PLRMBS. To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of December 31, 2019, using two third-party models. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 4.0% to an increase of 8.0% over the 12-month period beginning October 1, 2019. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 6.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined reflects a best-estimate scenario and includes a base case housing price forecast that reflects the expectations for near- and long-term housing price behavior.

At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS to the amortized cost basis of the securities to determine whether a credit loss exists. The Bank then uses the effective interest rate for the security prior to impairment for determining the present value of the future estimated cash flows.

For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

For securities determined to be other-than-temporarily impaired as of December 31, 2019 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the year ended December 31, 2019, and the related current credit enhancement for the Bank.



December 31, 2019
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS			Current
	Prepayment Rates	Default Rates	Loss Severities	Credit Enhancement
Collateral Type at Origination	Weighted Average % ⁽¹⁾	Weighted Average % ⁽¹⁾	Weighted Average % ⁽¹⁾	Weighted Average % ⁽¹⁾
Prime	15.5	11.1	18.7	31.9
Alt-A	12.7	20.1	44.1	1.1
Total	12.7	20.1	44.1	1.1

Credit enhancement is defined as the percentage of subordinated tranches, excess spread, and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. The calculated averages represent the dollar-weighted averages of all the PLRMBS investments in each category shown. The classification is based on the model used to run the estimated cash flows for the CUSIP, which may not necessarily be the same as the classification at the time of origination.



	2019			2018			2017
Balance, beginning of the period	$	1,077		$	1,129		$	1,183
Additional charges on securities for which OTTI was previously recognized⁽¹⁾	11			11			16
Securities matured during the period⁽²⁾	(6		)	—			(1		)
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities⁽³⁾	(61		)	(63		)	(69		)
Balance, end of the period	$	1,021		$	1,077		$	1,129

In general, the Bank elects to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank recognized an OTTI credit loss on these HTM PLRMBS, which the Bank believes is evidence of a significant decline in the issuers’ creditworthiness. The decline in the issuers’ creditworthiness is the basis for the transfers to the AFS portfolio. These transfers allow the Bank the option to sell these securities prior to maturity in view of changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank’s intent to hold these securities for an indefinite period of time. The Bank does not intend to sell its other-than-temporarily impaired securities and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis.

The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the years ended December 31, 2019 and 2018. The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the year ended December 31, 2017.



	2019								2018
	Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains/(Losses)		Estimated Fair Value		Amortized Cost		OTTI Recognized in AOCI		Gross Unrecognized Holding Gains/(Losses)		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	1	$	—	$	—	$	1	$	—	$	—	$	—	$	—
Alt-A	—		—		—		—		12		—		—		12
Total	$	1	$	—	$	—	$	1	$	12	$	—	$	—	$	12



December 31, 2019
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	258	$	213	$	230	$	—	$	—	$	—	$	—
Alt-A	2,634		2,116		2,367		39		35		33		39
Total	$	2,892	$	2,329	$	2,597	$	39	$	35	$	33	$	39



December 31, 2018
	Available-for-Sale Securities						Held-to-Maturity Securities
	Unpaid Principal Balance		Amortized Cost		Estimated Fair Value		Unpaid Principal Balance		Amortized Cost		Carrying Value		Estimated Fair Value
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as:
Prime	$	323	$	267	$	288	$	—	$	—	$	—	$	—
Alt-A	3,225		2,603		2,869		52		47		44		51
Total	$	3,548	$	2,870	$	3,157	$	52	$	47	$	44	$	51

For the Bank’s PLRMBS that were not other-than-temporarily impaired as of December 31, 2019, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of December 31, 2019, all of the gross unrealized losses on these PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired.

All Other Available-for-Sale and Held-to-Maturity Investments. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of December 31, 2019, all of the gross unrealized losses on its agency MBS are temporary.