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Other-Than-Temporary Impairment Analysis (Tables)
 12 Months Ended
Dec. 31, 2019
Other than Temporary Impairment Losses, Investments [Abstract]  
ScheduleOfTransfersFromHeldToMaturityToAvailableForSale [Table Text Block]
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
Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings
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

(1)
Weighted average percentage is based on unpaid principal balance.
Other than Temporary Impairment, Credit Losses Recognized in Earnings following table presents the credit-related OTTI, which is recognized in earnings, for the years ended December 31, 2019, 2018, and 2017.
 
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

(1)
For the years ended December 31, 2019, 2018, and 2017 “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019, 2018, and 2017, respectively.
(2)
Represents reductions related to securities having reached final maturity during the period, which therefore are no longer held by the Bank at the end of the period.
(3)
The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $78, $81, and $93 for the years ended December 31, 2019, 2018, and 2017, respectively.

In general, t
Schedule of Other Than Temporarily Impaired Charges Incurred During Life of the Securities
The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at December 31, 2019 and 2018, by loan collateral type:
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