x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation (State or other jurisdiction of incorporation or organization) | 42-6000149 (I.R.S. employer identification number) | |||
Financial Center 666 Walnut Street Des Moines, IA (Address of principal executive offices) | 50309 (Zip code) |
Large accelerated filer o | Accelerated filer o | |
Non-accelerated filer x | Smaller reporting company o | |
Emerging growth company o |
Shares outstanding as of July 31, 2018 | |||
Class B Stock, par value $100 | 56,603,795 | ||
June 30, 2018 | December 31, 2017 | |||||||
ASSETS | ||||||||
Cash and due from banks | $ | 201 | $ | 503 | ||||
Interest-bearing deposits | 1 | 1 | ||||||
Securities purchased under agreements to resell | 4,900 | 4,600 | ||||||
Federal funds sold | 4,435 | 4,250 | ||||||
Investment securities | ||||||||
Trading securities (Note 3) | 937 | 1,177 | ||||||
Available-for-sale securities (Note 4) | 19,451 | 20,796 | ||||||
Held-to-maturity securities (fair value of $3,325 and $3,686) (Note 5) | 3,295 | 3,628 | ||||||
Total investment securities | 23,683 | 25,601 | ||||||
Advances (includes $15 and $0 at fair value under the fair value option) (Note 7) | 109,963 | 102,613 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $2 (Notes 8 and 9) | 7,310 | 7,096 | ||||||
Accrued interest receivable | 305 | 223 | ||||||
Derivative assets, net (Note 10) | 83 | 100 | ||||||
Other assets | 100 | 112 | ||||||
TOTAL ASSETS | $ | 150,981 | $ | 145,099 | ||||
LIABILITIES | ||||||||
Deposits | ||||||||
Interest-bearing | $ | 914 | $ | 1,013 | ||||
Non-interest-bearing | 114 | 94 | ||||||
Total deposits | 1,028 | 1,107 | ||||||
Consolidated obligations (Note 11) | ||||||||
Discount notes | 43,122 | 36,682 | ||||||
Bonds | 98,468 | 98,893 | ||||||
Total consolidated obligations | 141,590 | 135,575 | ||||||
Borrowings from other FHLBanks | — | 600 | ||||||
Mandatorily redeemable capital stock (Note 12) | 373 | 385 | ||||||
Accrued interest payable | 238 | 210 | ||||||
Affordable Housing Program payable | 155 | 142 | ||||||
Derivative liabilities, net (Note 10) | 2 | 6 | ||||||
Other liabilities | 56 | 53 | ||||||
TOTAL LIABILITIES | 143,442 | 138,078 | ||||||
Commitments and contingencies (Note 14) | ||||||||
CAPITAL (Note 12) | ||||||||
Capital stock - Class B putable ($100 par value); 54 and 51 issued and outstanding shares | 5,420 | 5,068 | ||||||
Retained earnings | ||||||||
Unrestricted | 1,593 | 1,504 | ||||||
Restricted | 384 | 335 | ||||||
Total retained earnings | 1,977 | 1,839 | ||||||
Accumulated other comprehensive income (loss) | 142 | 114 | ||||||
TOTAL CAPITAL | 7,539 | 7,021 | ||||||
TOTAL LIABILITIES AND CAPITAL | $ | 150,981 | $ | 145,099 |
The accompanying notes are an integral part of these financial statements. |
For the Three Months Ended | For the Six Months Ended | ||||||||||||||||
June 30, | June 30, | ||||||||||||||||
2018 | 2017 | 2018 | 2017 | ||||||||||||||
INTEREST INCOME | |||||||||||||||||
Advances | $ | 626 | $ | 381 | $ | 1,128 | $ | 714 | |||||||||
Interest-bearing deposits | 1 | 1 | 1 | 1 | |||||||||||||
Securities purchased under agreements to resell | 16 | 8 | 28 | 16 | |||||||||||||
Federal funds sold | 22 | 15 | 45 | 27 | |||||||||||||
Trading securities | 8 | 12 | 16 | 23 | |||||||||||||
Available-for-sale securities | 122 | 89 | 232 | 168 | |||||||||||||
Held-to-maturity securities | 22 | 20 | 43 | 40 | |||||||||||||
Mortgage loans held for portfolio | 61 | 59 | 121 | 117 | |||||||||||||
Total interest income | 878 | 585 | 1,614 | 1,106 | |||||||||||||
INTEREST EXPENSE | |||||||||||||||||
Consolidated obligations - Discount notes | 170 | 124 | 294 | 233 | |||||||||||||
Consolidated obligations - Bonds | 534 | 286 | 982 | 539 | |||||||||||||
Deposits | 2 | 1 | 5 | 2 | |||||||||||||
Mandatorily redeemable capital stock | 5 | 4 | 9 | 9 | |||||||||||||
Total interest expense | 711 | 415 | 1,290 | 783 | |||||||||||||
NET INTEREST INCOME | 167 | 170 | 324 | 323 | |||||||||||||
OTHER INCOME (LOSS) | |||||||||||||||||
Net gains (losses) on trading securities | (8 | ) | 4 | (24 | ) | 9 | |||||||||||
Net gains (losses) on derivatives and hedging activities | 14 | (3 | ) | 34 | 3 | ||||||||||||
Gains on litigation settlements, net | — | — | — | 21 | |||||||||||||
Other, net | 2 | 5 | 6 | 8 | |||||||||||||
Total other income (loss) | 8 | — | 6 | 16 | 41 | ||||||||||||
OTHER EXPENSE | |||||||||||||||||
Compensation and benefits | 14 | 14 | 31 | 27 | |||||||||||||
Contractual services | 3 | 3 | 6 | 6 | |||||||||||||
Professional fees | 4 | 5 | 7 | 10 | |||||||||||||
Other operating expenses | 6 | 5 | 11 | 10 | |||||||||||||
Federal Housing Finance Agency | 3 | 2 | 5 | 5 | |||||||||||||
Office of Finance | 1 | 2 | 3 | 4 | |||||||||||||
Other, net | 1 | — | 2 | 1 | |||||||||||||
Total other expense | 32 | 31 | 65 | 63 | |||||||||||||
NET INCOME BEFORE ASSESSMENTS | 143 | 145 | 275 | 301 | |||||||||||||
Affordable Housing Program assessments | 14 | 15 | 28 | 31 | |||||||||||||
NET INCOME | $ | 129 | $ | 130 | $ | 247 | $ | 270 |
The accompanying notes are an integral part of these financial statements. |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Net income | $ | 129 | $ | 130 | $ | 247 | $ | 270 | ||||||||
Other comprehensive income (loss) | ||||||||||||||||
Net unrealized gains (losses) on available-for-sale securities | (17 | ) | 41 | 28 | 105 | |||||||||||
Pension and postretirement benefits | — | 1 | — | 2 | ||||||||||||
Total other comprehensive income (loss) | (17 | ) | 42 | 28 | 107 | |||||||||||
TOTAL COMPREHENSIVE INCOME (LOSS) | $ | 112 | $ | 172 | $ | 275 | $ | 377 |
The accompanying notes are an integral part of these financial statements. |
Capital Stock Class B (putable) | Additional Capital from Merger | |||||||||
Shares | Par Value | |||||||||
BALANCE, DECEMBER 31, 2016 | 59 | $ | 5,917 | $ | 52 | |||||
Comprehensive income (loss) | — | — | — | |||||||
Proceeds from issuance of capital stock | 29 | 2,905 | — | |||||||
Repurchases/redemptions of capital stock | (32 | ) | (3,171 | ) | — | |||||
Net shares reclassified (to) from mandatorily redeemable capital stock | — | (28 | ) | — | ||||||
Cash dividends on capital stock | — | — | (52 | ) | ||||||
BALANCE, JUNE 30, 2017 | 56 | $ | 5,623 | $ | — | |||||
BALANCE, DECEMBER 31, 2017 | 51 | $ | 5,068 | $ | — | |||||
Comprehensive income (loss) | — | — | — | |||||||
Proceeds from issuance of capital stock | 40 | 4,015 | — | |||||||
Repurchases/redemptions of capital stock | (37 | ) | (3,624 | ) | — | |||||
Net shares reclassified (to) from mandatorily redeemable capital stock | — | (39 | ) | — | ||||||
Cash dividends on capital stock | — | — | ||||||||
BALANCE, JUNE 30, 2018 | 54 | $ | 5,420 | $ | — |
The accompanying notes are an integral part of these financial statements. |
Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Capital | ||||||||||||||||||
Unrestricted | Restricted | Total | ||||||||||||||||||
BALANCE, DECEMBER 31, 2016 | $ | 1,219 | $ | 231 | $ | 1,450 | $ | (18 | ) | $ | 7,401 | |||||||||
Comprehensive income (loss) | 216 | 54 | 270 | 107 | 377 | |||||||||||||||
Proceeds from issuance of capital stock | — | — | — | — | 2,905 | |||||||||||||||
Repurchases/redemptions of capital stock | — | — | — | — | (3,171 | ) | ||||||||||||||
Net shares reclassified (to) from mandatorily redeemable capital stock | — | — | — | — | (28 | ) | ||||||||||||||
Cash dividends on capital stock | (36 | ) | — | (36 | ) | — | (88 | ) | ||||||||||||
BALANCE, JUNE 30, 2017 | $ | 1,399 | $ | 285 | $ | 1,684 | $ | 89 | $ | 7,396 | ||||||||||
BALANCE, DECEMBER 31, 2017 | $ | 1,504 | $ | 335 | $ | 1,839 | $ | 114 | $ | 7,021 | ||||||||||
Comprehensive income (loss) | 198 | 49 | 247 | 28 | 275 | |||||||||||||||
Proceeds from issuance of capital stock | — | — | — | — | 4,015 | |||||||||||||||
Repurchases/redemptions of capital stock | — | — | — | — | (3,624 | ) | ||||||||||||||
Net shares reclassified (to) from mandatorily redeemable capital stock | — | — | — | — | (39 | ) | ||||||||||||||
Cash dividends on capital stock | (109 | ) | — | (109 | ) | — | (109 | ) | ||||||||||||
BALANCE, JUNE 30, 2018 | $ | 1,593 | $ | 384 | $ | 1,977 | $ | 142 | $ | 7,539 |
The accompanying notes are an integral part of these financial statements. |
For the Six Months Ended | ||||||||
June 30, | ||||||||
2018 | 2017 | |||||||
OPERATING ACTIVITIES | ||||||||
Net income | $ | 247 | $ | 270 | ||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities | ||||||||
Depreciation and amortization | 18 | 16 | ||||||
Net (gains) losses on trading securities | 24 | (9 | ) | |||||
Net change in derivatives and hedging activities | 87 | (1 | ) | |||||
Other adjustments | 1 | (1 | ) | |||||
Net change in: | ||||||||
Accrued interest receivable | (121 | ) | (36 | ) | ||||
Other assets | 2 | (4 | ) | |||||
Accrued interest payable | 27 | 29 | ||||||
Other liabilities | 15 | (15 | ) | |||||
Total adjustments | 53 | (21 | ) | |||||
Net cash provided by (used in) operating activities | 300 | 249 | ||||||
INVESTING ACTIVITIES | ||||||||
Net change in: | ||||||||
Interest-bearing deposits | 63 | 17 | ||||||
Securities purchased under agreements to resell | (300 | ) | 2,425 | |||||
Federal funds sold | (185 | ) | (5 | ) | ||||
Premises, software, and equipment | (11 | ) | (21 | ) | ||||
Loans to other FHLBanks | — | 200 | ||||||
Trading securities | ||||||||
Proceeds from maturities of long-term | 215 | 13 | ||||||
Available-for-sale securities | ||||||||
Proceeds from maturities of long-term | 1,703 | 1,002 | ||||||
Purchases of long-term | (497 | ) | (402 | ) | ||||
Held-to-maturity securities | ||||||||
Proceeds from maturities of long-term | 344 | 457 | ||||||
Advances | ||||||||
Repaid | 149,512 | 142,862 | ||||||
Originated or purchased | (157,016 | ) | (130,163 | ) | ||||
Mortgage loans held for portfolio | ||||||||
Principal collected | 445 | 516 | ||||||
Originated or purchased | (669 | ) | (566 | ) | ||||
Proceeds from sales of foreclosed assets | 3 | 4 | ||||||
Net cash provided by (used in) investing activities | (6,393 | ) | 16,339 |
The accompanying notes are an integral part of these financial statements. |
For the Six Months Ended | ||||||||
June 30, | ||||||||
2018 | 2017 | |||||||
FINANCING ACTIVITIES | ||||||||
Net change in deposits | (11 | ) | (150 | ) | ||||
Borrowings from other FHLBanks | (600 | ) | — | |||||
Net payments on derivative contracts with financing elements | — | (2 | ) | |||||
Net proceeds from issuance of consolidated obligations | ||||||||
Discount notes | 91,697 | 118,084 | ||||||
Bonds | 21,052 | 26,848 | ||||||
Payments for maturing and retiring consolidated obligations | ||||||||
Discount notes | (85,275 | ) | (132,486 | ) | ||||
Bonds | (21,303 | ) | (27,575 | ) | ||||
Proceeds from issuance of capital stock | 4,015 | 2,905 | ||||||
Payments for repurchases/redemptions of capital stock | (3,624 | ) | (3,171 | ) | ||||
Net payments for repurchases/redemptions of mandatorily redeemable capital stock | (51 | ) | (212 | ) | ||||
Cash dividends paid | (109 | ) | (88 | ) | ||||
Net cash provided by (used in) financing activities | 5,791 | (15,847 | ) | |||||
Net increase (decrease) in cash and due from banks | (302 | ) | 741 | |||||
Cash and due from banks at beginning of the period | 503 | 223 | ||||||
Cash and due from banks at end of the period | $ | 201 | $ | 964 | ||||
SUPPLEMENTAL DISCLOSURES | ||||||||
Cash Transactions: | ||||||||
Interest paid | $ | 1,249 | $ | 769 | ||||
Affordable Housing Program payments | 16 | 15 | ||||||
Non-Cash Transactions: | ||||||||
Capitalized interest on reverse mortgage investment securities | 39 | 27 | ||||||
Mortgage loan charge-offs | — | 1 | ||||||
Transfers of mortgage loans to other assets | 3 | 3 | ||||||
Capital stock reclassified to (from) mandatorily redeemable capital stock, net | 39 | 28 |
The accompanying notes are an integral part of these financial statements. |
• | Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in income. |
• | Requires an entity to present separately in other comprehensive income (OCI) the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. |
• | Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (that is, securities or loans and receivables) on the statements of condition or the accompanying notes to the financial statements. |
• | Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the statements of condition. |
• | Measurement of the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedge inception. |
• | Measurement of the hedged item in a partial-term fair value hedge of interest-rate risk by assuming the hedged item has a term that reflects only the designated cash flows being hedged. |
• | Consideration only of how changes in the benchmark interest rate affect a decision to settle a prepayable instrument before its scheduled maturity in calculating the change in the fair value of the hedged item attributable to interest-rate risk. |
• | For a cash flow hedge of interest-rate risk of a variable-rate financial instrument, an entity could designate as the hedged risk the variability in cash flows attributable to the contractually specified interest-rate. |
• | The statement of income to reflect the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period. |
• | Entities to determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination (PCD) that are measured at amortized cost in a similar manner to other financial assets measured at amortized cost. The initial allowance for credit losses is required to be added to the purchase price of the assets acquired. |
• | Entities to record credit losses relating to available-for-sale (AFS) debt securities through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below amortized cost. |
• | Public entities to further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination (i.e., vintage). |
June 30, 2018 | December 31, 2017 | ||||||
Non-mortgage-backed securities | |||||||
U.S. obligations1 | $ | 182 | $ | 197 | |||
GSE and Tennessee Valley Authority obligations | 57 | 260 | |||||
Other2 | 265 | 272 | |||||
Total non-mortgage-backed securities | 504 | 729 | |||||
Mortgage-backed securities | |||||||
GSE multifamily | 433 | 448 | |||||
Total fair value | $ | 937 | $ | 1,177 |
1 | Represents investment securities backed by the full faith and credit of the U.S. Government. |
2 | Consists of taxable municipal bonds. |
June 30, 2018 | |||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities | |||||||||||||||
U.S. obligations2 | $ | 2,808 | $ | 13 | $ | (1 | ) | $ | 2,820 | ||||||
GSE and Tennessee Valley Authority obligations | 1,001 | 38 | — | 1,039 | |||||||||||
State or local housing agency obligations | 908 | — | (2 | ) | 906 | ||||||||||
Other3 | 260 | 12 | — | 272 | |||||||||||
Total non-mortgage-backed securities | 4,977 | 63 | (3 | ) | 5,037 | ||||||||||
Mortgage-backed securities | |||||||||||||||
U.S. obligations single-family2 | 4,065 | 33 | (1 | ) | 4,097 | ||||||||||
GSE single-family | 883 | 7 | (5 | ) | 885 | ||||||||||
GSE multifamily | 9,380 | 59 | (7 | ) | 9,432 | ||||||||||
Total mortgage-backed securities | 14,328 | 99 | (13 | ) | 14,414 | ||||||||||
Total | $ | 19,305 | $ | 162 | $ | (16 | ) | $ | 19,451 |
December 31, 2017 | |||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities | |||||||||||||||
U.S. obligations2 | $ | 3,096 | $ | 8 | $ | (5 | ) | $ | 3,099 | ||||||
GSE and Tennessee Valley Authority obligations | 1,197 | 39 | — | 1,236 | |||||||||||
State or local housing agency obligations | 935 | — | (1 | ) | 934 | ||||||||||
Other3 | 269 | 9 | — | 278 | |||||||||||
Total non-mortgage-backed securities | 5,497 | 56 | (6 | ) | 5,547 | ||||||||||
Mortgage-backed securities | |||||||||||||||
U.S. obligations single-family2 | 3,716 | 11 | (1 | ) | 3,726 | ||||||||||
GSE single-family | 983 | 7 | (2 | ) | 988 | ||||||||||
GSE multifamily | 10,482 | 57 | (4 | ) | 10,535 | ||||||||||
Total mortgage-backed securities | 15,181 | 75 | (7 | ) | 15,249 | ||||||||||
Total | $ | 20,678 | $ | 131 | $ | (13 | ) | $ | 20,796 |
1 | Amortized cost includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments. |
2 | Represents investment securities backed by the full faith and credit of the U.S. Government. |
3 | Consists of taxable municipal bonds and/or Private Export Funding Corporation (PEFCO) bonds. |
June 30, 2018 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations1 | $ | 316 | $ | — | $ | 338 | $ | (1 | ) | $ | 654 | $ | (1 | ) | |||||||||
State or local housing agency obligations | 13 | — | 594 | (2 | ) | 607 | (2 | ) | |||||||||||||||
Total non-mortgage-backed securities | 329 | — | 932 | (3 | ) | 1,261 | (3 | ) | |||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations single-family1 | 497 | (1 | ) | — | — | 497 | (1 | ) | |||||||||||||||
GSE single-family | 297 | (5 | ) | 48 | — | 345 | (5 | ) | |||||||||||||||
GSE multifamily | 2,653 | (4 | ) | 859 | (3 | ) | 3,512 | (7 | ) | ||||||||||||||
Total mortgage-backed securities | 3,447 | (10 | ) | 907 | (3 | ) | 4,354 | (13 | ) | ||||||||||||||
Total | $ | 3,776 | $ | (10 | ) | $ | 1,839 | $ | (6 | ) | $ | 5,615 | $ | (16 | ) |
December 31, 2017 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations1 | $ | 29 | $ | — | $ | 1,783 | $ | (5 | ) | $ | 1,812 | $ | (5 | ) | |||||||||
State or local housing agency obligations | 6 | — | 655 | (1 | ) | 661 | (1 | ) | |||||||||||||||
Total non-mortgage-backed securities | 35 | — | 2,438 | (6 | ) | 2,473 | (6 | ) | |||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations single-family1 | 111 | — | 887 | (1 | ) | 998 | (1 | ) | |||||||||||||||
GSE single-family | 222 | (2 | ) | 53 | — | 275 | (2 | ) | |||||||||||||||
GSE multifamily | 224 | (1 | ) | 1,756 | (3 | ) | 1,980 | (4 | ) | ||||||||||||||
Total mortgage-backed securities | 557 | (3 | ) | 2,696 | (4 | ) | 3,253 | (7 | ) | ||||||||||||||
Total | $ | 592 | $ | (3 | ) | $ | 5,134 | $ | (10 | ) | $ | 5,726 | $ | (13 | ) |
1 | Represents investment securities backed by the full faith and credit of the U.S. Government. |
June 30, 2018 | December 31, 2017 | |||||||||||||||
Year of Contractual Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | 26 | $ | 26 | $ | 158 | $ | 159 | ||||||||
Due after one year through five years | 969 | 976 | 750 | 755 | ||||||||||||
Due after five years through ten years | 3,160 | 3,181 | 3,574 | 3,583 | ||||||||||||
Due after ten years | 822 | 854 | 1,015 | 1,050 | ||||||||||||
Total non-mortgage-backed securities | 4,977 | 5,037 | 5,497 | 5,547 | ||||||||||||
Mortgage-backed securities | 14,328 | 14,414 | 15,181 | 15,249 | ||||||||||||
Total | $ | 19,305 | $ | 19,451 | $ | 20,678 | $ | 20,796 |
June 30, 2018 | |||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities | |||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 391 | $ | 49 | $ | (2 | ) | $ | 438 | ||||||
State or local housing agency obligations | 427 | 1 | (2 | ) | 426 | ||||||||||
Total non-mortgage-backed securities | 818 | 50 | (4 | ) | 864 | ||||||||||
Mortgage-backed securities | |||||||||||||||
U.S. obligations single-family2 | 11 | — | — | 11 | |||||||||||
U.S. obligations commercial2 | 2 | — | — | 2 | |||||||||||
GSE single-family | 2,453 | 8 | (24 | ) | 2,437 | ||||||||||
Private-label residential | 11 | — | — | 11 | |||||||||||
Total mortgage-backed securities | 2,477 | 8 | (24 | ) | 2,461 | ||||||||||
Total | $ | 3,295 | $ | 58 | $ | (28 | ) | $ | 3,325 |
December 31, 2017 | |||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities | |||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 393 | $ | 65 | $ | — | $ | 458 | |||||||
State or local housing agency obligations | 454 | 2 | (2 | ) | 454 | ||||||||||
Total non-mortgage-backed securities | 847 | 67 | (2 | ) | 912 | ||||||||||
Mortgage-backed securities | |||||||||||||||
U.S. obligations single-family2 | 15 | — | — | 15 | |||||||||||
U.S. obligations commercial2 | 2 | — | — | 2 | |||||||||||
GSE single-family | 2,752 | 7 | (14 | ) | 2,745 | ||||||||||
Private-label residential | 12 | — | — | 12 | |||||||||||
Total mortgage-backed securities | 2,781 | 7 | (14 | ) | 2,774 | ||||||||||
Total | $ | 3,628 | $ | 74 | $ | (16 | ) | $ | 3,686 |
1 | Amortized cost includes adjustments made to the cost basis of an investment for accretion or amortization. |
2 | Represents investment securities backed by the full faith and credit of the U.S. Government. |
June 30, 2018 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 90 | $ | (2 | ) | $ | — | $ | — | $ | 90 | $ | (2 | ) | |||||||||
State or local housing agency obligations | $ | 17 | $ | — | $ | 162 | $ | (2 | ) | $ | 179 | $ | (2 | ) | |||||||||
Total non-mortgage-backed securities | 107 | (2 | ) | 162 | (2 | ) | 269 | (4 | ) | ||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations single-family1 | — | — | 5 | — | 5 | — | |||||||||||||||||
U.S. obligations commercial1 | 1 | — | 1 | — | 2 | — | |||||||||||||||||
GSE single-family | 12 | — | 1,200 | (24 | ) | 1,212 | (24 | ) | |||||||||||||||
Private-label residential | — | — | 7 | — | 7 | — | |||||||||||||||||
Total mortgage-backed securities | 13 | — | 1,213 | (24 | ) | 1,226 | (24 | ) | |||||||||||||||
Total | $ | 120 | $ | (2 | ) | $ | 1,375 | $ | (26 | ) | $ | 1,495 | $ | (28 | ) |
December 31, 2017 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
State or local housing agency obligations | $ | 2 | $ | — | $ | 168 | $ | (2 | ) | $ | 170 | $ | (2 | ) | |||||||||
Total non-mortgage-backed securities | 2 | — | 168 | (2 | ) | 170 | (2 | ) | |||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations single-family1 | 7 | — | 1 | — | 8 | — | |||||||||||||||||
U.S. obligations commercial1 | 1 | — | 1 | — | 2 | — | |||||||||||||||||
GSE single-family | 42 | — | 1,427 | (14 | ) | 1,469 | (14 | ) | |||||||||||||||
Private-label residential | — | — | 8 | — | 8 | — | |||||||||||||||||
Total mortgage-backed securities | 50 | — | 1,437 | (14 | ) | 1,487 | (14 | ) | |||||||||||||||
Total | $ | 52 | $ | — | $ | 1,605 | $ | (16 | ) | $ | 1,657 | $ | (16 | ) |
1 | Represents investment securities backed by the full faith and credit of the U.S. Government. |
June 30, 2018 | December 31, 2017 | |||||||||||||||
Year of Contractual Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | 14 | $ | 14 | $ | 20 | $ | 20 | ||||||||
Due after one year through five years | 71 | 71 | 72 | 72 | ||||||||||||
Due after five years through ten years | 340 | 362 | 344 | 376 | ||||||||||||
Due after ten years | 393 | 417 | 411 | 444 | ||||||||||||
Total non-mortgage-backed securities | 818 | 864 | 847 | 912 | ||||||||||||
Mortgage-backed securities | 2,477 | 2,461 | 2,781 | 2,774 | ||||||||||||
Total | $ | 3,295 | $ | 3,325 | $ | 3,628 | $ | 3,686 |
• | U.S. obligations and GSE and Tennessee Valley Authority obligations. The unrealized losses were due primarily to changes in interest rates and not to a significant deterioration in the fundamental credit quality of the obligations. The strength of the issuers’ guarantees through direct obligations or support from the U.S. Government was sufficient to protect the Bank from losses based on current expectations. The Bank expects to recover the amortized cost bases on these securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before recovery of their amortized cost bases. As such, the Bank did not consider these securities to be other-than-temporarily impaired at June 30, 2018. |
• | State or local housing agency obligations. The unrealized losses were due to changes in interest rates and illiquidity in the credit markets, and not to a significant deterioration in the fundamental credit quality of the obligations. The creditworthiness of the issuers and the strength of the underlying collateral and credit enhancements were sufficient to protect the Bank from losses based on current expectations. The Bank does not intend to sell these securities nor is it more likely than not that it will be required to sell these securities before recovery of their amortized cost bases. As such, the Bank did not consider these securities to be other-than-temporarily impaired at June 30, 2018. |
• | Private-label residential mortgage-backed securities. On a quarterly basis, the Bank engages other designated FHLBanks to perform cash flow analyses on its private-label mortgage-backed securities (private-label MBS). As of June 30, 2018, the Bank compared the present value of cash flows expected to be collected with respect to its private-label MBS to the amortized cost bases of the securities to determine whether a credit loss existed. At June 30, 2018, the Bank’s cash flow analyses for private-label MBS did not project any credit losses. The Bank does not intend to sell its private-label MBS nor is it more likely than not that the Bank will be required to sell its private-label MBS before recovery of their amortized cost bases. As a result, the Bank did not consider any of its private-label MBS to be other-than-temporarily impaired at June 30, 2018. |
June 30, 2018 | December 31, 2017 | |||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Overdrawn demand deposit accounts | $ | 34 | 3.10 | % | $ | 1 | 3.63 | % | ||||||
Due in one year or less | 52,016 | 2.16 | 45,310 | 1.62 | ||||||||||
Due after one year through two years | 18,954 | 2.25 | 17,094 | 1.79 | ||||||||||
Due after two years through three years | 20,620 | 2.31 | 14,222 | 1.64 | ||||||||||
Due after three years through four years | 10,543 | 2.51 | 17,561 | 1.79 | ||||||||||
Due after four years through five years | 3,918 | 2.51 | 3,089 | 1.91 | ||||||||||
Thereafter | 4,097 | 2.83 | 5,401 | 2.28 | ||||||||||
Total par value | 110,182 | 2.28 | % | 102,678 | 1.73 | % | ||||||||
Premiums | 44 | 53 | ||||||||||||
Discounts | (10 | ) | (12 | ) | ||||||||||
Fair value hedging adjustments | (253 | ) | (106 | ) | ||||||||||
Total | $ | 109,963 | $ | 102,613 |