10-Q 1 ind3311610-q.htm 10-Q SEC Document


 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-Q
 

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2016

OR

o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission File Number:  000-51404
 
FEDERAL HOME LOAN BANK OF INDIANAPOLIS
(Exact name of registrant as specified in its charter)
 
Federally chartered corporation
(State or other jurisdiction of incorporation or organization)
 
35-6001443
(I.R.S. employer identification number)
8250 Woodfield Crossing Boulevard
Indianapolis, IN
(Address of principal executive offices)
 
46240
(Zip code)
(317) 465-0200
(Registrant's telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing for the past 90 days.

x  Yes            o  No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

x   Yes            o  No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definitions of "large accelerated filer," "accelerated filer," and "smaller reporting company" in Rule 12b-2 of the Exchange Act. (Check one):
o  Large accelerated filer
o  Accelerated filer
x Non-accelerated filer (Do not check if a smaller reporting company)
o  Smaller reporting company

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
o  Yes            x  No

Indicate the number of shares outstanding of each of the issuer's classes of common stock, as of the latest practicable date.
 
Shares outstanding
as of April 30, 2016

Class B Stock, par value $100
15,610,785




Table of Contents
Page
 
 
Number
 
Special Note Regarding Forward-Looking Stataements
PART I.
FINANCIAL INFORMATION
 
Item 1.
FINANCIAL STATEMENTS (unaudited)
 
 
 
 
 
Statements of Condition as of March 31, 2016 and December 31, 2015
 
 
 
 
Statements of Income for the Three Months Ended March 31, 2016 and 2015
 
 
 
 
Statements of Comprehensive Income for the Three Months Ended March 31, 2016 and 2015
 
 
 
 
Statements of Capital for the Three Months Ended March 31, 2015 and 2016
 
 
 
 
Statements of Cash Flows for the Three Months Ended March 31, 2016 and 2015
 
 
 
 
Notes to Financial Statements:
 
 
Note 1 - Summary of Significant Accounting Policies and Change in Accounting Principle
 
Note 2 - Recently Adopted and Issued Accounting Guidance
 
Note 3 - Available-for-Sale Securities
 
Note 4 - Held-to-Maturity Securities
 
Note 5 - Other-Than-Temporary Impairment
 
Note 6 - Advances
 
Note 7 - Mortgage Loans Held for Portfolio
 
Note 8 - Allowance for Credit Losses
 
Note 9 - Derivatives and Hedging Activities
 
Note 10 - Consolidated Obligations
 
Note 11 - Affordable Housing Program
 
Note 12 - Capital
 
Note 13 - Accumulated Other Comprehensive Income
 
Note 14 - Segment Information
 
Note 15 - Estimated Fair Values
 
Note 16 - Commitments and Contingencies
 
Note 17 - Transactions with Related Parties and Other Entities
 
 
 
 
GLOSSARY OF TERMS
Item 2.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
 
 
Presentation
 
Executive Summary
 
Selected Financial Data
 
Results of Operations and Changes in Financial Condition
 
Operating Segments
 
Analysis of Financial Condition
 
Liquidity and Capital Resources
 
Off-Balance Sheet Arrangements
 
Critical Accounting Policies and Estimates
 
Recent Accounting and Regulatory Developments
 
Risk Management
Item 3.
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Item 4.
CONTROLS AND PROCEDURES
 
 
 
PART II.
OTHER INFORMATION
 
Item 1.
LEGAL PROCEEDINGS
Item 1A.
RISK FACTORS
Item 6.
EXHIBITS
 
Signatures
 
Exhibit 31.1
 
 
Exhibit 31.2
 
 
Exhibit 31.3
 
 
Exhibit 32
 




Special Note Regarding Forward-Looking Statements
 
Statements in this Form 10-Q, including statements describing our objectives, projections, estimates or predictions, may be considered to be "forward-looking statements." These statements may use forward-looking terminology, such as "anticipates," "believes," "could," "estimates," "may," "should," "expects," "will," or their negatives or other variations on these terms. We caution that, by their nature, forward-looking statements involve risk or uncertainty and that actual results either could differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, the following:

economic and market conditions, including the timing and volume of market activity, inflation or deflation, changes in the value of global currencies, and changes in the financial condition of market participants;
volatility of market prices, interest rates, and indices or other factors, resulting from the effects of, and changes in, various monetary or fiscal policies and regulations, including those determined by the FRB and the FDIC, or a decline in liquidity in the financial markets, that could affect the value of investments (including OTTI of private-label RMBS), or collateral we hold as security for the obligations of our members and counterparties;
demand for our advances and purchases of mortgage loans resulting from:
changes in our members' deposit flows and credit demands;
regulatory developments impacting suitability or eligibility of membership classes;
membership changes, including, but not limited to, mergers, acquisitions and consolidations of charters;
changes in the general level of housing activity in the United States and particularly our district states of Indiana and Michigan, the level of refinancing activity and consumer product preferences; and
competitive forces, including, without limitation, other sources of funding available to our members;
changes in mortgage asset prepayment patterns, delinquency rates and housing values or improper or inadequate mortgage originations and mortgage servicing;
ability to introduce and successfully manage new products and services, including new types of collateral securing advances;
political events, including legislative, regulatory, or other developments, and judicial rulings that affect us, our status as a secured creditor, our members (or certain classes of members or their affiliates), prospective members, counterparties, one or more of the FHLBanks and/or investors in the consolidated obligations of the FHLBanks;
ability to access the capital markets and raise capital market funding at acceptable terms;
changes in our credit ratings or the credit ratings of the other FHLBanks and the FHLBank System;
changes in the level of government guarantees provided to other United States and international financial institutions;
competition from other entities borrowing funds in the capital markets;
dealer commitment to supporting the issuance of our consolidated obligations;
ability of one or more of the FHLBanks to repay its participation in the consolidated obligations, or otherwise meet its financial obligations;
ability to attract and retain skilled personnel;
ability to develop, implement and support technology and information systems sufficient to manage our business effectively;
nonperformance of counterparties to uncleared and cleared derivative transactions;
changes in terms of derivative agreements and similar agreements;
loss arising from natural disasters, acts of war or acts of terrorism;
changes in or differing interpretations of accounting guidance; and
other risk factors identified in our filings with the SEC.

Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, additional disclosures may be made through reports filed with the SEC in the future, including our Forms 10-K, 10-Q and 8-K.
 




PART I. FINANCIAL INFORMATION
Item 1. FINANCIAL STATEMENTS
Federal Home Loan Bank of Indianapolis
Statements of Condition
(Unaudited, $ amounts in thousands, except par value)
 
March 31,
2016
 
December 31,
2015
Assets:
 
 
 
Cash and due from banks
$
1,453,228

 
$
4,931,602

Interest-bearing deposits
242

 
161

Securities purchased under agreements to resell
200,000

 

Federal funds sold
3,090,000

 

Available-for-sale securities (Notes 3 and 5)
5,384,530

 
4,069,149

Held-to-maturity securities (estimated fair values of $6,448,867 and $6,405,865, respectively) (Notes 4 and 5)
6,375,396

 
6,345,337

Advances (Note 6)
25,442,671

 
26,908,908

Mortgage loans held for portfolio, net of allowance for loan losses of $(850) and $(1,125), respectively (Notes 7 and 8)
8,313,496

 
8,145,790

Accrued interest receivable
94,796

 
88,377

Premises, software, and equipment, net
38,268

 
38,501

Derivative assets, net (Note 9)
83,563

 
49,867

Other assets
31,229

 
30,412

 
 
 
 
Total assets
$
50,507,419

 
$
50,608,104

 
 
 
 
Liabilities:
 

 
 
Deposits
$
541,847

 
$
556,764

Consolidated obligations (Note 10):
 

 
 
Discount notes
15,054,608

 
19,251,376

Bonds
31,958,683

 
27,861,617

Total consolidated obligations
47,013,291

 
47,112,993

Accrued interest payable
86,427

 
81,836

Affordable Housing Program payable (Note 11)
28,235

 
31,103

Derivative liabilities, net (Note 9)
117,693

 
80,614

Mandatorily redeemable capital stock (Note 12)
192,548

 
14,063

Other liabilities
289,884

 
344,934

Total liabilities
48,269,925

 
48,222,307

 
 
 
 
Commitments and contingencies (Note 16)


 


 
 
 
 
Capital (Note 12):
 

 
 
Capital stock (putable at par value of $100 per share):
 
 
 
Class B-1 issued and outstanding shares: 13,751,309 and 15,277,692, respectively
1,375,131

 
1,527,769

Class B-2 issued and outstanding shares: 416 and 371, respectively
41

 
37

     Total capital stock
1,375,172

 
1,527,806

Retained earnings:
 
 
 
Unrestricted
710,130

 
705,449

Restricted
135,044

 
129,664

Total retained earnings
845,174

 
835,113

Total accumulated other comprehensive income (Note 13)
17,148

 
22,878

Total capital
2,237,494

 
2,385,797

 
 
 
 
Total liabilities and capital
$
50,507,419

 
$
50,608,104


The accompanying notes are an integral part of these financial statements.

2



Federal Home Loan Bank of Indianapolis
Statements of Income
(Unaudited, $ amounts in thousands)
 
Three Months Ended March 31,
 
2016
 
2015
Interest Income:
 
 
 
Advances
$
48,510

 
$
27,728

Prepayment fees on advances, net
168

 
191

Interest-bearing deposits
164

 
54

Securities purchased under agreements to resell
1,587

 
115

Federal funds sold
2,197

 
619

Available-for-sale securities
13,857

 
6,812

Held-to-maturity securities
26,276

 
29,401

Mortgage loans held for portfolio
69,412

 
62,226

Other interest income, net
285

 
153

Total interest income
162,456


127,299

 
 
 
 
Interest Expense:
 
 
 
Consolidated obligation discount notes
15,932

 
3,016

Consolidated obligation bonds
96,081

 
75,391

Deposits
75

 
19

Mandatorily redeemable capital stock
997

 
134

Total interest expense
113,085

 
78,560

 
 
 
 
Net interest income
49,371

 
48,739

Provision for credit losses
25

 
563

 
 
 
 
Net interest income after provision for credit losses
49,346

 
48,176

 
 
 
 
Other Income (Loss):
 
 
 
Net gains (losses) on derivatives and hedging activities
(2,097
)
 
(1,880
)
Service fees
363

 
188

Standby letters of credit fees
184

 
151

Other, net (Note 16)
348

 
5,117

Total other income (loss)
(1,202
)
 
3,576

 
 
 
 
Other Expenses:
 
 
 
Compensation and benefits
10,828

 
10,700

Other operating expenses
5,311

 
5,092

Federal Housing Finance Agency
789

 
720

Office of Finance
955

 
863

Other
264

 
352

Total other expenses
18,147

 
17,727

 
 
 
 
Income before assessments
29,997

 
34,025

 
 
 
 
Affordable Housing Program assessments
3,100

 
3,416

 
 
 
 
Net income
$
26,897

 
$
30,609


The accompanying notes are an integral part of these financial statements.

3



Federal Home Loan Bank of Indianapolis
Statements of Comprehensive Income
(Unaudited, $ amounts in thousands)
 
Three Months Ended March 31,
 
2016
 
2015
 
 
 
 
Net income
$
26,897

 
$
30,609

 
 
 
 
Other Comprehensive Income (Loss):
 
 
 
Net change in unrealized gains (losses) on available-for-sale securities
(213
)
 
1,504

 
 
 
 
Non-credit portion of other-than-temporary impairment losses on available-for-sale securities:
 
 
 
Net change in fair value not in excess of cumulative non-credit losses
24

 
1

Unrealized gains (losses)
(5,791
)
 
(2,359
)
Net non-credit portion of other-than-temporary impairment losses on available-for-sale securities
(5,767
)
 
(2,358
)
 
 
 
 
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities:
 
 
 
Accretion of non-credit portion
8

 
12

Net non-credit portion of other-than-temporary impairment losses on held-to-maturity securities
8

 
12

 
 
 
 
Pension benefits, net
242

 
248

 
 
 
 
Total other comprehensive income (loss)
(5,730
)

(594
)
 
 
 
 
Total comprehensive income
$
21,167

 
$
30,015



The accompanying notes are an integral part of these financial statements.

4



Federal Home Loan Bank of Indianapolis
Statements of Capital
Three Months Ended March 31, 2015 and 2016
(Unaudited, $ amounts and shares in thousands)
 
 
Capital Stock
Class B Putable
 
Retained Earnings
 
Accumulated
Other
Comprehensive
Income (Loss)
 
Total
Capital
 
 
Shares
 
Par Value
 
Unrestricted
 
Restricted
 
Total
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2014
 
15,510

 
$
1,550,981

 
$
672,159

 
$
105,470

 
$
777,629

 
$
46,660

 
$
2,375,270

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total comprehensive income
 
 
 
 
 
24,487

 
6,122

 
30,609

 
(594
)
 
30,015

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Proceeds from issuance of capital stock
 
209

 
20,889

 
 
 
 
 
 
 
 
 
20,889

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash dividends on capital stock
(4.00% annualized)
 
 
 
 
 
(17,008
)
 

 
(17,008
)
 
 
 
(17,008
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, March 31, 2015
 
15,719

 
$
1,571,870

 
$
679,638

 
$
111,592

 
$
791,230

 
$
46,066

 
$
2,409,166

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2015
 
15,278

 
$
1,527,806

 
$
705,449

 
$
129,664

 
$
835,113

 
$
22,878

 
$
2,385,797

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total comprehensive income
 
 
 
 
 
21,517

 
5,380

 
26,897

 
(5,730
)
 
21,167

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Proceeds from issuance of capital stock
 
263

 
26,264

 
 
 
 
 
 
 
 
 
26,264

Shares reclassified to mandatorily redeemable capital stock, net
 
(1,789
)
 
(178,898
)
 
 
 
 
 
 
 
 
 
(178,898
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Distributions on mandatorily redeemable capital stock
 
 
 
 
 
(1,038
)
 

 
(1,038
)
 
 
 
(1,038
)
Cash dividends on capital stock
(4.25% annualized)
 
 
 
 
 
(15,798
)
 

 
(15,798
)
 
 
 
(15,798
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, March 31, 2016
 
13,752

 
$
1,375,172

 
$
710,130

 
$
135,044

 
$
845,174

 
$
17,148

 
$
2,237,494




The accompanying notes are an integral part of these financial statements.

5



Federal Home Loan Bank of Indianapolis
Statements of Cash Flows
(Unaudited, $ amounts in thousands)
 
Three Months Ended March 31,
 
2016
 
2015
Operating Activities:
 
 
 
Net income
$
26,897

 
$
30,609

Adjustments to reconcile net income to net cash provided by operating activities:
 
 
 
Amortization and depreciation
8,487

 
12,942

Prepayment fees on advances, net of related swap termination fees
160

 
(1,862
)
Changes in net derivative and hedging activities
14,499

 
11,760

Provision for credit losses
25

 
563

Changes in:
 
 
 
Accrued interest receivable
(6,448
)
 
(1,442
)
Other assets
(41
)
 
(4,213
)
Accrued interest payable
4,590

 
964

Other liabilities
4,008

 
13,005

Total adjustments, net
25,280

 
31,717

 
 
 
 
Net cash provided by operating activities
52,177

 
62,326

 
 
 
 
Investing Activities:
 
 


Net changes in:
 
 
 
Interest-bearing deposits
(138,600
)
 
(32,525
)
Securities purchased under agreements to resell
(200,000
)
 
(500,000
)
Federal funds sold
(3,090,000
)
 

Available-for-sale securities:
 
 
 
Proceeds from maturities
15,797

 
18,976

Purchases
(1,200,000
)
 

Held-to-maturity securities:
 
 
 
Proceeds from maturities
378,989

 
432,967

Purchases
(561,376
)
 
(16,197
)
Advances:
 
 
 
Principal repayments
35,173,986

 
17,944,283

Disbursements to members
(33,616,985
)
 
(18,971,601
)
Mortgage loans held for portfolio:
 
 
 
Principal collections
292,075

 
331,548

Purchases from members
(449,770
)
 
(891,413
)
Purchases of premises, software, and equipment
(1,185
)
 
(1,373
)
 
 
 
 
Net cash used in investing activities
(3,397,069
)
 
(1,685,335
)
 


The accompanying notes are an integral part of these financial statements.

6



Federal Home Loan Bank of Indianapolis
Statements of Cash Flows, continued
(Unaudited, $ amounts in thousands)
 
Three Months Ended March 31,
 
2016
 
2015
Financing Activities:
 
 
 
Changes in deposits
(15,577
)
 
346,283

Net payments on derivative contracts with financing elements
(9,397
)
 
(15,620
)
Net proceeds from issuance of consolidated obligations:
 
 
 
Discount notes
45,481,808

 
13,840,829

Bonds
10,370,069

 
7,224,218

Payments for matured and retired consolidated obligations:
 
 
 
Discount notes
(49,682,290
)
 
(15,248,157
)
Bonds
(6,287,110
)
 
(4,496,350
)
Proceeds from issuance of capital stock
26,264

 
20,889

Payments for redemption/repurchase of mandatorily redeemable capital stock
(1,451
)
 
(120
)
Dividend payments
(15,798
)
 
(17,008
)
 
 
 
 
Net cash provided by (used in) financing activities
(133,482
)
 
1,654,964

 
 
 
 
Net increase (decrease) in cash and due from banks
(3,478,374
)
 
31,955

 
 
 
 
Cash and due from banks at beginning of period
4,931,602

 
3,550,939

 
 
 
 
Cash and due from banks at end of period
$
1,453,228

 
$
3,582,894

 
 
 
 
Supplemental Disclosures:
 
 
 
Interest payments
$
85,522

 
$
74,690

Purchases of securities, traded but not yet settled
102,580

 

Affordable Housing Program payments
5,968

 
4,556

Capitalized interest on certain held-to-maturity securities
302

 
598

Par value of shares reclassified to mandatorily redeemable capital stock, net
178,898

 

 

The accompanying notes are an integral part of these financial statements.

7



Federal Home Loan Bank of Indianapolis
Notes to Financial Statements
(Unaudited, $ amounts in thousands unless otherwise indicated)


Note 1 - Summary of Significant Accounting Policies and Change in Accounting Principle

We use certain acronyms and terms throughout these financial statements, which are defined in the Glossary of Terms. Unless the context otherwise requires, the terms "we," "us," and "our" refer to the Federal Home Loan Bank of Indianapolis or its management.

Basis of Presentation. The accompanying interim financial statements have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. The interim financial statements presented herein should be read in conjunction with our audited financial statements and notes thereto, which are included in our 2015 Form 10-K.

The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of our financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period.

Our significant accounting policies and certain other disclosures are set forth in Note 1 - Summary of Significant Accounting Policies in our 2015 Form 10-K. There have been no significant changes to these policies through March 31, 2016, with the exception of the change in accounting principle described below.

Reclassifications. We have reclassified certain amounts from the prior period to conform to the current period presentation. These reclassifications had no effect on net income, total comprehensive income, total capital, or net cash flows.

Use of Estimates. When preparing financial statements in accordance with GAAP, we are required to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant estimates include the fair value of financial instruments, including derivatives; the allowance for credit losses; and the determination of OTTI of certain private-label RMBS. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates.

Change in Accounting Principle. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires a reclassification on the statement of condition of debt issuance costs related to a recognized debt liability from assets to a direct deduction from the carrying amount of that debt liability, consistent with debt discounts.

The guidance became effective for the interim and annual periods beginning on January 1, 2016 and was adopted retrospectively. As a result, effective January 1, 2016, unamortized concessions on consolidated obligations that were included in other assets at December 31, 2015 were reclassified as a reduction to the corresponding consolidated obligations. The reclassification resulted in a reduction in consolidated obligation discount notes of $920 and consolidated obligation bonds of $11,113 at December 31, 2015. Accordingly, total assets and total liabilities were each reduced at December 31, 2015 by $12,033. The adoption of this guidance did not have any effect on our results of operations or cash flows.
 
 
 
 
 
 
 




Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Note 2 - Recently Adopted and Issued Accounting Guidance

Recently Adopted Accounting Guidance.

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. On March 10, 2016, the FASB issued amendments to clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under GAAP does not, in and of itself, require dedesignation of that hedging relationship provided that all other hedge accounting criteria continue to be met.

This guidance becomes effective for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The amendments provide entities with the option to apply the guidance using either a prospective approach or a modified retrospective approach, applied to all derivative instruments that meet the specific conditions. We elected to early adopt the guidance prospectively on January 1, 2016. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows.

Customer's Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the FASB issued amendments to clarify a customer's accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract.

The guidance became effective for the interim and annual periods beginning on January 1, 2016 and was adopted prospectively. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows.

Amendments to the Consolidation Analysis. On February 18, 2015, the FASB issued amended guidance intended to enhance consolidation analysis for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and MBS transactions). The new guidance primarily emphasizes: (i) risk of loss when determining a controlling financial interest, such that a reporting organization may no longer have to consolidate a legal entity in certain circumstances based solely on its fee arrangement when certain criteria are met; (ii) reducing the frequency of the application of related-party guidance when determining a controlling interest in a VIE; and (iii) potentially changing consolidation exclusions for entities in several industries that typically make use of limited partnerships or VIEs.

This guidance became effective for the interim and annual periods beginning on January 1, 2016 and its adoption did not have a material effect on our financial condition, results of operations, or cash flows.

Recently Issued Accounting Guidance.

Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the FASB issued amendments to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. The guidance requires entities to apply only the four-step decision sequence when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks.

This guidance becomes effective for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. The guidance should be applied on a modified retrospective basis to existing debt instruments as of the beginning of the period for which the amendments are effective. We are in the process of evaluating this guidance, and its effect on our financial condition, results of operations, and cash flows has not yet been determined.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Revenue from Contracts with Customers. On May 28, 2014, the FASB issued new guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for recognizing revenue arising from contracts with customers and supersedes most current revenue recognition guidance, including industry specific guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of nonfinancial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, or lease contracts. The guidance provides entities with the option of using either of the following two methods upon adoption: (i) a full retrospective method, applied to each prior reporting period presented; or (ii) a modified retrospective method, with the cumulative effect of initially applying this guidance recognized at the date of initial application.

On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance by one year. In 2016, the FASB has issued additional amendments to clarify certain aspects of the guidance; however, the amendments do not change the core principle in the guidance.

The guidance is effective for interim and annual periods beginning on January 1, 2018. Early application is permitted only as of the interim and annual reporting periods beginning after January 1, 2017. We are in the process of evaluating this guidance, but its effect on our financial condition, results of operations, and cash flows is not expected to be material.

Note 3 - Available-for-Sale Securities

Major Security Types. The following table presents our AFS securities by type of security.
 
 
 
 
 
 
Gross
 
Gross
 
 
 
 
Amortized
 
Non-Credit
 
Unrealized
 
Unrealized
 
Estimated
March 31, 2016
 
Cost (1)
 
OTTI
 
Gains
 
Losses
 
Fair Value
GSE and TVA debentures
 
$
4,728,835

 
$

 
$
9,062

 
$
(8,970
)
 
$
4,728,927

GSE MBS
 
355,053

 

 
1,402

 
(1,610
)
 
354,845

Private-label RMBS
 
276,296

 
(280
)
 
24,742

 

 
300,758

Total AFS securities
 
$
5,360,184

 
$
(280
)
 
$
35,206

 
$
(10,580
)
 
$
5,384,530

 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
 
GSE and TVA debentures
 
$
3,478,617

 
$

 
$
5,467

 
$
(3,542
)
 
$
3,480,542

GSE MBS
 
271,249

 

 
477

 
(2,305
)
 
269,421

Private-label RMBS
 
288,957

 
(304
)
 
30,533

 

 
319,186

Total AFS securities
 
$
4,038,823

 
$
(304
)
 
$
36,477

 
$
(5,847
)
 
$
4,069,149


(1) 
Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses) and fair-value hedge accounting adjustments.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Unrealized Loss Positions. The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
 
 
Less than 12 months
 
12 months or more
 
Total
 
 
Estimated
 
Unrealized
 
Estimated
 
Unrealized
 
Estimated
 
Unrealized
March 31, 2016
 
Fair Value
 
Losses
 
Fair Value
 
Losses
 
Fair Value
 
Losses
GSE and TVA debentures
 
$
1,208,994

 
$
(7,795
)
 
$
110,375

 
$
(1,175
)
 
$
1,319,369

 
$
(8,970
)
GSE MBS
 
81,815

 
(1,610
)
 

 

 
81,815

 
(1,610
)
Private-label RMBS
 

 

 
3,859

 
(280
)
 
3,859

 
(280
)
Total impaired AFS securities
 
$
1,290,809

 
$
(9,405
)
 
$
114,234

 
$
(1,455
)
 
$
1,405,043

 
$
(10,860
)
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
GSE and TVA debentures
 
$
578,809

 
$
(2,774
)
 
$
107,349

 
$
(768
)
 
$
686,158

 
$
(3,542
)
GSE MBS
 
183,508

 
(2,305
)
 

 

 
183,508

 
(2,305
)
Private-label RMBS
 

 

 
4,179

 
(304
)
 
4,179

 
(304
)
Total impaired AFS securities
 
$
762,317


$
(5,079
)

$
111,528


$
(1,072
)

$
873,845


$
(6,151
)

Contractual Maturity. The amortized cost and estimated fair value of non-MBS AFS securities by contractual maturity are presented below. MBS are not presented by contractual maturity because their actual maturities will likely differ from contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees.
 
 
March 31, 2016
 
December 31, 2015
 
 
Amortized
 
Estimated
 
Amortized
 
Estimated
Year of Contractual Maturity
 
Cost
 
Fair Value
 
Cost
 
Fair Value
Due in 1 year or less
 
$
1,019,130

 
$
1,021,418

 
$
820,210

 
$
821,413

Due after 1 year through 5 years
 
2,309,577

 
2,313,588

 
1,921,544

 
1,924,567

Due after 5 years through 10 years
 
1,275,692

 
1,272,072

 
637,007

 
635,356

Due after 10 years
 
124,436

 
121,849

 
99,856

 
99,206

Total non-MBS
 
4,728,835

 
4,728,927

 
3,478,617

 
3,480,542

Total MBS
 
631,349

 
655,603

 
560,206

 
588,607

Total AFS securities
 
$
5,360,184

 
$
5,384,530

 
$
4,038,823

 
$
4,069,149


Realized Gains and Losses. There were no sales of AFS securities during the three months ended March 31, 2016 or 2015. As of March 31, 2016, we had no intention of selling the AFS securities in an unrealized loss position nor did we consider it more likely than not that we will be required to sell these securities before our anticipated recovery of each security's remaining amortized cost basis.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Note 4 - Held-to-Maturity Securities

Major Security Types. The following table presents our HTM securities by type of security.
 
 
 
 
 
 
 
 
Gross
 
Gross
 
 
 
 
 
 
 
 
 
 
Unrecognized
 
Unrecognized
 
 
 
 
Amortized
 
Non-Credit
 
Carrying
 
Holding
 
Holding
 
Estimated
March 31, 2016
 
Cost (1)
 
OTTI
 
Value
 
Gains
 
Losses
 
 Fair Value
MBS and ABS:
 
 
 
 
 
 
 
 
 
 
 
 
Other U.S. obligations -guaranteed MBS
 
$
2,917,098

 
$

 
$
2,917,098

 
$
13,132

 
$
(24,096
)
 
$
2,906,134

GSE MBS
 
3,381,039

 

 
3,381,039

 
87,632

 
(1,189
)
 
3,467,482

Private-label RMBS
 
66,978

 

 
66,978

 
60

 
(854
)
 
66,184

Private-label ABS
 
10,405

 
(124
)
 
10,281

 
46

 
(1,260
)
 
9,067

Total MBS and ABS
 
6,375,520

 
(124
)
 
6,375,396

 
100,870

 
(27,399
)
 
6,448,867

 
 
 
 
 
 
 
 
 
 
 
 
 
Total HTM securities
 
$
6,375,520

 
$
(124
)
 
$
6,375,396

 
$
100,870

 
$
(27,399
)
 
$
6,448,867

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
GSE debentures
 
$
100,000

 
$

 
$
100,000

 
$
2

 
$

 
$
100,002

MBS and ABS:
 
 
 
 
 
 
 
 
 
 
 
 
Other U.S. obligations -guaranteed MBS
 
2,894,867

 

 
2,894,867

 
13,113

 
(12,148
)
 
2,895,832

GSE MBS
 
3,267,647

 

 
3,267,647

 
63,687

 
(2,333
)
 
3,329,001

Private-label RMBS
 
72,107

 

 
72,107

 
116

 
(939
)
 
71,284

Private-label ABS
 
10,848

 
(132
)
 
10,716

 
61

 
(1,031
)
 
9,746

Total MBS and ABS
 
6,245,469

 
(132
)
 
6,245,337

 
76,977

 
(16,451
)
 
6,305,863

 
 
 
 
 
 
 
 
 
 
 
 
 
Total HTM securities
 
$
6,345,469

 
$
(132
)
 
$
6,345,337

 
$
76,979

 
$
(16,451
)
 
$
6,405,865


(1) 
Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses).





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Unrealized Loss Positions. The following table presents impaired HTM securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
 
 
Less than 12 months
 
12 months or more
 
Total
 
 
Estimated
 
Unrealized
 
Estimated
 
Unrealized
 
Estimated
 
Unrealized
March 31, 2016
 
Fair Value
 
Losses
 
Fair Value
 
Losses
 
Fair Value
 
Losses (1)
MBS and ABS:
 
 
 
 
 
 
 
 
 
 
 
 
Other U.S. obligations - guaranteed MBS
 
$
1,414,330

 
$
(15,169
)
 
$
581,072

 
$
(8,927
)
 
$
1,995,402

 
$
(24,096
)
GSE MBS
 
604,241

 
(706
)
 
185,886

 
(483
)
 
790,127

 
(1,189
)
Private-label RMBS
 
22,167

 
(151
)
 
24,626

 
(703
)
 
46,793

 
(854
)
Private-label ABS
 

 

 
9,067

 
(1,338
)
 
9,067

 
(1,338
)
Total MBS and ABS
 
2,040,738

 
(16,026
)
 
800,651

 
(11,451
)
 
2,841,389

 
(27,477
)
Total impaired HTM securities
 
$
2,040,738

 
$
(16,026
)
 
$
800,651

 
$
(11,451
)
 
$
2,841,389

 
$
(27,477
)
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
MBS and ABS:
 
 
 
 
 
 
 
 
 
 
 
 
Other U.S. obligations - guaranteed MBS
 
$
1,271,907

 
$
(6,147
)
 
$
603,045

 
$
(6,001
)
 
$
1,874,952

 
$
(12,148
)
GSE MBS
 
566,277

 
(1,744
)
 
224,436

 
(589
)
 
790,713

 
(2,333
)
Private-label RMBS
 
16,206

 
(102
)
 
24,958

 
(837
)
 
41,164

 
(939
)
Private-label ABS
 

 

 
9,746

 
(1,102
)
 
9,746

 
(1,102
)
Total MBS and ABS
 
1,854,390

 
(7,993
)
 
862,185

 
(8,529
)
 
2,716,575

 
(16,522
)
Total impaired HTM securities
 
$
1,854,390

 
$
(7,993
)
 
$
862,185

 
$
(8,529
)
 
$
2,716,575

 
$
(16,522
)

(1) 
For private-label ABS, total unrealized losses do not agree to total gross unrecognized holding losses at March 31, 2016 and December 31, 2015 of $1,260 and $1,031, respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $124 and $132, respectively, and gross unrecognized holding gains on previously OTTI securities of $46 and $61, respectively.

Contractual Maturity. The amortized cost, carrying value and estimated fair value of non-MBS HTM securities by contractual maturity are presented below. MBS and ABS are not presented by contractual maturity because their actual maturities will likely differ from contractual maturities as certain borrowers have the right to prepay their obligations with or without prepayment fees.
 
 
March 31, 2016
 
December 31, 2015
 
 
Amortized
 
Carrying
 
Estimated
 
Amortized
 
Carrying
 
Estimated
Year of Contractual Maturity
 
Cost (1)
 
Value (2)
 
Fair Value
 
Cost (1)
 
Value (2)
 
Fair Value
Non-MBS due in 1 year or less
 
$

 
$

 
$

 
$
100,000

 
$
100,000

 
$
100,002

Total MBS and ABS
 
6,375,520

 
6,375,396

 
6,448,867

 
6,245,469

 
6,245,337

 
6,305,863

Total HTM securities
 
$
6,375,520

 
$
6,375,396

 
$
6,448,867

 
$
6,345,469

 
$
6,345,337

 
$
6,405,865


(1) 
Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses).
(2) 
Represents amortized cost after adjustment for non-credit OTTI recognized in AOCI.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Note 5 - Other-Than-Temporary Impairment

OTTI Evaluation Process and Results - Private-label RMBS and ABS. On a quarterly basis, we evaluate our individual AFS and HTM investment securities that have been previously OTTI or are in an unrealized loss position for OTTI. As part of our evaluation, we consider whether we intend to sell each security and whether it is more likely than not that we will be required to sell the security before its anticipated recovery. If either of these conditions is met, we recognize an OTTI loss in earnings equal to the entire difference between the security's amortized cost and its estimated fair value at the statement of condition date. For those impaired securities that meet neither of these conditions, we perform a cash flow analysis to determine whether we expect to recover the entire amortized cost of the security as described in Note 1 - Summary of Significant Accounting Policies and Note 6 - Other-Than-Temporary Impairment in our 2015 Form 10-K.

OTTI - Significant Inputs. The FHLBanks' OTTI Governance Committee developed a short-term housing price forecast with projected changes ranging from a decrease of 1% to an increase of 8% over a twelve-month period. For the vast majority of housing markets, the changes range from an increase of 3% to an increase of 5%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.
 
 
 
 
 
 
 
 
 
Results of OTTI Evaluation Process. As a result of our analysis, no OTTI credit losses were recognized for the three months ended March 31, 2016 or 2015. We determined that the unrealized losses on the remaining private-label RMBS and ABS were temporary as we expect to recover the entire amortized cost.
 
 
 
 
 
OTTI Evaluation Process and Results - All Other AFS and HTM Securities.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other U.S. and GSE Obligations and TVA Debentures. For other U.S. obligations, GSE obligations, and TVA debentures, we determined that, based on current expectations, the strength of the issuers' guarantees through direct obligations of or support from the United States government is sufficient to protect us from any losses. As a result, all of the gross unrealized losses as of March 31, 2016 are considered temporary.

Note 6 - Advances

We had advances outstanding, as presented below by year of contractual maturity, with current interest rates ranging from 0% to 7.53%.
 
 
March 31, 2016
 
December 31, 2015
Year of Contractual Maturity
 
Amount
 
WAIR %
 
Amount
 
WAIR %
Overdrawn demand and overnight deposit accounts
 
$
6,089

 
2.68

 
$
89

 
2.58

Due in 1 year or less
 
9,287,436

 
0.75

 
11,969,004

 
0.63

Due after 1 year through 2 years
 
3,348,088

 
1.54

 
2,678,669

 
1.50

Due after 2 years through 3 years
 
2,175,249

 
1.97

 
2,511,090

 
1.83

Due after 3 years through 4 years
 
2,323,737

 
1.78

 
1,705,052

 
2.44

Due after 4 years through 5 years
 
2,004,640

 
1.49

 
2,638,688

 
1.22

Thereafter
 
6,105,229

 
1.33

 
5,304,876

 
1.30

Total advances, par value
 
25,250,468

 
1.25

 
26,807,468

 
1.13

Fair-value hedging adjustments
 
163,501

 
 

 
69,829

 
 

Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees
 
28,702

 
 

 
31,611

 
 

Total advances
 
$
25,442,671

 
 

 
$
26,908,908

 
 


Prepayments. At March 31, 2016 and December 31, 2015, we had $7.2 billion and $6.5 billion, respectively, of advances that can be prepaid without incurring prepayment or termination fees. All other advances may only be prepaid by paying a fee that is sufficient to make us financially indifferent to the prepayment of the advance.

At March 31, 2016 and December 31, 2015, we had putable advances outstanding totaling $650,500 and $434,500, respectively.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


The following table presents advances by the earlier of the year of contractual maturity or the next call date and next put date.
 
 
Year of Contractual Maturity
or Next Call Date
 
Year of Contractual Maturity
or Next Put Date
 
 
March 31,
2016
 
December 31,
2015
 
March 31,
2016
 
December 31,
2015
Overdrawn demand and overnight deposit accounts
 
$
6,089

 
$
89

 
$
6,089

 
$
89

Due in 1 year or less
 
15,896,801

 
17,669,284

 
9,512,436

 
12,224,004

Due after 1 year through 2 years
 
2,976,538

 
2,540,919

 
3,290,588

 
2,601,169

Due after 2 years through 3 years
 
1,950,749

 
2,309,925

 
2,165,249

 
2,491,090

Due after 3 years through 4 years
 
1,683,737

 
1,635,052

 
2,343,737

 
1,700,052

Due after 4 years through 5 years
 
1,449,640

 
1,553,688

 
2,217,640

 
2,635,688

Thereafter
 
1,286,914

 
1,098,511

 
5,714,729

 
5,155,376

Total advances, par value
 
$
25,250,468

 
$
26,807,468

 
$
25,250,468

 
$
26,807,468


Under the Final Membership Rule, captive insurance companies that were admitted as FHLBank members on or after September 12, 2014 and do not meet the new definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership shall have their membership terminated by February 19, 2017. Upon termination, all of their outstanding advances shall be repaid. As a result, all of their outstanding advances as of March 31, 2016 totaling $382 million are due in one year or less.

Credit Risk Exposure and Security Terms. At March 31, 2016 and December 31, 2015, we had a total of $13.2 billion and $14.8 billion, respectively, of advances outstanding, at par, to single borrowers with balances that were greater than or equal to $1.0 billion. These advances, representing 52% and 55%, respectively, of total advances at par outstanding on those dates, were made to seven and eight borrowers, respectively. At March 31, 2016 and December 31, 2015, we held $22.8 billion and $25.7 billion, respectively, of UPB of collateral to secure the advances to these borrowers.

See Note 8 - Allowance for Credit Losses for information related to credit risk on advances and allowance methodology for credit losses.

Note 7 - Mortgage Loans Held for Portfolio

The following tables present information on mortgage loans held for portfolio by term and by type.
Term
 
March 31, 2016
 
December 31, 2015
Fixed-rate long-term mortgages
 
$
6,988,634

 
$
6,811,266

Fixed-rate medium-term (1) mortgages
 
1,152,419

 
1,170,789

Total mortgage loans held for portfolio, UPB
 
8,141,053

 
7,982,055

Unamortized premiums
 
169,911

 
162,875

Unamortized discounts
 
(1,742
)
 
(1,832
)
Fair-value hedging adjustments
 
5,124

 
3,817

Allowance for loan losses
 
(850
)
 
(1,125
)
Total mortgage loans held for portfolio, net
 
$
8,313,496

 
$
8,145,790


(1) 
Defined as a term of 15 years or less at origination.
 
 
 
 
 
 
 
Type
 
March 31, 2016
 
December 31, 2015
Conventional
 
$
7,557,941

 
$
7,371,032

Government -guaranteed or -insured
 
583,112

 
611,023

Total mortgage loans held for portfolio, UPB
 
$
8,141,053

 
$
7,982,055






Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Product
 
March 31, 2016
 
December 31, 2015
MPP
 
$
7,715,859

 
$
7,543,183

MPF
 
425,194

 
438,872

Total mortgage loans held for portfolio, UPB
 
$
8,141,053

 
$
7,982,055

 
 
 
 
 
 
 
See Note 8 - Allowance for Credit Losses for information related to credit risk on mortgage loans and allowance methodology for loan losses.

Note 8 - Allowance for Credit Losses

We have established a methodology to determine the allowance for credit losses for each of our portfolio segments: credit products (advances, letters of credit, and other extensions of credit to members); term securities purchased under agreements to resell; term federal funds sold; government-guaranteed or -insured mortgage loans held for portfolio; and conventional mortgage loans held for portfolio. A description of the allowance methodologies for our portfolio segments as well as our policy for impairing financing receivables and charging them off when necessary is disclosed in Note 1 - Summary of Significant Accounting Policies and Note 9 - Allowance for Credit Losses in our 2015 Form 10-K.

Credit Products. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of credit quality on the borrower's credit products. At March 31, 2016 and December 31, 2015, we had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of our outstanding extensions of credit.

At March 31, 2016 and December 31, 2015, we did not have any credit products that were past due, on non-accrual status, or considered impaired. In addition, there were no TDRs related to credit products during the three months ended March 31, 2016 or 2015.

Based upon the collateral held as security, our credit extension and collateral policies, our credit analysis and the repayment history on credit products, we have not recorded any allowance for credit losses on credit products and no liability was recorded to reflect an allowance for credit losses for off-balance sheet credit exposures. For additional information about off-balance sheet credit exposure, see Note 16 - Commitments and Contingencies.

Mortgage Loans.

MPP Credit Enhancements. The following table presents the activity in the LRA.
 
 
Three Months Ended March 31,
LRA Activity
 
2016
 
2015
Balance of LRA, beginning of period
 
$
91,552

 
$
61,949

Additions
 
5,407

 
10,549

Claims paid
 
(209
)
 
(186
)
Distributions to members
 
(87
)
 
(134
)
Balance of LRA, end of period
 
$
96,663

 
$
72,178


The following table presents the estimated impact of credit enhancements on the allowance.
MPP Credit Waterfall
 
March 31, 2016
 
December 31, 2015
Estimated incurred losses remaining after borrower's equity, before credit enhancements
 
$
5,235

 
$
6,132

Portion of estimated losses recoverable from PMI
 
(1,747
)
 
(1,477
)
Portion of estimated losses recoverable from LRA (1)
 
(508
)
 
(550
)
Portion of estimated losses recoverable from SMI
 
(2,323
)
 
(3,245
)
Allowance for unrecoverable PMI/SMI
 
93

 
140

Allowance for MPP loan losses
 
$
750

 
$
1,000






Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


(1) 
Amounts recoverable are limited to (i) the estimated losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the LRA balance is available to cover any losses not yet incurred and to distribute any excess funds to members.

MPF Credit Enhancements. CE fees paid to PFIs were $81 and $94 for the three months ended March 31, 2016 and 2015, respectively. Performance-based CE fees may be withheld to cover losses allocated to us.

Any losses that occur in a pool will either be: (i) recovered through the withholding of future performance-based CE fees from the PFI or (ii) absorbed by us in the FLA. As of March 31, 2016 and December 31, 2015, our exposure under the FLA was $3,491 and $3,482, respectively. The PFIs’ CE obligations available to cover losses in excess of the FLA totaled $26,862 as of March 31, 2016 and December 31, 2015. Any estimated losses that would be absorbed by the CE obligation are not included in our allowance for loan losses. The resulting allowance for MPF loan losses at March 31, 2016 and December 31, 2015 was $100 and $125, respectively.
 
 
 
 
 
Credit Quality Indicators. The tables below present our key credit quality indicators for mortgage loans held for portfolio.
Mortgage Loans Held for Portfolio as of March 31, 2016
 
Conventional
 
Government
 
Total
Past due 30-59 days
 
$
42,352

 
$
13,441

 
$
55,793

Past due 60-89 days
 
10,621

 
3,546

 
14,167

Past due 90 days or more
 
36,958

 
2,286

 
39,244

Total past due
 
89,931

 
19,273

 
109,204

Total current
 
7,665,882

 
573,793

 
8,239,675

Total mortgage loans, recorded investment
 
$
7,755,813

 
$
593,066

 
$
8,348,879

 
 
 
 
 
 
 
Other Delinquency Statistics
 
 
 
 
 
 
In process of foreclosure (1)
 
$
22,690

 
$

 
$
22,690

Serious delinquency rate (2)
 
0.48
%
 
0.39
%
 
0.47
%
Past due 90 days or more still accruing interest (3)
 
$
30,351

 
$
2,286

 
$
32,637

On non-accrual status
 
8,364

 

 
8,364

Mortgage Loans Held for Portfolio as of December 31, 2015
 
Conventional
 
Government
 
Total
Past due 30-59 days
 
$
41,704

 
$
21,402

 
$
63,106

Past due 60-89 days
 
11,609

 
5,099

 
16,708

Past due 90 days or more
 
37,938

 
3,123

 
41,061

Total past due
 
91,251

 
29,624

 
120,875

Total current
 
7,467,866

 
592,118

 
8,059,984

Total mortgage loans, recorded investment
 
$
7,559,117

 
$
621,742

 
$
8,180,859

 
 
 
 
 
 
 
Other Delinquency Statistics
 
 
 
 
 
 
In process of foreclosure (1)
 
$
23,602

 
$

 
$
23,602

Serious delinquency rate (2)
 
0.50
%
 
0.50
%
 
0.50
%
Past due 90 days or more still accruing interest (3)
 
$
30,764

 
$
3,123

 
$
33,887

On non-accrual status
 
8,374

 

 
8,374


(1) 
Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status.
(2) 
Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total recorded investment in mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Many government loans, including FHA loans, are repurchased by the servicers when they reach 90 days or more delinquent status, similar to the rules for servicers of Ginnie Mae MBS, resulting in the lower serious delinquency rate for government loans.




Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


(3) 
Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the mortgagor's payment status, we do not consider these loans to be non-accrual. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2015 Form 10-K.

Allowance for Loan Losses on Mortgage Loans. The tables below present a rollforward of our allowance for loan losses, the allowance for loan losses by impairment methodology, and the recorded investment in mortgage loans by impairment methodology.
 
 
Three Months Ended March 31,
Rollforward of Allowance for Loan Losses
 
2016
 
2015
Balance, beginning of period
 
$
1,125

 
$
2,500

Charge-offs, net of recoveries
 
(30