Available-for-Sale Securities

12 Months Ended

Dec. 31, 2019

Debt Securities, Available-for-sale [Abstract]

AFS securities by major security type as of December 31, 2019 and 2018, were as follows:



December 31, 2019
	Amortized Cost⁽¹⁾		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
U.S. obligations – Treasury securities	$	5,281	$	—		$	7	$	—		$	5,288
MBS:
GSEs – multifamily:
Freddie Mac	773		—			4		—			777
Fannie Mae	6,823		—			23		(13		)	6,833
Subtotal – GSEs – multifamily	7,596		—			27		(13		)	7,610
PLRMBS:
Prime	213		—			17		—			230
Alt-A	2,116		(9		)	260		—			2,367
Subtotal PLRMBS	2,329		(9		)	277		—			2,597
Total MBS	9,925		(9		)	304		(13		)	10,207
Total	$	15,206	$	(9	)	$	311	$	(13	)	$	15,495



December 31, 2018
	Amortized Cost⁽¹⁾		OTTI Recognized in AOCI			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
MBS – GSEs – multifamily:
Freddie Mac	$	409	$	—		$	—	$	(2	)	$	407
Fannie Mae	3,397		—			—		(30		)	3,367
Subtotal MBS – GSEs – multifamily	3,806		—			—		(32		)	3,774
PLRMBS:
Prime	267		—			21		—			288
Alt-A	2,603		(20		)	288		(2		)	2,869
Subtotal PLRMBS	2,870		(20		)	309		(2		)	3,157
Total	$	6,676	$	(20	)	$	309	$	(34	)	$	6,931


(1)	Amortized cost includes unpaid principal balance, unamortized premiums and discounts, previous OTTI recognized in earnings, and valuation adjustments for hedging activities.

At December 31, 2019, the amortized cost of the Bank’s MBS classified as AFS included premiums of $65, discounts of $52, and credit-related OTTI of $574. At December 31, 2018, the amortized cost of the Bank’s MBS classified as AFS included premiums of $19, discounts of $53, and credit-related OTTI of $690.

The following tables summarize the AFS securities with unrealized losses as of December 31, 2019 and 2018. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities and for information on AFS securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 7 – Other-Than-Temporary Impairment Analysis.



December 31, 2019
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
MBS – GSEs – multifamily:
Freddie Mac	$	211	$	—	$	—	$	—	$	211	$	—
Fannie Mae	2,433		9		623		4		3,056		13
Subtotal MBS – GSEs – multifamily	2,644		9		623		4		3,267		13
PLRMBS:
Prime	4		—		8		—		12		—
Alt-A	75		—		193		9		268		9
Subtotal PLRMBS	79		—		201		9		280		9
Total	$	2,723	$	9	$	824	$	13	$	3,547	$	22



December 31, 2018
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
MBS – GSEs – multifamily:
Freddie Mac	$	382	$	2	$	—	$	—	$	382	$	2
Fannie Mae	3,211		30		—		—		3,211		30
Subtotal MBS – GSEs – multifamily	3,593		32		—		—		3,593		32
PLRMBS:
Prime	6		—		8		—		14		—
Alt-A	204		3		343		19		547		22
Subtotal PLRMBS	210		3		351		19		561		22
Total	$	3,803	$	35	$	351	$	19	$	4,154	$	54

Redemption Terms. The amortized cost and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of December 31, 2019, are shown below. There were no non-MBS investments as of December 31, 2018. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.



December 31, 2019
Year of Contractual Maturity	Amortized Cost⁽¹⁾		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	2,309	$	2,312
Due after 1 year through 5 years	2,972		2,976
Subtotal	5,281		5,288
MBS	9,925		10,207
Total	$	15,206	$	15,495


(1)	Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings.

See Note 7 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the held-to-maturity (HTM) portfolio.