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impairment for a troubled debt restructuring (“TDR”) is based on the restructured loan’s expected cash flows over the life of the loan, taking into account the effect of any concessions granted to the borrower, discounted at the loan’s original effective interest rate. The model includes forward-looking assumptions using multiple scenarios of the future economic environment, including interest rates and home prices. Based on the structure of the modifications, in particular the size of the concession granted, and the performance of modified loans combined with the forward-looking assumptions used in our model, the allowance calculated for an individually impaired loan has generally been greater than the allowance that would be calculated under the collective reserve. Further, if we expect to recover our recorded investment in an individually impaired loan through probable foreclosure of the underlying collateral, we measure the impairment based on the fair value of the collateral. The loss reserve for a greater portion of our population of individually impaired loans was based on the fair value of the underlying collateral as of June 30, 2011 than as of June 30, 2010.
Additionally, while delinquency rates on loans in our single-family guaranty book of business have decreased, borrowers’ inability or unwillingness to make their mortgage payments, along with delays in foreclosures, continue to cause loans to remain seriously delinquent for an extended period of time as shown in “Table 36: Delinquency Status of Single-Family Conventional Loans.”
For additional discussion of our loan workout activities, delinquent loans and concentrations, see “Risk Management—Credit Risk Management—Single-Family Mortgage Credit Risk Management—Problem Loan Management.” For a discussion of our charge-offs, see “Credit Loss Performance Metrics.”
Our balance of nonperforming single-family loans remained high as of June 30, 2011 due to both high levels of delinquencies and an increase in TDRs. When a TDR is executed, the loan status becomes current, but the loan will continue to be classified as a nonperforming loan as the loan is not performing in accordance with the original terms. The composition of our nonperforming loans is shown in Table 13. For information on the impact of TDRs and other individually impaired loans on our allowance for loan losses, see “Note 3, Mortgage Loans.”
Table 13:  Nonperforming Single-Family and Multifamily Loans
    As of  
    June 30,
    December 31,
    2011     2010  
    (Dollars in millions)  
On-balance sheet nonperforming loans including loans in consolidated Fannie Mae MBS trusts:
Nonaccrual loans
  $ 133,885     $ 152,756  
Troubled debt restructurings on accrual status(1)
    68,525       61,907  
Total on-balance sheet nonperforming loans
    202,410       214,663  
Off-balance sheet nonperforming loans in unconsolidated Fannie Mae MBS trusts(2)
    142       89  
Total nonperforming loans
  $ 202,552     $ 214,752  
Accruing on-balance sheet loans past due 90 days or more(3)
  $ 758     $ 896  
    For the
    For the
    Six Months Ended
    Year Ended
    June 30,
    December 31,
    2011     2010  
    (Dollars in millions)  
Interest related to on-balance sheet nonperforming loans:
Interest income forgone(4)
  $ 4,555     $ 8,185  
Interest income recognized for the period(5)
    2,990       7,995  
(1) Includes HomeSaver Advance first-lien loans on accrual status.
(2) Represents loans that would meet our criteria for nonaccrual status if the loans had been on-balance sheet.