 1 | 0 |
Four fiscal years before | 0 | 1 |
Prior | 1 | 0 |
Total mortgage loans | 943 | 667 |
Adjustable-rate | Greater than 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 0 | 1 |
One fiscal year before | 24 | 0 |
Two fiscal years before | 1 | 0 |
Three fiscal years before | 0 | 0 |
Four fiscal years before | 0 | 0 |
Prior | 0 | 0 |
Total mortgage loans | 25 | 1 |
Other | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 0 | 0 |
One fiscal year before | 0 | 0 |
Two fiscal years before | 0 | 0 |
Three fiscal years before | 0 | 29 |
Four fiscal years before | 28 | 224 |
Prior | 21,852 | 22,345 |
Total mortgage loans | 21,880 | 22,598 |
Financing Receivable, Allowance for Credit Loss, Writeoff, by Origination Year [Abstract] | ||
Current fiscal year, writeoff | 0 | |
One fiscal year, writeoff | 0 | |
Two fiscal years, writeoff | 0 | |
Three fiscal years, writeoff | 0 | |
Four fiscal years, writeoff | 0 | |
Prior | 4 | |
Total writeoff | 4 | |
Other | Less than or equal to 80% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 0 | 0 |
One fiscal year before | 0 | 0 |
Two fiscal years before | 0 | 0 |
Three fiscal years before | 0 | 29 |
Four fiscal years before | 28 | 222 |
Prior | 21,604 | 22,103 |
Total mortgage loans | 21,632 | 22,354 |
Other | Greater than 80% and less than or equal to 90% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 0 | 0 |
One fiscal year before | 0 | 0 |
Two fiscal years before | 0 | 0 |
Three fiscal years before | 0 | 0 |
Four fiscal years before | 0 | 1 |
Prior | 127 | 129 |
Total mortgage loans | 127 | 130 |
Other | Greater than 90% and less than or equal to 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 0 | 0 |
One fiscal year before | 0 | 0 |
Two fiscal years before | 0 | 0 |
Three fiscal years before | 0 | 0 |
Four fiscal years before | 0 | 1 |
Prior | 60 | 56 |
Total mortgage loans | 60 | 57 |
Other | Greater than 100% | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Current fiscal year | 0 | 0 |
One fiscal year before | 0 | 0 |
Two fiscal years before | 0 | 0 |
Three fiscal years before | 0 | 0 |
Four fiscal years before | 0 | 0 |
Prior | 61 | 57 |
Total mortgage loans | 61 | 57 |
U.S Government | ||
Financing Receivable, before Allowance for Credit Loss, by Origination Year [Abstract] | ||
Total mortgage loans | 8,500 | $ 9,500 |
Financing Receivable, Allowance for Credit Loss, Writeoff, by Origination Year [Abstract] | ||
Total writeoff | $ 2 |
Mortgage Loans - Credit Quali_2
Mortgage Loans - Credit Quality Indicators - MF (Details) - Multifamily - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | $ 8,098 | $ 59,402 |
One fiscal year before | 61,510 | 65,786 |
Two fiscal years before | 65,226 | 76,984 |
Three fiscal years before | 76,694 | 62,378 |
Four fiscal years before | 62,093 | 51,270 |
Prior | 163,417 | 116,402 |
Total mortgage loans | 437,038 | 432,222 |
Pass | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 8,098 | 57,976 |
One fiscal year before | 59,264 | 64,165 |
Two fiscal years before | 62,849 | 75,468 |
Three fiscal years before | 74,920 | 59,507 |
Four fiscal years before | 59,164 | 48,720 |
Prior | 148,085 | 103,772 |
Total mortgage loans | 412,380 | 409,608 |
Special Mention | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 0 | 11 |
One fiscal year before | 8 | 41 |
Two fiscal years before | 99 | 128 |
Three fiscal years before | 82 | 55 |
Four fiscal years before | 24 | 54 |
Prior | 293 | 306 |
Total mortgage loans | 506 | 595 |
Substandard | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 0 | 1,415 |
One fiscal year before | 2,238 | 1,580 |
Two fiscal years before | 2,278 | 1,388 |
Three fiscal years before | 1,692 | 2,816 |
Four fiscal years before | 2,905 | 2,488 |
Prior | 15,035 | 12,324 |
Total mortgage loans | 24,148 | 22,011 |
Substandard | Senior Housing | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Total mortgage loans | 8,900 | 9,200 |
Doubtful | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 0 | 0 |
One fiscal year before | 0 | 0 |
Two fiscal years before | 0 | 0 |
Three fiscal years before | 0 | 0 |
Four fiscal years before | 0 | 8 |
Prior | 4 | 0 |
Total mortgage loans | 4 | $ 8 |
Current-period write-offs | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Current fiscal year | 0 | |
One fiscal year before | 3 | |
Two fiscal years before | 0 | |
Three fiscal years before | 1 | |
Four fiscal years before | 0 | |
Prior | 233 | |
Total mortgage loans | $ 237 |
Mortgage Loans - Loan Restructu
Mortgage Loans - Loan Restructuring - Summary of Loans Restructured (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | $ 19,867 | $ 37,039 |
Restructured loans, percent of total financing receivable | 1% | |
Forbearance Plan | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 10,491 | $ 17,211 |
Payment Deferral | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 3,888 | 7,432 |
Trial Modification and Repayment Plans | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 2,808 | 6,392 |
Payment Delay and Term Extension | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 1,813 | 1,225 |
Payment Delay, Term Extension and Interest Rate Reduction | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 867 | 4,779 |
Single-family | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | $ 18,725 | $ 36,743 |
Restructured loans, percent of total financing receivable | 1% | 1% |
Single-family | Forbearance Plan | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | $ 9,919 | $ 16,944 |
Single-family | Payment Deferral | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 3,888 | 7,432 |
Single-family | Trial Modification and Repayment Plans | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 2,808 | 6,392 |
Single-family | Payment Delay and Term Extension | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 1,813 | 1,196 |
Single-family | Payment Delay, Term Extension and Interest Rate Reduction | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 297 | 4,779 |
Single-family | 20- and 30-year or more, amortizing fixed-rate | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | $ 17,668 | $ 33,954 |
Restructured loans, percent of total financing receivable | 1% | 1% |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Forbearance Plan | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | $ 9,333 | $ 15,662 |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Payment Deferral | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 3,661 | 6,784 |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Trial Modification and Repayment Plans | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 2,629 | 5,858 |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Payment Delay and Term Extension | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 1,778 | 1,103 |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Payment Delay, Term Extension and Interest Rate Reduction | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 267 | 4,547 |
Single-family | 15-year or less, amortizing fixed-rate | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 682 | 1,437 |
Single-family | 15-year or less, amortizing fixed-rate | Forbearance Plan | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 419 | 803 |
Single-family | 15-year or less, amortizing fixed-rate | Payment Deferral | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 159 | 394 |
Single-family | 15-year or less, amortizing fixed-rate | Trial Modification and Repayment Plans | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 104 | 239 |
Single-family | 15-year or less, amortizing fixed-rate | Payment Delay and Term Extension | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 0 | 0 |
Single-family | 15-year or less, amortizing fixed-rate | Payment Delay, Term Extension and Interest Rate Reduction | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 0 | 1 |
Single-family | Adjustable-rate | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 72 | $ 213 |
Restructured loans, percent of total financing receivable | 1% | |
Single-family | Adjustable-rate | Forbearance Plan | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 46 | $ 97 |
Single-family | Adjustable-rate | Payment Deferral | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 17 | 57 |
Single-family | Adjustable-rate | Trial Modification and Repayment Plans | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 8 | 54 |
Single-family | Adjustable-rate | Payment Delay and Term Extension | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 0 | 0 |
Single-family | Adjustable-rate | Payment Delay, Term Extension and Interest Rate Reduction | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 1 | 5 |
Single-family | Other | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | $ 303 | $ 1,139 |
Restructured loans, percent of total financing receivable | 1% | 3% |
Single-family | Other | Forbearance Plan | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | $ 121 | $ 382 |
Single-family | Other | Payment Deferral | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 51 | 197 |
Single-family | Other | Trial Modification and Repayment Plans | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 67 | 241 |
Single-family | Other | Payment Delay and Term Extension | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 35 | 93 |
Single-family | Other | Payment Delay, Term Extension and Interest Rate Reduction | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 29 | 226 |
Multifamily | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 1,142 | 296 |
Multifamily | Forbearance Plan | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 572 | 267 |
Multifamily | Payment Deferral | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 0 | 0 |
Multifamily | Trial Modification and Repayment Plans | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 0 | 0 |
Multifamily | Payment Delay and Term Extension | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | 0 | 29 |
Multifamily | Payment Delay, Term Extension and Interest Rate Reduction | ||
Loans in Mortgage Portfolio [Line Items] | ||
Restructured loans, amortized cost | $ 570 | $ 0 |
Mortgage Loans - Loan Restruc_2
Mortgage Loans - Loan Restructuring - Financial Impacts (Details) - Single-family | 3 Months Ended | |
Mar. 31, 2023 USD ($) mo | Mar. 31, 2022 USD ($) mo | |
20- and 30-year or more, amortizing fixed-rate | ||
Loans in Mortgage Portfolio [Line Items] | ||
Weighted-Average Interest Rate Reduction | 1.08% | 1.59% |
Weighted-Average Term Extension (in Months) | mo | 175 | 178 |
Average Amount Capitalized as a Result of a Payment Delay | $ 16,984 | $ 23,146 |
15-year or less, amortizing fixed-rate | ||
Loans in Mortgage Portfolio [Line Items] | ||
Weighted-Average Interest Rate Reduction | 0.74% | 0.88% |
Weighted-Average Term Extension (in Months) | mo | 54 | 52 |
Average Amount Capitalized as a Result of a Payment Delay | $ 14,558 | $ 20,664 |
Adjustable-rate | ||
Loans in Mortgage Portfolio [Line Items] | ||
Weighted-Average Interest Rate Reduction | 2% | 0.22% |
Average Amount Capitalized as a Result of a Payment Delay | $ 15,629 | $ 24,838 |
Other | ||
Loans in Mortgage Portfolio [Line Items] | ||
Weighted-Average Interest Rate Reduction | 1.54% | 1.62% |
Weighted-Average Term Extension (in Months) | mo | 185 | 186 |
Average Amount Capitalized as a Result of a Payment Delay | $ 20,269 | $ 24,759 |
Mortgage Loans - Loan Restruc_3
Mortgage Loans - Loan Restructuring - Subsequent Default (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | $ 1,313 |
Payment Deferral | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 810 |
Payment Delay and Term Extension | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 204 |
Payment Delay, Term Extension and Interest Rate Reduction | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 299 |
Single-family | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 1,313 |
Single-family | Payment Deferral | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 810 |
Single-family | Payment Delay and Term Extension | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 204 |
Single-family | Payment Delay, Term Extension and Interest Rate Reduction | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 299 |
Single-family | 20- and 30-year or more, amortizing fixed-rate | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 1,250 |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Payment Deferral | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 766 |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Payment Delay and Term Extension | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 200 |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Payment Delay, Term Extension and Interest Rate Reduction | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 284 |
Single-family | 15-year or less, amortizing fixed-rate | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 27 |
Single-family | 15-year or less, amortizing fixed-rate | Payment Deferral | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 27 |
Single-family | 15-year or less, amortizing fixed-rate | Payment Delay and Term Extension | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 0 |
Single-family | 15-year or less, amortizing fixed-rate | Payment Delay, Term Extension and Interest Rate Reduction | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 0 |
Single-family | Adjustable-rate | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 4 |
Single-family | Adjustable-rate | Payment Deferral | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 3 |
Single-family | Adjustable-rate | Payment Delay and Term Extension | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 0 |
Single-family | Adjustable-rate | Payment Delay, Term Extension and Interest Rate Reduction | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 1 |
Single-family | Other | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 32 |
Single-family | Other | Payment Deferral | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 14 |
Single-family | Other | Payment Delay and Term Extension | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 4 |
Single-family | Other | Payment Delay, Term Extension and Interest Rate Reduction | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 14 |
Multifamily | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 0 |
Multifamily | Payment Deferral | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 0 |
Multifamily | Payment Delay and Term Extension | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | 0 |
Multifamily | Payment Delay, Term Extension and Interest Rate Reduction | |
Loans in Mortgage Portfolio [Line Items] | |
Restructured loans, amortized cost, subsequent default | $ 0 |
Mortgage Loans - Loan Restruc_4
Mortgage Loans - Loan Restructuring - Aging Analysis (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | $ 19,867 | $ 37,039 | |
Serious delinquency, days past due | 90 days | ||
Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | $ 43,439 | 23,603 | |
30 - 59 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 3,259 | 1,906 | |
60 - 89 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 2,317 | 2,207 | |
Seriously Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 13,844 | 17,624 | |
Total Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 19,420 | 21,737 | |
Current | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 24,019 | 1,866 | |
Single-family | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | $ 18,725 | 36,743 | |
Single-family | Minimum | |||
Loans in Mortgage Portfolio [Line Items] | |||
Serious delinquency, days past due | 90 days | 90 days | |
Single-family | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | $ 42,207 | 23,336 | |
Single-family | 30 - 59 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 3,259 | 1,906 | |
Single-family | 60 - 89 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 2,317 | 2,207 | |
Single-family | Seriously Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 13,206 | 17,381 | |
Single-family | Total Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 18,782 | 21,494 | |
Single-family | Current | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 23,425 | 1,842 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 17,668 | 33,954 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 39,688 | 21,520 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | 30 - 59 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 3,061 | 1,765 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | 60 - 89 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 2,180 | 2,048 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Seriously Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 12,376 | 16,040 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Total Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 17,617 | 19,853 | |
Single-family | 20- and 30-year or more, amortizing fixed-rate | Current | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 22,071 | 1,667 | |
Single-family | 15-year or less, amortizing fixed-rate | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 682 | 1,437 | |
Single-family | 15-year or less, amortizing fixed-rate | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 1,410 | 1,042 | |
Single-family | 15-year or less, amortizing fixed-rate | 30 - 59 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 104 | 98 | |
Single-family | 15-year or less, amortizing fixed-rate | 60 - 89 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 83 | 108 | |
Single-family | 15-year or less, amortizing fixed-rate | Seriously Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 479 | 715 | |
Single-family | 15-year or less, amortizing fixed-rate | Total Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 666 | 921 | |
Single-family | 15-year or less, amortizing fixed-rate | Current | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 744 | 121 | |
Single-family | Adjustable-rate | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 72 | 213 | |
Single-family | Adjustable-rate | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 160 | 151 | |
Single-family | Adjustable-rate | 30 - 59 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 15 | 8 | |
Single-family | Adjustable-rate | 60 - 89 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 9 | 9 | |
Single-family | Adjustable-rate | Seriously Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 58 | 119 | |
Single-family | Adjustable-rate | Total Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 82 | 136 | |
Single-family | Adjustable-rate | Current | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 78 | 15 | |
Single-family | Other | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 303 | 1,139 | |
Single-family | Other | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 949 | 623 | |
Single-family | Other | 30 - 59 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 79 | 35 | |
Single-family | Other | 60 - 89 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 45 | 42 | |
Single-family | Other | Seriously Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 293 | 507 | |
Single-family | Other | Total Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 417 | 584 | |
Single-family | Other | Current | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 532 | 39 | |
Multifamily | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | $ 1,142 | $ 296 | |
Multifamily | Minimum | |||
Loans in Mortgage Portfolio [Line Items] | |||
Serious delinquency, days past due | 60 days | 60 days | |
Multifamily | Maximum | |||
Loans in Mortgage Portfolio [Line Items] | |||
Serious delinquency, days past due | 89 days | 89 days | |
Multifamily | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | $ 1,232 | $ 267 | |
Multifamily | 30 - 59 Days Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 0 | 0 | |
Multifamily | Seriously Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 638 | 243 | |
Multifamily | Total Delinquent | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | 638 | 243 | |
Multifamily | Current | Forbearance and Repayment Plans and Trial Modification | |||
Loans in Mortgage Portfolio [Line Items] | |||
Restructured loans, amortized cost | $ 594 | $ 24 |
Mortgage Loans - Non-accrual Lo
Mortgage Loans - Non-accrual Loans (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | |
Financing Receivable, Nonaccrual [Line Items] | ||||
Recorded investment in nonaccrual loans | $ 16,818 | $ 16,278 | $ 12,517 | $ 20,496 |
Total interest income recognized | 38 | 56 | ||
Single-family | ||||
Financing Receivable, Nonaccrual [Line Items] | ||||
Accrued interest receivable written off through the reversal of interest income: | 79 | 17 | ||
Recorded investment in nonaccrual loans | 15,277 | 15,020 | 10,317 | 19,237 |
Total interest income recognized | 9 | 51 | ||
Single-family | 20- and 30-year or more, amortizing fixed-rate | ||||
Financing Receivable, Nonaccrual [Line Items] | ||||
Recorded investment in nonaccrual loans | 14,172 | 13,692 | 9,447 | 17,599 |
Total interest income recognized | 7 | 47 | ||
Single-family | 15-year or less, amortizing fixed-rate | ||||
Financing Receivable, Nonaccrual [Line Items] | ||||
Recorded investment in nonaccrual loans | 429 | 331 | 200 | 430 |
Total interest income recognized | 0 | 1 | ||
Single-family | Adjustable-rate | ||||
Financing Receivable, Nonaccrual [Line Items] | ||||
Recorded investment in nonaccrual loans | 75 | 84 | 53 | 107 |
Total interest income recognized | 0 | 0 | ||
Single-family | Other | ||||
Financing Receivable, Nonaccrual [Line Items] | ||||
Recorded investment in nonaccrual loans | 601 | 913 | 617 | 1,101 |
Total interest income recognized | 2 | 3 | ||
Multifamily | ||||
Financing Receivable, Nonaccrual [Line Items] | ||||
Accrued interest receivable written off through the reversal of interest income: | 2 | 1 | ||
Recorded investment in nonaccrual loans | 1,541 | 1,258 | $ 2,200 | $ 1,259 |
Total interest income recognized | $ 29 | $ 5 |
Allowance for Loan Losses (Deta
Allowance for Loan Losses (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Beginning balance | $ (11,347) | $ (5,629) |
Benefit (provision) for loan losses | (176) | (254) |
Write-offs | 279 | 27 |
Recoveries | (85) | (40) |
Other | (6) | (3) |
Ending balance | (11,335) | (5,899) |
Single-family | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Beginning balance | (9,443) | (4,950) |
Benefit (provision) for loan losses | 4 | (282) |
Write-offs | 42 | 27 |
Recoveries | (76) | (33) |
Other | (6) | (3) |
Ending balance | (9,479) | (5,241) |
Multifamily | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Beginning balance | (1,904) | (679) |
Benefit (provision) for loan losses | (180) | 28 |
Write-offs | 237 | 0 |
Recoveries | (9) | (7) |
Ending balance | $ (1,856) | $ (658) |
Investments in Securities - Tra
Investments in Securities - Trading 1 (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Schedule of Investments in Trading Securities [Line Items] | ||
Trading, at fair value | $ 50,410 | $ 50,129 |
Mortgage-related | ||
Schedule of Investments in Trading Securities [Line Items] | ||
Trading, at fair value | 2,852 | 3,211 |
Non-mortgage-related securities | ||
Schedule of Investments in Trading Securities [Line Items] | ||
Trading, at fair value | 47,558 | 46,918 |
Non-mortgage-related securities | Pledged as collateral | ||
Schedule of Investments in Trading Securities [Line Items] | ||
Trading, at fair value | 4,100 | 3,900 |
Consolidated trusts | Mortgage-related | ||
Schedule of Investments in Trading Securities [Line Items] | ||
Trading, at fair value | $ 410 | $ 427 |
Investments in Securities - T_2
Investments in Securities - Trading 2 (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | ||
Net trading gains (losses) | $ 746 | $ (1,770) |
Net trading gains (losses) recognized in the period related to securities still held at period end | $ 799 | $ (1,714) |
Investments in Securities - Ava
Investments in Securities - Available-for-sale Securities 1 (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Total Amortized Cost | $ 695 | $ 714 |
Allowance for Credit Losses | (3) | (3) |
Gross Unrealized Gains in AOCI | 11 | 8 |
Gross Unrealized Losses in AOCI | (24) | (23) |
Total Fair Value | 679 | 696 |
Agency securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Total Amortized Cost | 435 | 445 |
Allowance for Credit Losses | 0 | 0 |
Gross Unrealized Gains in AOCI | 3 | 3 |
Gross Unrealized Losses in AOCI | (24) | (22) |
Total Fair Value | 414 | 426 |
Other mortgage-related securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Total Amortized Cost | 260 | 269 |
Allowance for Credit Losses | (3) | (3) |
Gross Unrealized Gains in AOCI | 8 | 5 |
Gross Unrealized Losses in AOCI | 0 | (1) |
Total Fair Value | $ 265 | $ 270 |
Investments in Securities - A_2
Investments in Securities - Available-for-sale Securities 2 (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Consecutive Months, Gross Unrealized Losses in AOCI | $ (14) | $ (13) |
Less than 12 Consecutive Months, Fair Value | 144 | 169 |
12 Consecutive Months or Longer, Gross Unrealized Losses | (10) | (10) |
12 Consecutive Months or Longer, Fair Value | 155 | 159 |
Agency securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Consecutive Months, Gross Unrealized Losses in AOCI | (14) | (12) |
Less than 12 Consecutive Months, Fair Value | 144 | 161 |
12 Consecutive Months or Longer, Gross Unrealized Losses | (10) | (10) |
12 Consecutive Months or Longer, Fair Value | 155 | 159 |
Other mortgage-related | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Consecutive Months, Gross Unrealized Losses in AOCI | 0 | (1) |
Less than 12 Consecutive Months, Fair Value | 0 | 8 |
12 Consecutive Months or Longer, Gross Unrealized Losses | 0 | 0 |
12 Consecutive Months or Longer, Fair Value | $ 0 | $ 0 |
Investments in Securities - A_3
Investments in Securities - Available-for-sale Securities 3 (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | ||
Realized gain | $ 0 | $ 0 |
Available-for-sale | $ 0 | $ 0 |
Investments in Securities - Sch
Investments in Securities - Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Investments, Debt and Equity Securities [Abstract] | ||
Net unrealized gains (losses) on AFS securities for which we have not recorded an allowance for credit losses | $ (11) | $ (13) |
Other | 46 | 48 |
Accumulated other comprehensive income | $ 35 | $ 35 |
Investments in Securities - Mat
Investments in Securities - Maturity Information (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Total Carrying Amount | ||
Total carrying amount | $ 692 | |
One Year or Less | 1 | |
After One Year Through Five Years | 19 | |
After Five Years Through Ten Years | 36 | |
After Ten Years | 636 | |
Total Fair Value | ||
Total Fair Value | 679 | $ 696 |
One Year or Less | 1 | |
After One Year Through Five Years | 20 | |
After Five Years Through Ten Years | 36 | |
After Ten Years | 622 | |
Agency securities | ||
Total Carrying Amount | ||
Total carrying amount | 435 | |
One Year or Less | 0 | |
After One Year Through Five Years | 3 | |
After Five Years Through Ten Years | 20 | |
After Ten Years | 412 | |
Total Fair Value | ||
Total Fair Value | 414 | 426 |
One Year or Less | 0 | |
After One Year Through Five Years | 3 | |
After Five Years Through Ten Years | 19 | |
After Ten Years | 392 | |
Other mortgage-related securities | ||
Total Carrying Amount | ||
Total carrying amount | 257 | |
One Year or Less | 1 | |
After One Year Through Five Years | 16 | |
After Five Years Through Ten Years | 16 | |
After Ten Years | 224 | |
Total Fair Value | ||
Total Fair Value | 265 | $ 270 |
One Year or Less | 1 | |
After One Year Through Five Years | 17 | |
After Five Years Through Ten Years | 17 | |
After Ten Years | $ 230 |
Financial Guarantees - Financia
Financial Guarantees - Financial Guarantees and Maximum Recovery (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Dec. 31, 2022 | |
Financial Guarantees and Maximum Recovery [Line Items] | ||
Contractual terms of our guarantees | 30 years | |
Maximum Exposure | $ 12,526 | $ 12,712 |
Guaranty Obligation | 90 | 94 |
Maximum recovery | 4,989 | 5,070 |
Unconsolidated Fannie Mae MBS | Unconsolidated VIEs | ||
Financial Guarantees and Maximum Recovery [Line Items] | ||
Maximum Exposure | 3,067 | 3,139 |
Guaranty Obligation | 15 | 15 |
Maximum recovery | 2,989 | 3,058 |
Other guaranty arrangements | Unconsolidated VIEs | ||
Financial Guarantees and Maximum Recovery [Line Items] | ||
Maximum Exposure | 9,459 | 9,573 |
Guaranty Obligation | 75 | 79 |
Maximum recovery | 2,000 | 2,012 |
Agency securities | Unconsolidated VIEs | ||
Financial Guarantees and Maximum Recovery [Line Items] | ||
Single security, Freddie Mac issued securities backing unconsolidated Fannie Mae securities | $ 229,300 | $ 234,000 |
Short-Term and Long-Term Debt -
Short-Term and Long-Term Debt - Short-Term Debt (Details) - Fannie Mae - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Short-Term Debt [Line Items] | ||
Short-term debt, outstanding | $ 13,967 | $ 10,204 |
Short-term debt, weighted-average interest rate (percent) | 4.58% | 3.93% |
Short-Term and Long-Term Debt_2
Short-Term and Long-Term Debt - Long-Term Debt (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 4,216,799 | $ 4,211,684 |
Long-term debt, weighted-average interest rate (percent) | 2.55% | 2.47% |
Fannie Mae | ||
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 125,197 | $ 123,964 |
Long-term debt, weighted-average interest rate (percent) | 2.32% | 2.23% |
Unamortized discounts and premiums, fair value adjustments, hedge-related cost basis adjustments, and other cost basis adjustments | $ 4,600 | $ 5,100 |
Fannie Mae | Total senior fixed | ||
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 119,843 | $ 118,515 |
Long-term debt, weighted-average interest rate (percent) | 2% | 1.94% |
Fannie Mae | Senior fixed benchmark notes and bonds | ||
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 70,682 | $ 72,261 |
Long-term debt, weighted-average interest rate (percent) | 2.36% | 2.35% |
Fannie Mae | Senior fixed medium-term notes | ||
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 42,344 | $ 39,476 |
Long-term debt, weighted-average interest rate (percent) | 1.03% | 0.78% |
Fannie Mae | Senior fixed other debt | ||
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 6,817 | $ 6,778 |
Long-term debt, weighted-average interest rate (percent) | 4.03% | 4% |
Fannie Mae | Total senior floating | ||
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 5,354 | $ 5,449 |
Long-term debt, weighted-average interest rate (percent) | 9.75% | 8.86% |
Fannie Mae | Senior floating Connecticut Avenue Securities | ||
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 5,104 | $ 5,207 |
Long-term debt, weighted-average interest rate (percent) | 9.75% | 8.80% |
Fannie Mae | Senior floating other debt | ||
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 250 | $ 242 |
Long-term debt, weighted-average interest rate (percent) | 9.68% | 10% |
Consolidated Trusts | ||
Long-Term Debt [Line Items] | ||
Long-term debt, outstanding | $ 4,091,602 | $ 4,087,720 |
Long-term debt, weighted-average interest rate (percent) | 2.56% | 2.47% |
Derivative Instruments - Notion
Derivative Instruments - Notional and Fair Value Position (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative [Line Items] | ||
Notional Amount | $ 420,404 | $ 364,927 |
Asset Derivatives | ||
Derivative assets, gross amount offset | (164) | (154) |
Derivative assets | 153 | 175 |
Liability Derivatives | ||
Derivatives liabilities at fair value | (308) | (168) |
Table Footnote [Abstract] | ||
Cash collateral posted for derivative instruments | 3,800 | 4,500 |
Cash collateral received for derivative instruments | 101 | 5 |
Total risk management derivatives designated as hedging instruments | ||
Derivative [Line Items] | ||
Notional Amount | 332,799 | 285,437 |
Asset Derivatives | ||
Derivative assets, gross amount offset | (164) | (154) |
Derivative assets | 50 | 83 |
Liability Derivatives | ||
Netting adjustment | 3,910 | 4,662 |
Derivatives liabilities at fair value | (100) | (24) |
Total risk management derivatives designated as hedging instruments | Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 48,762 | 38,858 |
Asset Derivatives | ||
Derivative assets, gross | 0 | 0 |
Liability Derivatives | ||
Derivative liabilities, gross | 0 | 0 |
Total risk management derivatives designated as hedging instruments | Not Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 284,037 | 246,579 |
Asset Derivatives | ||
Derivative assets, gross | 214 | 237 |
Liability Derivatives | ||
Derivative liabilities, gross | (4,010) | (4,686) |
Pay-fixed | Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 3,996 | 5,582 |
Asset Derivatives | ||
Derivative assets, gross | 0 | 0 |
Liability Derivatives | ||
Derivative liabilities, gross | 0 | 0 |
Pay-fixed | Not Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 120,646 | 97,808 |
Asset Derivatives | ||
Derivative assets, gross | 0 | 0 |
Liability Derivatives | ||
Derivative liabilities, gross | 0 | 0 |
Receive-fixed | Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 44,766 | 33,276 |
Asset Derivatives | ||
Derivative assets, gross | 0 | 0 |
Liability Derivatives | ||
Derivative liabilities, gross | 0 | 0 |
Receive-fixed | Not Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 113,353 | 99,799 |
Asset Derivatives | ||
Derivative assets, gross | 20 | 1 |
Liability Derivatives | ||
Derivative liabilities, gross | (3,867) | (4,525) |
Basis | Not Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 41,250 | 41,250 |
Asset Derivatives | ||
Derivative assets, gross | 24 | 25 |
Liability Derivatives | ||
Derivative liabilities, gross | 0 | 0 |
Foreign currency | Not Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 306 | 300 |
Asset Derivatives | ||
Derivative assets, gross | 0 | 0 |
Liability Derivatives | ||
Derivative liabilities, gross | (87) | (98) |
Pay-fixed | Not Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 5,816 | 5,286 |
Asset Derivatives | ||
Derivative assets, gross | 164 | 204 |
Liability Derivatives | ||
Derivative liabilities, gross | (11) | (18) |
Receive-fixed | Not Designated as Hedging Instrument | ||
Derivative [Line Items] | ||
Notional Amount | 2,666 | 2,136 |
Asset Derivatives | ||
Derivative assets, gross | 6 | 7 |
Liability Derivatives | ||
Derivative liabilities, gross | (45) | (45) |
Mortgage commitment derivatives | ||
Derivative [Line Items] | ||
Notional Amount | 62,850 | 55,706 |
Asset Derivatives | ||
Derivative assets, gross amount offset | 0 | 0 |
Derivative assets | 100 | 89 |
Liability Derivatives | ||
Netting adjustment | 0 | 0 |
Derivatives liabilities at fair value | (143) | (78) |
Mortgage commitments to purchase whole loans | ||
Derivative [Line Items] | ||
Notional Amount | 4,230 | 2,596 |
Asset Derivatives | ||
Derivative assets | 14 | 4 |
Liability Derivatives | ||
Derivatives liabilities at fair value | (2) | (8) |
Forward contracts to purchase mortgage-related securities | ||
Derivative [Line Items] | ||
Notional Amount | 20,647 | 17,808 |
Asset Derivatives | ||
Derivative assets | 83 | 50 |
Liability Derivatives | ||
Derivatives liabilities at fair value | (12) | (57) |
Forward contracts to sell mortgage-related securities | ||
Derivative [Line Items] | ||
Notional Amount | 37,973 | 35,302 |
Asset Derivatives | ||
Derivative assets | 3 | 35 |
Liability Derivatives | ||
Derivatives liabilities at fair value | (129) | (13) |
Credit enhancement derivatives | ||
Derivative [Line Items] | ||
Notional Amount | 24,755 | 23,784 |
Asset Derivatives | ||
Derivative assets | 3 | 3 |
Liability Derivatives | ||
Derivatives liabilities at fair value | $ (65) | $ (66) |
Derivative Instruments - FV Gai
Derivative Instruments - FV Gains and Losses (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | $ (338) | $ 1,353 | |
Net contractual interest expense on interest-rate swaps | 6,786 | 7,399 | |
Interest income on mortgage loans | 32,137 | 27,142 | |
Long-term debt | (26,665) | (19,940) | |
Hedged asset, carrying amount | 330,541 | $ 293,788 | |
Hedged asset, total basis adjustments | (440) | (628) | |
Hedged asset, discontinued fair value, remaining adjustments | (440) | (628) | |
Closed portfolio, amortized cost | 132,035 | 98,377 | |
Closed portfolio, designated UPB | 3,787 | 5,187 | |
Hedged liability, carrying amount | (74,239) | (73,790) | |
Hedged liability, total basis adjustments | 4,278 | 4,713 | |
Hedged liability, discontinued fair value, remaining adjustments | 4,278 | $ 4,713 | |
Pay-fixed | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | (1,590) | 2,125 | |
Receive-fixed | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | 1,572 | (2,260) | |
Basis | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | 13 | (68) | |
Foreign currency | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | 8 | (24) | |
Pay-fixed | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | (33) | 44 | |
Receive-fixed | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | (1) | (3) | |
Futures | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | 0 | 0 | |
Risk Management Derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | (209) | (197) | |
Net contractual interest expense on interest-rate swaps | (178) | (11) | |
Mortgage commitment derivatives | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | (114) | 1,572 | |
Credit enhancement derivatives fair value losses, net | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total derivatives fair value gains (losses), net | (15) | (22) | |
Interest rate risk on held-for-investment mortgage loan | Interest Income | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (loss) in hedged item | 177 | (238) | |
Discontinued hedge related basis adjustment amortization | 11 | 0 | |
Change in unrealized gain (loss) in derivatives designated as hedging instruments | (214) | 227 | |
Interest accruals on hedging instruments | 26 | (8) | |
Total effect of fair value hedges | 0 | (19) | |
Interest rate risk on debt | Interest Expense | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (loss) in hedged item | (239) | 1,623 | |
Discontinued hedge related basis adjustment amortization | (196) | (65) | |
Change in unrealized gain (loss) in derivatives designated as hedging instruments | 432 | (1,524) | |
Interest accruals on hedging instruments | (229) | 47 | |
Total effect of fair value hedges | $ (232) | $ 81 |
Segment Reporting (Details)
Segment Reporting (Details) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 USD ($) segment | Mar. 31, 2022 USD ($) | |
Segment Reporting Information [Line Items] | ||
Number of reportable business segments | segment | 2 | |
Net interest income | $ 6,786 | $ 7,399 |
Fee and other income | 63 | 83 |
Net revenues | 6,849 | 7,482 |
Investment gains (losses), net | (67) | (102) |
Fair value gains, net | 204 | 480 |
Administrative expenses | (868) | (808) |
Benefit (provision) for credit losses | (132) | (240) |
TCCA fees | (855) | (824) |
Credit enhancement expense | (341) | (278) |
Change in expected credit enhancement recoveries | 120 | 60 |
Other expenses, net | (130) | (197) |
Income before federal income taxes | 4,780 | 5,573 |
Provision for federal income taxes | (1,008) | (1,165) |
Net income | 3,772 | 4,408 |
US Treasury | ||
Segment Reporting Information [Line Items] | ||
TCCA fees | (855) | (824) |
Business segments | Single-Family | ||
Segment Reporting Information [Line Items] | ||
Net interest income | 5,672 | 6,255 |
Fee and other income | 48 | 61 |
Net revenues | 5,720 | 6,316 |
Investment gains (losses), net | (71) | (66) |
Fair value gains, net | 166 | 527 |
Administrative expenses | (720) | (683) |
Benefit (provision) for credit losses | 47 | (270) |
Credit enhancement expense | (287) | (210) |
Change in expected credit enhancement recoveries | 95 | 69 |
Other expenses, net | (116) | (164) |
Income before federal income taxes | 3,979 | 4,695 |
Provision for federal income taxes | (847) | (986) |
Net income | 3,132 | 3,709 |
Business segments | Single-Family | US Treasury | ||
Segment Reporting Information [Line Items] | ||
TCCA fees | (855) | (824) |
Business segments | Multifamily | ||
Segment Reporting Information [Line Items] | ||
Net interest income | 1,114 | 1,144 |
Fee and other income | 15 | 22 |
Net revenues | 1,129 | 1,166 |
Investment gains (losses), net | 4 | (36) |
Fair value gains, net | 38 | (47) |
Administrative expenses | (148) | (125) |
Benefit (provision) for credit losses | (179) | 30 |
Credit enhancement expense | (54) | (68) |
Change in expected credit enhancement recoveries | 25 | (9) |
Other expenses, net | (14) | (33) |
Income before federal income taxes | 801 | 878 |
Provision for federal income taxes | (161) | (179) |
Net income | 640 | 699 |
Business segments | Multifamily | US Treasury | ||
Segment Reporting Information [Line Items] | ||
TCCA fees | $ 0 | $ 0 |
Concentrations of Credit Risk -
Concentrations of Credit Risk - SF Risk Characteristics (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Serious delinquency, days past due | 90 days | |
Single-family | Guaranty Book of Business | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
30 days delinquent (percentage of book of business) | 0.65% | 0.84% |
60 days delinquent (percentage of book of business) | 0.17% | 0.20% |
Seriously delinquent (percentage of book of business) | 0.55% | 0.60% |
30 days delinquent (percentage of conventional loans) | 0.74% | 0.96% |
60 days delinquent (percentage of conventional loans) | 0.19% | 0.23% |
Seriously delinquent (percentage of conventional loans) | 0.59% | 0.65% |
Single-family | Guaranty Book of Business | 80.01% to 90% | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 0.68% | 0.68% |
Percentage of book of business | 6% | 5% |
Single-family | Guaranty Book of Business | 90.01% to 100% | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 0.53% | 0.40% |
Percentage of book of business | 3% | 3% |
Single-family | Guaranty Book of Business | Greater than 100% | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 1.67% | 4.04% |
Percentage of book of business | ||
Single-family | Guaranty Book of Business | 2008 and prior | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 2.62% | 2.78% |
Percentage of book of business | 2% | 2% |
Single-family | Guaranty Book of Business | 2009-2023 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 0.48% | 0.53% |
Percentage of book of business | 98% | 98% |
Single-family | Guaranty Book of Business | California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 0.43% | 0.46% |
Percentage of book of business | 19% | 19% |
Single-family | Guaranty Book of Business | Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 0.81% | 0.90% |
Percentage of book of business | 6% | 6% |
Single-family | Guaranty Book of Business | Illinois | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 0.79% | 0.86% |
Percentage of book of business | 3% | 3% |
Single-family | Guaranty Book of Business | New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 0.76% | 0.85% |
Percentage of book of business | 3% | 3% |
Single-family | Guaranty Book of Business | New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 1.02% | 1.12% |
Percentage of book of business | 5% | 5% |
Single-family | Guaranty Book of Business | All other states | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Seriously delinquent (percentage of conventional loans) | 0.55% | 0.62% |
Percentage of book of business | 64% | 64% |
Single-family | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Serious delinquency, days past due | 90 days | 90 days |
Concentrations of Credit Risk_2
Concentrations of Credit Risk - MF Risk Characteristics (Details) | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Serious delinquency, days past due | 90 days | ||
Multifamily | Minimum | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Serious delinquency, days past due | 60 days | 60 days | |
Multifamily | Maximum | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Serious delinquency, days past due | 89 days | 89 days | |
Current debt service coverage ratio (higher risk loans) | 1 | ||
Multifamily | Guaranty Book of Business | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
30 days delinquent (percentage of book of business) | 0.06% | 0.04% | |
Seriously delinquent (percentage of book of business) | 0.35% | 0.24% | |
Multifamily | Guaranty Book of Business | Original LTV ratio greater than 80% | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of book of business | 1% | 1% | |
Loans seriously delinquent, percentage by unpaid principal balance | 0.22% | 0.85% | |
Multifamily | Guaranty Book of Business | Original LTV ratio less than or equal to 80% | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of book of business | 99% | 99% | |
Loans seriously delinquent, percentage by unpaid principal balance | 0.35% | 0.24% | |
Multifamily | Guaranty Book of Business | Current DSCR below 1.0 | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of book of business | 3% | 3% | |
Loans seriously delinquent, percentage by unpaid principal balance | 7.89% | 3.88% |
Concentrations of Credit Risk_3
Concentrations of Credit Risk - Other Concentrations (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Concentration Risk [Line Items] | ||
Estimated benefit included in loss reserves | $ 2,200 | $ 2,200 |
Receivable from claims on insured, defaulted loans excluding government insured loans | 513 | 515 |
Allowance for mortgage insurance receivable | 462 | 462 |
Single-family | Guaranty Book of Business | ||
Concentration Risk [Line Items] | ||
Primary mortgage insurance | 194,232 | 193,549 |
Pool mortgage insurance | 236 | 237 |
Total mortgage insurance risk in force | $ 194,468 | $ 193,786 |
Total mortgage insurance coverage risk in force (as percentage) | 5% | 5% |
Single-family | Guaranty Book of Business | Credit Concentration Risk | Other Servicers | Top five depository servicers | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 23% | 22% |
Single-family | Guaranty Book of Business | Credit Concentration Risk | Group of Largest Mortgage Servicers including Affiliates | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 46% | 45% |
Single-family | Guaranty Book of Business | Credit Concentration Risk | Group of Largest Mortgage Servicers including Affiliates | Top five non-depository servicers | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 23% | 23% |
Single-family | Guaranty Book of Business | Insurance Service Provider Concentration Risk | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 100% | 100% |
Single-family | Guaranty Book of Business | Insurance Service Provider Concentration Risk | Mortgage Guaranty Insurance Corp. | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 19% | 19% |
Single-family | Guaranty Book of Business | Insurance Service Provider Concentration Risk | Arch Capital Group Ltd. | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 18% | 18% |
Single-family | Guaranty Book of Business | Insurance Service Provider Concentration Risk | Radian Guaranty, Inc. | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 17% | 17% |
Single-family | Guaranty Book of Business | Insurance Service Provider Concentration Risk | Enact Mortgage Insurance Corp. | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 17% | 17% |
Single-family | Guaranty Book of Business | Insurance Service Provider Concentration Risk | Essent Guaranty, Inc. | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 16% | 16% |
Single-family | Guaranty Book of Business | Insurance Service Provider Concentration Risk | National Mortgage Insurance Corp. | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 12% | 12% |
Single-family | Guaranty Book of Business | Insurance Service Provider Concentration Risk | Others | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 1% | 1% |
Multifamily | Guaranty Book of Business | Credit Concentration Risk | Walker & Dunlop, Inc. | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 13% | 13% |
Multifamily | Guaranty Book of Business | Credit Concentration Risk | Wells Fargo Bank N.A. | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 11% | 11% |
Multifamily | Guaranty Book of Business | Credit Concentration Risk | Other Servicers | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 24% | 24% |
Multifamily | Guaranty Book of Business | Credit Concentration Risk | Group of Largest Mortgage Servicers including Affiliates | ||
Concentration Risk [Line Items] | ||
Percentage of Risk-in-Force Coverage by Mortgage Insurer | 48% | 48% |
Netting Arrangements (Details)
Netting Arrangements (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Assets: | ||
Derivative assets, gross amount | $ 314 | $ 326 |
Derivative assets, gross amount offset | (164) | (154) |
Derivative assets, net amount presented in our condensed consolidated balance sheets | 150 | 172 |
Derivative assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, financial instruments | (55) | (50) |
Derivative assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | (1) | (12) |
Derivative assets, net amount | 94 | 110 |
Securities purchased under agreements to resell, gross amount | 81,550 | 69,415 |
Securities purchased under agreements to resell, gross amount offset | 0 | 0 |
Securities purchased under agreements to resell, under master netting arrangements, | 81,550 | 69,415 |
Securities purchased under agreements to resell, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, financial instruments | 0 | 0 |
Securities purchased under agreements to resell, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | (81,550) | (69,415) |
Securities purchased under agreements to resell, net amount | 0 | 0 |
Total assets, gross amount | 81,864 | 69,741 |
Total assets, gross amount offset | (164) | (154) |
Total assets, net amount presented in our condensed consolidated balance sheets | 81,700 | 69,587 |
Total assets, under the master netting arrangements, not offset in our consolidated balance sheets, financial instruments | (55) | (50) |
Total assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | (81,551) | (69,427) |
Total assets, net amount | 94 | 110 |
Liabilities: | ||
Total liabilities, gross amount | (4,153) | (4,764) |
Total liabilities, gross amount offset | 3,910 | 4,662 |
Total liabilities, net amount presented in our condensed consolidated balance sheets | (243) | (102) |
Total liabilities, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, financial instruments | 55 | 50 |
Total liabilities, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | 97 | 7 |
Total liabilities, net amount | (91) | (45) |
Mortgage commitment derivatives | ||
Assets: | ||
Derivative assets, gross amount | 100 | 89 |
Derivative assets, gross amount offset | 0 | 0 |
Derivative assets, net amount presented in our condensed consolidated balance sheets | 100 | 89 |
Derivative assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, financial instruments | (55) | (50) |
Derivative assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | (1) | (12) |
Derivative assets, net amount | 44 | 27 |
Liabilities: | ||
Derivative liabilities, gross amount | (143) | (78) |
Derivative liabilities, gross amount offset | 0 | 0 |
Derivative liabilities, net amount presented in our condensed consolidated balance sheets | (143) | (78) |
Derivative liabilities, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, financial instruments | 55 | 50 |
Derivative liabilities, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | 0 | 7 |
Derivative liabilities, net amount | (88) | (21) |
OTC risk management derivatives | Risk Management Derivatives | ||
Assets: | ||
Derivative assets, gross amount | 214 | 237 |
Derivative assets, gross amount offset | (165) | (234) |
Derivative assets, net amount presented in our condensed consolidated balance sheets | 49 | 3 |
Derivative assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, financial instruments | 0 | 0 |
Derivative assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | 0 | 0 |
Derivative assets, net amount | 49 | 3 |
Liabilities: | ||
Derivative liabilities, gross amount | (4,010) | (4,686) |
Derivative liabilities, gross amount offset | 4,007 | 4,662 |
Derivative liabilities, net amount presented in our condensed consolidated balance sheets | (3) | (24) |
Derivative liabilities, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, financial instruments | 0 | 0 |
Derivative liabilities, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | 0 | 0 |
Derivative liabilities, net amount | (3) | (24) |
Cleared risk management derivatives | Risk Management Derivatives | ||
Assets: | ||
Derivative assets, gross amount | 0 | 0 |
Derivative assets, gross amount offset | 1 | 80 |
Derivative assets, net amount presented in our condensed consolidated balance sheets | 1 | 80 |
Derivative assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, financial instruments | 0 | 0 |
Derivative assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | 0 | 0 |
Derivative assets, net amount | 1 | 80 |
Liabilities: | ||
Derivative liabilities, gross amount | 0 | 0 |
Derivative liabilities, gross amount offset | (97) | 0 |
Derivative liabilities, net amount presented in our condensed consolidated balance sheets | (97) | 0 |
Derivative liabilities, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, financial instruments | 0 | 0 |
Derivative liabilities, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | 97 | 0 |
Derivative liabilities, net amount | $ 0 | $ 0 |
Netting Arrangements - Narrativ
Netting Arrangements - Narratives (Details) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative [Line Items] | ||
Assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | $ 81,551,000,000 | $ 69,427,000,000 |
Fair value of non-cash collateral received | 81,600,000,000 | 69,500,000,000 |
Fair value of non-cash collateral received that can be resold or repledged | 41,500,000,000 | 28,700,000,000 |
Fair value of securities received as collateral that have been resold or re-pledged | 0 | 0 |
Derivative assets not subject to enforceable master netting arrangements | 3,000,000 | 3,000,000 |
Derivative liabilities not subject to enforceable master netting arrangements | (65,000,000) | (66,000,000) |
Securities purchased under agreements to resell | 26,950,000,000 | 14,565,000,000 |
Asset pledged as collateral with right to sell or repledge | ||
Derivative [Line Items] | ||
Assets, under master netting arrangements, amounts not offset in our condensed consolidated balance sheets, collateral | 2,200,000,000 | 2,100,000,000 |
Cash and Cash Equivalents | ||
Derivative [Line Items] | ||
Securities purchased under agreements to resell | 45,500,000,000 | 45,200,000,000 |
Restricted Cash and Cash Equivalent | ||
Derivative [Line Items] | ||
Securities purchased under agreements to resell | $ 9,100,000,000 | $ 9,700,000,000 |
Fair Value - Levels Hierarchy (
Fair Value - Levels Hierarchy (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Assets: | ||
Total Fair Value | $ 679 | $ 696 |
Mortgage loans held for investment, net of allowance for loan losses | 3,599 | 3,645 |
Derivative assets at fair value | 153 | 175 |
Derivative assets, gross amount offset | (164) | (154) |
Liabilities: | ||
Derivative liabilities | 308 | 168 |
Fannie Mae | ||
Liabilities: | ||
Long-term debt: | 1,132 | 1,161 |
Consolidated Trusts | ||
Liabilities: | ||
Long-term debt: | 15,972 | 16,260 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets: | ||
Trading securities | 47,537 | 46,898 |
Total Fair Value | 0 | 0 |
Mortgage loans held for investment, net of allowance for loan losses | 0 | 0 |
Derivative assets at fair value | 0 | 0 |
Total financial assets | 83,774 | 79,889 |
Liabilities: | ||
Derivative liabilities | 0 | 0 |
Total financial liabilities | 0 | 0 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | Fannie Mae | ||
Liabilities: | ||
Long-term debt: | 0 | 0 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | Consolidated Trusts | ||
Liabilities: | ||
Long-term debt: | 0 | 0 |
Significant Other Observable Inputs (Level 2) | ||
Assets: | ||
Trading securities | 2,841 | 3,184 |
Total Fair Value | 57 | 62 |
Mortgage loans held for investment, net of allowance for loan losses | 3,489,281 | 3,437,979 |
Derivative assets at fair value | 290 | 300 |
Total financial assets | 3,576,790 | 3,512,490 |
Liabilities: | ||
Derivative liabilities | 4,153 | 4,764 |
Total financial liabilities | 3,716,103 | 3,648,996 |
Significant Other Observable Inputs (Level 2) | Fannie Mae | ||
Liabilities: | ||
Long-term debt: | 124,585 | 122,066 |
Significant Other Observable Inputs (Level 2) | Consolidated Trusts | ||
Liabilities: | ||
Long-term debt: | 3,573,396 | 3,511,958 |
Significant Unobservable Inputs (Level 3) | ||
Assets: | ||
Trading securities | 32 | 47 |
Total Fair Value | 622 | 634 |
Mortgage loans held for investment, net of allowance for loan losses | 170,658 | 171,857 |
Derivative assets at fair value | 27 | 29 |
Total financial assets | 172,014 | 174,762 |
Liabilities: | ||
Derivative liabilities | 65 | 66 |
Total financial liabilities | 42,200 | 42,840 |
Significant Unobservable Inputs (Level 3) | Fannie Mae | ||
Liabilities: | ||
Long-term debt: | 577 | 558 |
Significant Unobservable Inputs (Level 3) | Consolidated Trusts | ||
Liabilities: | ||
Long-term debt: | 41,490 | 42,150 |
Recurring | ||
Assets: | ||
Trading securities | 50,410 | 50,129 |
Total Fair Value | 679 | 696 |
Mortgage loans held for investment, net of allowance for loan losses | 3,599 | 3,645 |
Derivative assets at fair value | 153 | 175 |
Derivative assets, gross amount offset | (164) | (154) |
Total financial assets | 54,841 | 54,645 |
Liabilities: | ||
Long-term debt: | 17,104 | 17,421 |
Derivative liabilities | 308 | 168 |
Derivative liabilities, gross amount offset | (3,910) | (4,662) |
Total financial liabilities | 17,412 | 17,589 |
Recurring | Fannie Mae | ||
Liabilities: | ||
Long-term debt: | 1,132 | 1,161 |
Recurring | Consolidated Trusts | ||
Liabilities: | ||
Long-term debt: | 15,972 | 16,260 |
Recurring | Mortgage-related | ||
Assets: | ||
Trading securities | 2,852 | 3,211 |
Recurring | Non-mortgage-related securities | ||
Assets: | ||
Trading securities | 47,558 | 46,918 |
Recurring | Other agency | ||
Assets: | ||
Total Fair Value | 414 | 426 |
Recurring | Other mortgage-related | ||
Assets: | ||
Total Fair Value | 265 | 270 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Assets: | ||
Trading securities | 47,537 | 46,898 |
Total Fair Value | 0 | 0 |
Mortgage loans held for investment, net of allowance for loan losses | 0 | 0 |
Derivative assets at fair value | 0 | 0 |
Total financial assets | 47,537 | 46,898 |
Liabilities: | ||
Long-term debt: | 0 | 0 |
Derivative liabilities | 0 | 0 |
Total financial liabilities | 0 | 0 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | Fannie Mae | ||
Liabilities: | ||
Long-term debt: | 0 | 0 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | Consolidated Trusts | ||
Liabilities: | ||
Long-term debt: | 0 | 0 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | Mortgage-related | ||
Assets: | ||
Trading securities | 0 | 0 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | Non-mortgage-related securities | ||
Assets: | ||
Trading securities | 47,537 | 46,898 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other agency | ||
Assets: | ||
Total Fair Value | 0 | 0 |
Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | Other mortgage-related | ||
Assets: | ||
Total Fair Value | 0 | 0 |
Recurring | Significant Other Observable Inputs (Level 2) | ||
Assets: | ||
Trading securities | 2,841 | 3,184 |
Total Fair Value | 57 | 62 |
Mortgage loans held for investment, net of allowance for loan losses | 3,073 | 3,102 |
Derivative assets at fair value | 290 | 300 |
Total financial assets | 6,261 | 6,648 |
Liabilities: | ||
Long-term debt: | 16,721 | 17,043 |
Derivative liabilities | 4,153 | 4,764 |
Total financial liabilities | 20,874 | 21,807 |
Recurring | Significant Other Observable Inputs (Level 2) | Fannie Mae | ||
Liabilities: | ||
Long-term debt: | 882 | 919 |
Recurring | Significant Other Observable Inputs (Level 2) | Consolidated Trusts | ||
Liabilities: | ||
Long-term debt: | 15,839 | 16,124 |
Recurring | Significant Other Observable Inputs (Level 2) | Mortgage-related | ||
Assets: | ||
Trading securities | 2,820 | 3,164 |
Recurring | Significant Other Observable Inputs (Level 2) | Non-mortgage-related securities | ||
Assets: | ||
Trading securities | 21 | 20 |
Recurring | Significant Other Observable Inputs (Level 2) | Other agency | ||
Assets: | ||
Total Fair Value | 52 | 55 |
Recurring | Significant Other Observable Inputs (Level 2) | Other mortgage-related | ||
Assets: | ||
Total Fair Value | 5 | 7 |
Recurring | Significant Unobservable Inputs (Level 3) | ||
Assets: | ||
Trading securities | 32 | 47 |
Total Fair Value | 622 | 634 |
Mortgage loans held for investment, net of allowance for loan losses | 526 | 543 |
Derivative assets at fair value | 27 | 29 |
Total financial assets | 1,207 | 1,253 |
Liabilities: | ||
Long-term debt: | 383 | 378 |
Derivative liabilities | 65 | 66 |
Total financial liabilities | 448 | 444 |
Recurring | Significant Unobservable Inputs (Level 3) | Fannie Mae | ||
Liabilities: | ||
Long-term debt: | 250 | 242 |
Recurring | Significant Unobservable Inputs (Level 3) | Consolidated Trusts | ||
Liabilities: | ||
Long-term debt: | 133 | 136 |
Recurring | Significant Unobservable Inputs (Level 3) | Mortgage-related | ||
Assets: | ||
Trading securities | 32 | 47 |
Recurring | Significant Unobservable Inputs (Level 3) | Non-mortgage-related securities | ||
Assets: | ||
Trading securities | 0 | 0 |
Recurring | Significant Unobservable Inputs (Level 3) | Other agency | ||
Assets: | ||
Total Fair Value | 362 | 371 |
Recurring | Significant Unobservable Inputs (Level 3) | Other mortgage-related | ||
Assets: | ||
Total Fair Value | $ 260 | $ 263 |
Fair Value - Level 3 Rollforwar
Fair Value - Level 3 Rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Liability, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement Of Income, Extensible List Not Disclosed Flag | Total long-term debt | Total long-term debt |
Fair Value, Recurring Basis, Unobservable Input, Reconciliation, Liability Gain (Loss), Statement Of Income, Extensible List, Not Disclosed Flag | Included in Net Income | Included in Net Income |
Fair Value, Recurring Basis, Unobservable Input, Reconciliation, Asset Gain (Loss), Statement Of Income, Extensible List, Not Disclosed Flag | Included in Net Income | Included in Net Income |
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement Of Income, Extensible List Not Disclosed Flag | Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2023(4)(5) | Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2022(4)(5) |
Total available-for-sale securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning Balance | $ 634 | $ 753 |
Total gains (losses) (realized/unrealized) included in net income | 2 | (7) |
Total gains (losses) (realized/unrealized) Included in OCI (loss) | 3 | (5) |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Issues | 0 | 0 |
Settlements | (18) | (13) |
Transfers out of Level 3 | 0 | (2) |
Transfers into Level 3 | 1 | 1 |
Ending Balance | 622 | 727 |
Net unrealized gain (losses) related to assets | 2 | (4) |
Mortgage loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning Balance | 543 | 755 |
Total gains (losses) (realized/unrealized) included in net income | 7 | (25) |
Total gains (losses) (realized/unrealized) Included in OCI (loss) | 0 | 0 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Issues | 0 | 0 |
Settlements | (25) | (41) |
Transfers out of Level 3 | (9) | (44) |
Transfers into Level 3 | 10 | 23 |
Ending Balance | 526 | 668 |
Net unrealized gain (losses) related to assets | 6 | (21) |
Net derivatives | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning Balance | (37) | 131 |
Total gains (losses) (realized/unrealized) included in net income | (6) | (82) |
Total gains (losses) (realized/unrealized) Included in OCI (loss) | 0 | 0 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Issues | 0 | 0 |
Settlements | 5 | 8 |
Transfers out of Level 3 | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Ending Balance | (38) | 57 |
Net unrealized gain (losses) related to assets | (1) | (74) |
Long-term debt: | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning Balance | (378) | (468) |
Total gains (losses) (realized/unrealized) included in net income | (10) | 68 |
Total gains (losses) (realized/unrealized) included in OCI (loss) | 0 | 0 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Issues | 0 | (86) |
Settlements | 5 | 18 |
Transfers out of Level 3 | 0 | 1 |
Transfers into Level 3 | 0 | (1) |
Ending Balance | (383) | (468) |
Net unrealized gain (losses) related to liabilities | (10) | 68 |
Fannie Mae | Long-term debt: | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning Balance | (242) | (373) |
Total gains (losses) (realized/unrealized) included in net income | (8) | 66 |
Total gains (losses) (realized/unrealized) included in OCI (loss) | 0 | 0 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Issues | 0 | 0 |
Settlements | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Ending Balance | (250) | (307) |
Net unrealized gain (losses) related to liabilities | (8) | 66 |
Consolidated Trusts | Long-term debt: | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning Balance | (136) | (95) |
Total gains (losses) (realized/unrealized) included in net income | (2) | 2 |
Total gains (losses) (realized/unrealized) included in OCI (loss) | 0 | 0 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Issues | 0 | (86) |
Settlements | 5 | 18 |
Transfers out of Level 3 | 0 | 1 |
Transfers into Level 3 | 0 | (1) |
Ending Balance | (133) | (161) |
Net unrealized gain (losses) related to liabilities | (2) | 2 |
Mortgage-related | Total trading securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning Balance | 47 | 57 |
Total gains (losses) (realized/unrealized) included in net income | (6) | (6) |
Total gains (losses) (realized/unrealized) Included in OCI (loss) | 0 | 0 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Issues | 0 | 0 |
Settlements | 0 | 0 |
Transfers out of Level 3 | (9) | (9) |
Transfers into Level 3 | 0 | 5 |
Ending Balance | 32 | 47 |
Net unrealized gain (losses) related to assets | (4) | (4) |
Agency securities | Total available-for-sale securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning Balance | 371 | 431 |
Total gains (losses) (realized/unrealized) included in net income | 0 | 1 |
Total gains (losses) (realized/unrealized) Included in OCI (loss) | (1) | (4) |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Issues | 0 | 0 |
Settlements | (8) | (10) |
Transfers out of Level 3 | 0 | 0 |
Transfers into Level 3 | 0 | 0 |
Ending Balance | 362 | 418 |
Net unrealized gain (losses) related to assets | (1) | (3) |
Other mortgage-related | Total available-for-sale securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning Balance | 263 | 322 |
Total gains (losses) (realized/unrealized) included in net income | 2 | (8) |
Total gains (losses) (realized/unrealized) Included in OCI (loss) | 4 | (1) |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Issues | 0 | 0 |
Settlements | (10) | (3) |
Transfers out of Level 3 | 0 | (2) |
Transfers into Level 3 | 1 | 1 |
Ending Balance | 260 | 309 |
Net unrealized gain (losses) related to assets | $ 3 | $ (1) |
Fair Value - Level 3 Valuation
Fair Value - Level 3 Valuation Inputs (Details) $ in Millions | Mar. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) |
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total Fair Value | $ 679 | $ 696 |
Derivatives | 150 | 172 |
Recurring | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Trading securities | 50,410 | 50,129 |
Total Fair Value | 679 | 696 |
Significant Unobservable Inputs (Level 3) | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Trading securities | 32 | 47 |
Total Fair Value | 622 | 634 |
Significant Unobservable Inputs (Level 3) | Recurring | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Trading securities | 32 | 47 |
Total Fair Value | 622 | 634 |
Derivatives | (38) | (37) |
Significant Unobservable Inputs (Level 3) | Recurring | Discounted Cash Flow | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Derivatives | (63) | (62) |
Significant Unobservable Inputs (Level 3) | Recurring | Dealer Mark | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Derivatives | 25 | 25 |
Mortgage-related | Recurring | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Trading securities | 2,852 | 3,211 |
Mortgage-related | Significant Unobservable Inputs (Level 3) | Recurring | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Trading securities | 32 | 47 |
Mortgage-related | Significant Unobservable Inputs (Level 3) | Recurring | Various | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Trading securities | 32 | 47 |
Agency | Significant Unobservable Inputs (Level 3) | Recurring | Consensus | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total Fair Value | 362 | 371 |
Other mortgage-related | Recurring | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total Fair Value | 265 | 270 |
Other mortgage-related | Significant Unobservable Inputs (Level 3) | Recurring | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total Fair Value | 260 | 263 |
Other mortgage-related | Significant Unobservable Inputs (Level 3) | Recurring | Various | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total Fair Value | 25 | 25 |
Other mortgage-related | Significant Unobservable Inputs (Level 3) | Recurring | Discounted Cash Flow | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total Fair Value | $ 138 | $ 142 |
Other mortgage-related | Significant Unobservable Inputs (Level 3) | Recurring | Discounted Cash Flow | Total available-for-sale securities | Minimum | Default Rate | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Spreads (percent) | 0.05300 | 0.05310 |
Other mortgage-related | Significant Unobservable Inputs (Level 3) | Recurring | Discounted Cash Flow | Total available-for-sale securities | Maximum | Default Rate | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Spreads (percent) | 0.05600 | 0.05820 |
Other mortgage-related | Significant Unobservable Inputs (Level 3) | Recurring | Discounted Cash Flow | Total available-for-sale securities | Weighted Average | Default Rate | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Spreads (percent) | 0.05455 | 0.05577 |
Other mortgage-related | Significant Unobservable Inputs (Level 3) | Recurring | Single Vendor | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total Fair Value | $ 97 | $ 96 |
Fair Value - Level 3 Valuatio_2
Fair Value - Level 3 Valuation - Nonrecurring (Details) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Fair Value Inputs, Quantitative Information [Line Items] | ||
Mortgage loans held for investment, net of allowance for loan losses | $ 3,599,000,000 | $ 3,645,000,000 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total nonrecurring assets at fair value | 83,774,000,000 | 79,889,000,000 |
Mortgage loans held-for-sale, at lower of cost or fair value | 0 | 0 |
Mortgage loans held for investment, net of allowance for loan losses | 0 | 0 |
Significant Other Observable Inputs (Level 2) | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total nonrecurring assets at fair value | 3,576,790,000,000 | 3,512,490,000,000 |
Mortgage loans held-for-sale, at lower of cost or fair value | 23,000,000 | 48,000,000 |
Mortgage loans held for investment, net of allowance for loan losses | 3,489,281,000,000 | 3,437,979,000,000 |
Significant Unobservable Inputs (Level 3) | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total nonrecurring assets at fair value | 172,014,000,000 | 174,762,000,000 |
Mortgage loans held-for-sale, at lower of cost or fair value | 503,000,000 | 2,029,000,000 |
Mortgage loans held for investment, net of allowance for loan losses | 170,658,000,000 | 171,857,000,000 |
Nonrecurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total nonrecurring assets at fair value | 0 | 0 |
Nonrecurring | Significant Other Observable Inputs (Level 2) | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Mortgage loans held-for-sale, at lower of cost or fair value | 11,000,000 | 30,000,000 |
Total nonrecurring liabilities at fair value | 0 | 0 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Total nonrecurring assets at fair value | 2,538,000,000 | 4,462,000,000 |
Mortgage loans held-for-sale, at lower of cost or fair value | 326,000,000 | 1,663,000,000 |
Total nonrecurring liabilities at fair value | 0 | 0 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Consensus | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Mortgage loans held-for-sale, at lower of cost or fair value | 205,000,000 | 1,571,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Single Vendor | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Mortgage loans held-for-sale, at lower of cost or fair value | 121,000,000 | 92,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Single-Family | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Acquired property, net | 395,000,000 | 400,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Single-Family | Internal Model | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Mortgage loans held for investment, net of allowance for loan losses | 926,000,000 | 1,636,000,000 |
Acquired property, net | 211,000,000 | 215,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Single-Family | Appraisal | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Acquired property, net | 43,000,000 | 65,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Single-Family | Accepted Offer | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Acquired property, net | 23,000,000 | 17,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Single-Family | Walk Forward | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Acquired property, net | 98,000,000 | 91,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Single-Family | Various | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Acquired property, net | 20,000,000 | 12,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Multifamily | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Mortgage loans held for investment, net of allowance for loan losses | 855,000,000 | 644,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Multifamily | Internal Model | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Mortgage loans held for investment, net of allowance for loan losses | 146,000,000 | 27,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Multifamily | Appraisal | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Mortgage loans held for investment, net of allowance for loan losses | 12,000,000 | 3,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Multifamily | Broker Price Opinion | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Mortgage loans held for investment, net of allowance for loan losses | 697,000,000 | 614,000,000 |
Nonrecurring | Significant Unobservable Inputs (Level 3) | Multifamily | Various | ||
Fair Value Inputs, Quantitative Information [Line Items] | ||
Acquired property, net | $ 36,000,000 | $ 119,000,000 |
Fair Value - Fair Value of Fina
Fair Value - Fair Value of Financial Instruments (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Fair Value Measurement [Domain] | ||
Financial assets: | ||
Derivative assets, gross amount offset | $ (164) | $ (154) |
Financial liabilities: | ||
Derivative liabilities, gross amount offset | (3,910) | (4,662) |
Total Fair Value | 679 | 696 |
Mortgage loans held for investment, net of allowance for loan losses | 3,599 | 3,645 |
Derivative assets at fair value | 153 | 175 |
Derivative assets, gross amount offset | (164) | (154) |
Derivative liabilities at fair value | 308 | 168 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Financial assets: | ||
Cash and cash equivalents, including restricted cash and cash equivalents | 36,237 | 32,991 |
Securities purchased under agreements to resell | 0 | 0 |
Trading securities | 47,537 | 46,898 |
Total Fair Value | 0 | 0 |
Mortgage loans held for sale | 0 | 0 |
Mortgage loans held for investment, net of allowance for loan losses | 0 | 0 |
Advances to lenders | 0 | 0 |
Derivative assets at fair value | 0 | 0 |
Guaranty assets and buy-ups | 0 | 0 |
Total financial assets | 83,774 | 79,889 |
Financial liabilities: | ||
Derivative liabilities at fair value | 0 | 0 |
Guaranty obligations | 0 | 0 |
Total financial liabilities | 0 | 0 |
Significant Other Observable Inputs (Level 2) | ||
Financial assets: | ||
Cash and cash equivalents, including restricted cash and cash equivalents | 54,600 | 54,850 |
Securities purchased under agreements to resell | 26,950 | 14,565 |
Trading securities | 2,841 | 3,184 |
Total Fair Value | 57 | 62 |
Mortgage loans held for sale | 23 | 48 |
Mortgage loans held for investment, net of allowance for loan losses | 3,489,281 | 3,437,979 |
Advances to lenders | 2,748 | 1,502 |
Derivative assets at fair value | 290 | 300 |
Guaranty assets and buy-ups | 0 | 0 |
Total financial assets | 3,576,790 | 3,512,490 |
Financial liabilities: | ||
Derivative liabilities at fair value | 4,153 | 4,764 |
Guaranty obligations | 0 | 0 |
Total financial liabilities | 3,716,103 | 3,648,996 |
Significant Unobservable Inputs (Level 3) | ||
Financial assets: | ||
Cash and cash equivalents, including restricted cash and cash equivalents | 0 | 0 |
Securities purchased under agreements to resell | 0 | 0 |
Trading securities | 32 | 47 |
Total Fair Value | 622 | 634 |
Mortgage loans held for sale | 503 | 2,029 |
Mortgage loans held for investment, net of allowance for loan losses | 170,658 | 171,857 |
Advances to lenders | 0 | 0 |
Derivative assets at fair value | 27 | 29 |
Guaranty assets and buy-ups | 172 | 166 |
Total financial assets | 172,014 | 174,762 |
Financial liabilities: | ||
Derivative liabilities at fair value | 65 | 66 |
Guaranty obligations | 68 | 66 |
Total financial liabilities | 42,200 | 42,840 |
Fannie Mae | ||
Financial liabilities: | ||
Long-term debt: | 1,132 | 1,161 |
Fannie Mae | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Financial liabilities: | ||
Short-term debt: | 0 | 0 |
Long-term debt: | 0 | 0 |
Fannie Mae | Significant Other Observable Inputs (Level 2) | ||
Financial liabilities: | ||
Short-term debt: | 13,969 | 10,208 |
Long-term debt: | 124,585 | 122,066 |
Fannie Mae | Significant Unobservable Inputs (Level 3) | ||
Financial liabilities: | ||
Short-term debt: | 0 | 0 |
Long-term debt: | 577 | 558 |
Consolidated Trusts | ||
Financial liabilities: | ||
Long-term debt: | 15,972 | 16,260 |
Consolidated Trusts | Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Financial liabilities: | ||
Long-term debt: | 0 | 0 |
Consolidated Trusts | Significant Other Observable Inputs (Level 2) | ||
Financial liabilities: | ||
Long-term debt: | 3,573,396 | 3,511,958 |
Consolidated Trusts | Significant Unobservable Inputs (Level 3) | ||
Financial liabilities: | ||
Long-term debt: | 41,490 | 42,150 |
Carrying Value | ||
Financial assets: | ||
Cash and cash equivalents, including restricted cash and cash equivalents | 90,837 | 87,841 |
Securities purchased under agreements to resell | 26,950 | 14,565 |
Trading securities | 50,410 | 50,129 |
Total Fair Value | 679 | 696 |
Mortgage loans held for sale | 512 | 2,033 |
Mortgage loans held for investment, net of allowance for loan losses | 4,109,823 | 4,112,403 |
Advances to lenders | 2,748 | 1,502 |
Derivative assets at fair value | 153 | 175 |
Guaranty assets and buy-ups | 83 | 87 |
Total financial assets | 4,282,195 | 4,269,431 |
Financial liabilities: | ||
Derivative liabilities at fair value | 308 | 168 |
Guaranty obligations | 90 | 94 |
Total financial liabilities | 4,231,164 | 4,222,150 |
Carrying Value | Fannie Mae | ||
Financial liabilities: | ||
Short-term debt: | 13,967 | 10,204 |
Long-term debt: | 125,197 | 123,964 |
Carrying Value | Consolidated Trusts | ||
Financial liabilities: | ||
Long-term debt: | 4,091,602 | 4,087,720 |
Fair Value | ||
Financial assets: | ||
Cash and cash equivalents, including restricted cash and cash equivalents | 90,837 | 87,841 |
Securities purchased under agreements to resell | 26,950 | 14,565 |
Trading securities | 50,410 | 50,129 |
Total Fair Value | 679 | 696 |
Mortgage loans held for sale | 526 | 2,077 |
Mortgage loans held for investment, net of allowance for loan losses | 3,659,939 | 3,609,836 |
Advances to lenders | 2,748 | 1,502 |
Derivative assets at fair value | 153 | 175 |
Guaranty assets and buy-ups | 172 | 166 |
Total financial assets | 3,832,414 | 3,766,987 |
Financial liabilities: | ||
Derivative liabilities at fair value | 308 | 168 |
Guaranty obligations | 68 | 66 |
Total financial liabilities | 3,754,393 | 3,687,174 |
Fair Value | Fannie Mae | ||
Financial liabilities: | ||
Short-term debt: | 13,969 | 10,208 |
Long-term debt: | 125,162 | 122,624 |
Fair Value | Consolidated Trusts | ||
Financial liabilities: | ||
Long-term debt: | $ 3,614,886 | $ 3,554,108 |
Fair Value - Fair Value Option
Fair Value - Fair Value Option (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Dec. 31, 2022 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Mortgage loans held for investment, net of allowance for loan losses | $ 3,599 | $ 3,645 |
Fair value of nonaccrual loans | $ 35 | 40 |
Serious delinquency, days past due | 90 days | |
Fair value of loans that are 90 days or more past due | $ 41 | 48 |
Fannie Mae | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-term debt: | 1,132 | 1,161 |
Consolidated Trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-term debt: | 15,972 | 16,260 |
Loans | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Mortgage loans held for investment, net of allowance for loan losses | 3,599 | 3,645 |
Loans, unpaid principal balance | 3,730 | 3,835 |
Long-term debt: | Fannie Mae | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-term debt: | 1,132 | 1,161 |
Long-term debt, unpaid principal balance | 1,105 | 1,145 |
Long-term debt: | Consolidated Trusts | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Long-term debt: | 15,972 | 16,260 |
Long-term debt, unpaid principal balance | $ 15,835 | $ 16,311 |
Fair Value - Changes in FV unde
Fair Value - Changes in FV under the FV Option (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair value gains (losses) | $ 204 | $ 480 |
Loans | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair value gains (losses) | 71 | (191) |
Long-term debt: | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair value gains (losses) | $ (269) | $ 1,100 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - Judicial ruling $ in Millions | Nov. 07, 2022 USD ($) |
Loss Contingencies [Line Items] | |
Damages sought | $ 779 |
Litigation interest rate | 5.75% |
Litigation interest | $ 475 |
Regulatory Capital Requiremen_3
Regulatory Capital Requirements (Details) $ in Millions | 3 Months Ended | |
Mar. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) | |
Broker-Dealer, Net Capital Requirement, SEC Regulation [Abstract] | ||
Senior preferred stock | $ 120,836 | $ 120,836 |
Net worth | 64,000 | |
Shortfall of available capital | 253,000 | |
Adjusted total capital requirement (including buffers) | 184,000 | |
Adjusted total assets | 4,560,000 | |
Risk-weighted assets | 1,308,000 | |
Total capital | ||
Available Capital (Deficit) | (45,000) | |
Minimum Capital Requirement | 105,000 | |
Total Capital Requirement (including Buffers) | $ 105,000 | |
Available Capital (Deficit) Ratio | (0.035) | |
Minimum Capital Ratio Requirement | 0.080 | |
Total Capital Requirement Ratio (including Buffers) | 0.080 | |
Common equity tier 1 capital | ||
Available Capital (Deficit) | $ (89,000) | |
Minimum Capital Requirement | 59,000 | |
Total Capital Requirement (including Buffers) | $ 138,000 | |
Available Capital (Deficit) Ratio | (0.068) | |
Minimum Capital Ratio Requirement | 0.045 | |
Total Capital Requirement Ratio (including Buffers) | 0.106 | |
Tier 1 capital | ||
Available Capital (Deficit) | $ (69,000) | |
Minimum Capital Requirement | 78,000 | |
Total Capital Requirement (including Buffers) | $ 157,000 | |
Available Capital (Deficit) Ratio | (0.053) | |
Minimum Capital Ratio Requirement | 0.060 | |
Total Capital Requirement Ratio (including Buffers) | 0.120 | |
Adjusted total capital | ||
Available Capital (Deficit) | $ (69,000) | |
Minimum Capital Requirement | 105,000 | |
Total Capital Requirement (including Buffers) | $ 184,000 | |
Available Capital (Deficit) Ratio | (0.053) | |
Minimum Capital Ratio Requirement | 0.080 | |
Total Capital Requirement Ratio (including Buffers) | 0.141 | |
Core capital | ||
Available Capital (Deficit) | $ (57,000) | |
Minimum Capital Requirement | 114,000 | |
Total Capital Requirement (including Buffers) | $ 114,000 | |
Available Capital (Deficit) Ratio | (0.012) | |
Minimum Capital Ratio Requirement | 0.025 | |
Total Capital Requirement Ratio (including Buffers) | 0.025 | |
Tier 1 capital | ||
Available Capital (Deficit) | $ (69,000) | |
Minimum Capital Requirement | 114,000 | |
Total Capital Requirement (including Buffers) | $ 137,000 | |
Available Capital (Deficit) Ratio | (0.015) | |
Minimum Capital Ratio Requirement | 0.025 | |
Total Capital Requirement Ratio (including Buffers) | 0.030 | |
Deferred tax assets, net | $ 12,615 | 12,911 |
Preferred stock | $ 19,130 | $ 19,130 |
Maximum payout ratio | 0 |