Held-to-Maturity Securities

12 Months Ended

Dec. 31, 2019

Debt Securities, Held-to-maturity [Abstract]

Held-to-maturity Securities

Held-to-Maturity Securities

The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:

 

December 31, 2019
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	470	$	—		$	470	$	5	$	—		$	475
MBS – GSEs – single-family:
Freddie Mac	1,063		—			1,063		8		(1		)	1,070
Fannie Mae	1,844		—			1,844		20		(1		)	1,863
Subtotal MBS – GSEs – single-family	2,907		—			2,907		28		(2		)	2,933
MBS – GSEs – multifamily:
Freddie Mac	2,625		—			2,625		—		(9		)	2,616
Fannie Mae	1,159		—			1,159		—		(2		)	1,157
Subtotal MBS – GSEs – multifamily	3,784		—			3,784		—		(11		)	3,773
Subtotal MBS – GSEs	6,691		—			6,691		28		(13		)	6,706
PLRMBS:
Prime	243		—			243		1		(4		)	240
Alt-A	142		(1		)	141		6		(2		)	145
Subtotal PLRMBS	385		(1		)	384		7		(6		)	385
Total	$	7,546	$	(1	)	$	7,545	$	40	$	(19	)	$	7,566

 

December 31, 2018
	Amortized Cost(1)		OTTI Recognized in AOCI(1)			Carrying Value(1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Estimated Fair Value
Housing finance agency bonds:
California Housing Finance Agency (CalHFA) bonds	$	100	$	—		$	100	$	—	$	(3	)	$	97
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	609		—			609		—		(6		)	603
GSEs – single-family:
Freddie Mac	1,506		—			1,506		6		(21		)	1,491
Fannie Mae	2,598		—			2,598		17		(16		)	2,599
Subtotal GSEs – single-family	4,104		—			4,104		23		(37		)	4,090
GSEs – multifamily:
Freddie Mac	3,944		—			3,944		—		(17		)	3,927
Fannie Mae	1,743		—			1,743		—		(1		)	1,742
Subtotal GSEs – multifamily	5,687		—			5,687		—		(18		)	5,669
Subtotal GSEs	9,791		—			9,791		23		(55		)	9,759
PLRMBS:
Prime	383		—			383		1		(6		)	378
Alt-A	209		(3		)	206		7		(3		)	210
Subtotal PLRMBS	592		(3		)	589		8		(9		)	588
Total MBS	10,992		(3		)	10,989		31		(70		)	10,950
Total	$	11,092	$	(3	)	$	11,089	$	31	$	(73	)	$	11,047

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

At December 31, 2019, the amortized cost of the Bank’s MBS classified as HTM included premiums of $8, discounts of $11, and credit-related OTTI of $7. At December 31, 2018, the amortized cost of the Bank’s MBS classified as HTM included premiums of $14, discounts of $19, and credit-related OTTI of $7.

The following tables summarize the HTM 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 tables will not agree to the total gross unrecognized holding losses in the tables above. The unrealized losses in the following tables also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities and for information on HTM 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 – Other U.S. obligations – single-family:
Ginnie Mae	$	46	$	—	$	—	$	—	$	46	$	—
MBS – GSEs – single-family:
Freddie Mac	71		—		262		1		333		1
Fannie Mae	53		—		192		1		245		1
Subtotal MBS – GSEs – single-family	124		—		454		2		578		2
MBS – GSEs – multifamily:
Freddie Mac	925		1		1,627		8		2,552		9
Fannie Mae	613		—		543		2		1,156		2
Subtotal MBS – GSEs – multifamily	1,538		1		2,170		10		3,708		11
Subtotal MBS – GSEs	1,662		1		2,624		12		4,286		13
PLRMBS:
Prime	34		—		135		4		169		4
Alt-A	4		—		106		3		110		3
Subtotal PLRMBS	38		—		241		7		279		7
Total	$	1,746	$	1	$	2,865	$	19	$	4,611	$	20

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
Housing finance agency bonds:
CalHFA bonds	$	—	$	—	$	80	$	3	$	80	$	3
MBS:
Other U.S. obligations – single-family:
Ginnie Mae	33		—		529		6		562		6
GSEs – single-family:
Freddie Mac	79		—		1,085		21		1,164		21
Fannie Mae	923		3		693		13		1,616		16
Subtotal GSEs – single-family	1,002		3		1,778		34		2,780		37
GSEs – multifamily:
Freddie Mac	3,826		16		67		1		3,893		17
Fannie Mae	757		1		360		—		1,117		1
Subtotal GSEs – multifamily	4,583		17		427		1		5,010		18
Subtotal GSEs	5,585		20		2,205		35		7,790		55
PLRMBS:
Prime	153		1		128		5		281		6
Alt-A	84		—		119		6		203		6
Subtotal PLRMBS	237		1		247		11		484		12
Total MBS	5,855		21		2,981		52		8,836		73
Total	$	5,855	$	21	$	3,061	$	55	$	8,916	$	76

Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of December 31, 2018, are shown below. There were no non-MBS investments as of December 31, 2019. 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, 2018
Year of Contractual Maturity	Amortized Cost(1)		Carrying Value(1)		Estimated Fair Value
HTM securities other than MBS:
Due after 10 years	$	100	$	100	$	97
Subtotal	100		100		97
MBS	10,992		10,989		10,950
Total	$	11,092	$	11,089	$	11,047

(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI.

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