The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold and may make other investments in debt securities, which are classified as either trading, AFS, or HTM.

The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of triple-B or greater (investment grade) by a Nationally Recognized Statistical Rating Organization (NRSRO). At March 31, 2020, none of these investments were with counterparties rated below triple-B; however, approximately 42 percent were secured securities purchased under agreements to resell with unrated counterparties. These may differ from any internal ratings of the investments by the Bank.

Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At March 31, 2020 and December 31, 2019, no allowance for credit losses was recorded for interest-bearing deposits and Federal funds sold as all assets were repaid or expected to be repaid according to their contractual terms. Carrying values of interest-bearing deposits and Federal funds sold excluded accrued interest receivable of less than $1 million as of March 31, 2020 and December 31, 2019.

Securities purchased under agreements to resell are secured, short-term and are structured such that they are evaluated regularly to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e. subject to collateral maintenance provisions). If so, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with its counterparties, the Bank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at March 31, 2020 and December 31, 2019. The carrying value of securities purchased under agreements to resell excludes accrued interest receivable of less than $1 million and $2 million as of March 31, 2020 and December 31, 2019.

The Bank invests in debt securities, which are classified as either trading, AFS, or HTM. Within these investments, the Bank is subject to credit risk related to private-label (MBS) that are supported by underlying mortgage or asset-backed loans. The Bank is prohibited by Finance Agency regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality. Exceptions are allowed for certain investments targeted at low-income persons or communities, and instruments that experience credit deterioration after their purchase by the Bank.



	March 31, 2020		December 31, 2019
Non-mortgage-backed securities
U.S. Treasury obligations	$	873	$	—
Other U.S. obligations¹	140		150
GSE and Tennessee Valley Authority obligations	64		60
Other²	262		259
Total non-mortgage-backed securities	1,339		469
Mortgage-backed securities
GSE multifamily	389		419
Total fair value	$	1,728	$	888

The Bank did not sell any trading securities during the three months ended March 31, 2020 and 2019. During the three months ended March 31, 2020 and 2019, the Bank recorded net holding gains of $26 million and $10 million on its trading securities.



	March 31, 2020
	Amortized Cost¹		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-mortgage-backed securities
Other U.S. obligations²	$	2,000	$	2	$	(27	)	$	1,975
GSE and Tennessee Valley Authority obligations	1,118		5		(16		)	1,107
State or local housing agency obligations	761		—		(1		)	760
Other³	292		1		(1		)	292
Total non-mortgage-backed securities	4,171		8		(45		)	4,134
Mortgage-backed securities
U.S. obligations single-family²	3,917		1		(26		)	3,892
GSE single-family	609		3		(3		)	609
GSE multifamily	7,585		2		(56		)	7,531
Total mortgage-backed securities	12,111		6		(85		)	12,032
Total	$	16,282	$	14	$	(130	)	$	16,166



	December 31, 2019
	Amortized Cost¹		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-mortgage-backed securities
Other U.S. obligations²	$	2,122	$	6	$	(1	)	$	2,127
GSE and Tennessee Valley Authority obligations	1,034		26		—			1,060
State or local housing agency obligations	761		—		(5		)	756
Other³	276		9		—			285
Total non-mortgage-backed securities	4,193		41		(6		)	4,228
Mortgage-backed securities
U.S. obligations single-family²	4,044		17		(2		)	4,059
GSE single-family	646		4		(1		)	649
GSE multifamily	7,720		13		(18		)	7,715
Total mortgage-backed securities	12,410		34		(21		)	12,423
Total	$	16,603	$	75	$	(27	)	$	16,651

The following tables summarize AFS securities with unrealized losses by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in millions). In cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported.



	March 31, 2020
	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
Other U.S. obligations¹	$	998	$	(15	)	$	818	$	(12	)	$	1,816	$	(27	)
GSE and Tennessee Valley Authority obligations	326		(16		)	—		—			326		(16		)
State or local housing agency obligations	210		—			314		(1		)	524		(1		)
Other	128		(1		)	—		—			128		(1		)
Total non-mortgage-backed securities	1,662		(32		)	1,132		(13		)	2,794		(45		)
Mortgage-backed securities
U.S. obligations single-family¹	3,052		(19		)	558		(7		)	3,610		(26		)
GSE single-family	212		(1		)	98		(2		)	310		(3		)
GSE multifamily	4,811		(42		)	2,486		(14		)	7,297		(56		)
Total mortgage-backed securities	8,075		(62		)	3,142		(23		)	11,217		(85		)
Total	$	9,737	$	(94	)	$	4,274	$	(36	)	$	14,011	$	(130	)



	December 31, 2019
	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
Other U.S. obligations¹	$	196	$	—		$	706	$	(1	)	$	902	$	(1	)
State or local housing agency obligations	57		—			344		(5		)	401		(5		)
Total non-mortgage-backed securities	253		—			1,050		(6		)	1,303		(6		)
Mortgage-backed securities
U.S. obligations single-family¹	169		—			564		(2		)	733		(2		)
GSE single-family	133		—			104		(1		)	237		(1		)
GSE multifamily	2,001		(8		)	2,766		(10		)	4,767		(18		)
Total mortgage-backed securities	2,303		(8		)	3,434		(13		)	5,737		(21		)
Total	$	2,556	$	(8	)	$	4,484	$	(19	)	$	7,040	$	(27	)

The following table summarizes AFS securities by contractual maturity. Expected maturities of some securities may differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment fees (dollars in millions):



	March 31, 2020				December 31, 2019
Year of Contractual Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-mortgage-backed securities
Due in one year or less	$	92	$	92	$	92	$	92
Due after one year through five years	2,104		2,096		2,099		2,110
Due after five years through ten years	1,200		1,187		1,294		1,302
Due after ten years	775		759		708		724
Total non-mortgage-backed securities	4,171		4,134		4,193		4,228
Mortgage-backed securities	12,111		12,032		12,410		12,423
Total	$	16,282	$	16,166	$	16,603	$	16,651



	March 31, 2020
	Amortized Cost¹		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-mortgage-backed securities
GSE and Tennessee Valley Authority obligations	$	383	$	96	$	—		$	479
State or local housing agency obligations	212		2		(1		)	213
Total non-mortgage-backed securities	595		98		(1		)	692
Mortgage-backed securities
U.S. obligations single-family²	4		—		—			4
U.S. obligations commercial²	1		—		—			1
GSE single-family	1,647		7		(12		)	1,642
Private-label	7		—		—			7
Total mortgage-backed securities	1,659		7		(12		)	1,654
Total	$	2,254	$	105	$	(13	)	$	2,346



	December 31, 2019
	Amortized Cost¹		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-mortgage-backed securities
GSE and Tennessee Valley Authority obligations	$	384	$	72	$	—		$	456
State or local housing agency obligations	221		1		(1		)	221
Total non-mortgage-backed securities	605		73		(1		)	677
Mortgage-backed securities
U.S. obligations single-family²	5		—		—			5
U.S. obligations commercial²	1		—		—			1
GSE single-family	1,752		4		(7		)	1,749
Private-label	7		—		—			7
Total mortgage-backed securities	1,765		4		(7		)	1,762
Total	$	2,370	$	77	$	(8	)	$	2,439

The following table summarizes HTM securities by contractual maturity. Expected maturities of some securities may differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment fees (dollars in millions):



	March 31, 2020				December 31, 2019
Year of Contractual Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-mortgage-backed securities
Due in one year or less	$	—	$	—	$	—	$	—
Due after one year through five years	—		—		—		—
Due after five years through ten years	411		457		412		446
Due after ten years	184		235		193		231
Total non-mortgage-backed securities	595		692		605		677
Mortgage-backed securities	1,659		1,654		1,765		1,762
Total	$	2,254	$	2,346	$	2,370	$	2,439

The Bank evaluates AFS and HTM investment securities for credit losses on a quarterly basis. The Bank adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. See “Note 2 — Recently Adopted and Issued Accounting Guidance” for additional information. See “Note 1 — Summary of Significant Accounting Policies” in the 2019 Form 10-K for information on the prior methodology for evaluating credit losses.

The Bank’s AFS and HTM securities may include, but are not limited to, certificates of deposit, commercial paper, U.S. obligations, GSE and Tennessee Valley Authority (TVA) obligations, state or local housing agency obligations, taxable municipal bonds, and mortgage-backed securities (MBS). The Bank only purchases securities considered investment quality. Excluding private-label MBS, at March 31, 2020, all of the Bank’s AFS securities and HTM securities, based on amortized cost, were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank.

The Bank evaluates its individual AFS securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). At March 31, 2020, certain AFS securities held by the Bank were in an unrealized loss position. These losses are considered temporary as the Bank expects to recover the entire amortized cost basis on these AFS investment 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 its anticipated recovery of each security's remaining amortized cost basis. Further, the Bank has not experienced any payment defaults on the instruments. In addition, substantially all of these securities carry an implicit or explicit government guarantee. As a result, no allowance for credit losses was recorded on these AFS securities at March 31, 2020.

The Bank evaluates its HTM securities for impairment on a collective, or pooled basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. As of March 31, 2020, the Bank had no allowance for credit losses recorded on its HTM securities because the securities: (i) were all highly-rated, (ii) had not experienced, nor did the Bank expect, any payment default on the instruments, and (iii) in the case of U.S. obligations and GSE and TVA obligations, carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero.

The Bank holds investments in private-label MBS classified as HTM. As of March 31, 2020, these investments represented less than one percent of the Bank’s HTM portfolio and approximately 70 percent of these securities, based on amortized cost, were rated single-A, or above, by an NRSRO. As of March 31, 2020, the Bank had no allowance for credit losses recorded on its private-label MBS because the securities (i) were highly-rated and/or (ii) had not experienced, nor did the Bank expect, any payment default on the instruments.