XML 39 R26.htm IDEA: XBRL DOCUMENT

Investments (Tables)

3 Months Ended

Mar. 31, 2020

Trading Securities (and Certain Trading Assets)

The estimated fair value of trading securities as of March 31, 2020, and December 31, 2019, was as follows:



	March 31, 2020		December 31, 2019
U.S. obligations – Treasury securities	$	4,315	$	1,762
MBS – Other U.S. obligations – Ginnie Mae	4		4
Total	$	4,319	$	1,766

Available-for-sale Securities

AFS securities by major security type as of March 31, 2020, and December 31, 2019, were as follows:



March 31, 2020
	Amortized Cost⁽¹⁾		Allowance for Credit Losses⁽²⁾			Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
U.S. obligations – Treasury securities	$	5,347	$	—		$	6	$	—		$	5,353
MBS:
GSEs – multifamily:
Freddie Mac	857		—			—		(24		)	833
Fannie Mae	7,991		—			—		(228		)	7,763
Subtotal – GSEs – multifamily	8,848		—			—		(252		)	8,596
PLRMBS:
Prime	204		(6		)	2		(2		)	198
Alt-A	2,028		(33		)	97		(64		)	2,028
Subtotal PLRMBS	2,232		(39		)	99		(66		)	2,226
Total MBS	11,080		(39		)	99		(318		)	10,822
Total	$	16,427	$	(39	)	$	105	$	(318	)	$	16,175



December 31, 2019
	Amortized Cost⁽¹⁾		OTTI Recognized in AOCI⁽²⁾			Gross Unrealized Gains⁽³⁾		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


(1)	Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $51 and $58 at March 31, 2020, and December 31, 2019, respectively.

(2)

Effective January 1, 2020, the Bank completed an analysis to determine whether to record an allowance for credit losses for expected credit losses on AFS securities. Prior to January 1, 2020, credit losses were recorded as a direct write-down to the AFS security carrying value. OTTI recognized in AOCI excludes subsequent unrealized gains/(losses) in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019, which is included in net non-credit-related OTTI on AFS securities.


(3)	Includes $277 in subsequent unrealized gains in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019.

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:



March 31, 2020
	Amortized Cost⁽¹⁾		OTTI Recognized in AOCI⁽²⁾			Net Carrying Value		Gross Unrecognized Holding Gains⁽³⁾		Gross Unrecognized Holding Losses⁽³⁾			Estimated Fair Value
MBS – Other U.S. obligations – single-family:
Ginnie Mae	$	441	$	—		$	441	$	15	$	—		$	456
MBS – GSEs – single-family:
Freddie Mac	952		—			952		20		—			972
Fannie Mae	1,686		—			1,686		28		(3		)	1,711
Subtotal MBS – GSEs – single-family	2,638		—			2,638		48		(3		)	2,683
MBS – GSEs – multifamily:
Freddie Mac	2,388		—			2,388		—		(25		)	2,363
Fannie Mae	1,039		—			1,039		—		(2		)	1,037
Subtotal MBS – GSEs – multifamily	3,427		—			3,427		—		(27		)	3,400
Subtotal MBS – GSEs	6,065		—			6,065		48		(30		)	6,083
PLRMBS:
Prime	229		—			229		—		(21		)	208
Alt-A	130		(1		)	129		2		(11		)	120
Subtotal PLRMBS	359		(1		)	358		2		(32		)	328
Total	$	6,865	$	(1	)	$	6,864	$	65	$	(62	)	$	6,867



December 31, 2019
	Amortized Cost⁽¹⁾		OTTI Recognized in AOCI⁽²⁾			Carrying Value		Gross Unrecognized Holding Gains⁽³⁾		Gross Unrecognized Holding Losses⁽³⁾			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


(1)	Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge offs, and excludes accrued interest receivable of $10 and $12 at March 31, 2020, and December 31, 2019, respectively.


(2)	With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the OTTI approach was replaced with an evaluation for an allowance for credit loss; however, OTTI remains for those securities that had credit impairment prior to the adoption date.

(3)

Gross unrecognized gains/(losses) represent the difference between estimated fair value and net carrying value.

Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings

the following table presents a summary of the significant inputs used in measuring the fair value of PLRMBS classified as Level 3 as of March 31, 2020, and the related current credit enhancement for the Bank.



March 31, 2020
	Significant Inputs for Other-Than-Temporarily Impaired PLRMBS
	Prepayment Rates	Default Rates	Loss Severities
Collateral Type at Origination	Weighted Average % ⁽¹⁾	Weighted Average % ⁽¹⁾	Weighted Average % ⁽¹⁾
Prime	16.3	11.2	54.1
Alt-A	15.0	16.1	40.3
Total	15.0	16.0	40.6

(1)

Weighted average percentage is based on unpaid principal balance.

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table presents the credit-related OTTI, which is recognized in earnings, for the three months ended March 31, 2020 and 2019.



	Three Months Ended March 31,
	2020			2019
Balance, beginning of the period	$	1,021		$	1,077
Additional charges on securities for which OTTI was previously recognized⁽¹⁾	—			1
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities⁽²⁾	(17		)	(15		)
Balance, end of the period	$	1,004		$	1,063


(1)	For the three months ended March 31, 2019, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2020.

(2)

The total net accretion/(amortization) associated with PLRMBS that were other-than-temporarily impaired prior to January 1, 2020, (amount recognized in interest income) totaled $20 and $18 for the three months ended March 31, 2020 and 2019, respectively.

Available-for-sale Securities

Debt Instrument [Line Items]

Schedule of Unrealized Loss on Investments

The following tables summarize the AFS securities with unrealized losses as of March 31, 2020, and December 31, 2019. 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. At December 31, 2019, 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 as of December 31, 2019, also include non-credit-related OTTI losses recognized in AOCI.



March 31, 2020
	Less Than 12 Months				12 Months or More				Total
	Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses		Estimated Fair Value		Unrealized Losses
U.S. obligations – Treasury securities	$	104	$	—	$	—	$	—	$	104	$	—
MBS:
MBS – GSEs – multifamily:
Freddie Mac	$	833	$	24	$	—	$	—	$	833	$	24
Fannie Mae	7,402		216		235		12		7,637		228
Subtotal MBS – GSEs – multifamily	8,235		240		235		12		8,470		252
PLRMBS:
Prime	109		1		6		1		115		2
Alt-A	747		37		161		27		908		64
Subtotal PLRMBS	856		38		167		28		1,023		66
Total MBS	9,091		278		402		40		9,493		318
Total	$	9,195	$	278	$	402	$	40	$	9,597	$	318



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

Investments Classified by Contractual Maturity Date [Table Text Block]

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 March 31, 2020, and December 31, 2019, are

shown below. 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.



March 31, 2020
Year of Contractual Maturity	Amortized Cost		Estimated Fair Value
AFS securities other than MBS:
Due in 1 year or less	$	3,290	$	3,293
Due after 1 year through 5 years	2,057		2,060
Subtotal	5,347		5,353
MBS	11,080		10,822
Total	$	16,427	$	16,175



December 31, 2019
Year of Contractual Maturity	Amortized Cost		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