Investment Securities | INVESTMENT SECURITIES Trading Securities: Trading securities by major security type as of September 30, 2016 and December 31, 2015 are summarized in Table 3.1 (in thousands): Table 3.1 Fair Value 09/30/2016 12/31/2015 Non-mortgage-backed securities: Certificates of deposit $ 280,002 $ — GSE obligations 1 1,587,604 1,338,639 Non-mortgage-backed securities 1,867,606 1,338,639 Mortgage-backed securities: U.S. obligation MBS 2 716 801 GSE MBS 3 997,519 955,166 Mortgage-backed securities 998,235 955,967 TOTAL $ 2,865,841 $ 2,294,606 1 Represents debentures issued by other FHLBanks, Federal National Mortgage Association (Fannie Mae), Federal Home Loan Mortgage Corporation (Freddie Mac), Federal Farm Credit Bank (Farm Credit) and Federal Agricultural Mortgage Corporation (Farmer Mac). GSE securities are not guaranteed by the U.S. government. 2 Represents single-family MBS issued by Government National Mortgage Association (Ginnie Mae), which are guaranteed by the U.S. government. 3 Represents single-family and multi-family MBS issued by Fannie Mae and Freddie Mac. Net gains (losses) on trading securities during the three and nine months ended September 30, 2016 and 2015 are shown in Table 3.2 (in thousands): Table 3.2 Three Months Ended Nine Months Ended 09/30/2016 09/30/2015 09/30/2016 09/30/2015 Net gains (losses) on trading securities held as of September 30, 2016 $ (2,207 ) $ 24,428 $ 75,172 $ 12,305 Net gains (losses) on trading securities sold or matured prior to September 30, 2016 (1,619 ) (7,608 ) (11,268 ) (21,700 ) NET GAIN (LOSS) ON TRADING SECURITIES $ (3,826 ) $ 16,820 $ 63,904 $ (9,395 ) Available-for-sale Securities: Available-for-sale securities by major security type as of September 30, 2016 are summarized in Table 3.3 (in thousands): Table 3.3 09/30/2016 Amortized Cost OTTI Recognized in OCI Gross Unrecognized Gains Gross Unrecognized Losses Fair Value Mortgage-backed securities: GSE MBS 1 $ 1,109,595 $ — $ 4,345 $ (2,186 ) $ 1,111,754 TOTAL $ 1,109,595 $ — $ 4,345 $ (2,186 ) $ 1,111,754 1 Represents fixed rate multi-family MBS issued by Fannie Mae . Available-for-sale securities by major security type as of December 31, 2015 are summarized in Table 3.4 (in thousands): Table 3.4 12/31/2015 Amortized OTTI Gross Gross Fair Value Mortgage-backed securities: GSE MBS 1 $ 503,640 $ — $ — $ (8,577 ) $ 495,063 TOTAL $ 503,640 $ — $ — $ (8,577 ) $ 495,063 1 Represents fixed rate multi-family MBS issued by Fannie Mae . Table 3.5 summarizes the available-for-sale securities with unrealized losses as of September 30, 2016 (in thousands). The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Table 3.5 09/30/2016 Less Than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Mortgage-backed securities: GSE MBS 1 $ 182,758 $ (564 ) $ 367,370 $ (1,622 ) $ 550,128 $ (2,186 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 182,758 $ (564 ) $ 367,370 $ (1,622 ) $ 550,128 $ (2,186 ) 1 Represents fixed rate multi-family MBS issued by Fannie Mae . Table 3.6 summarizes the available-for-sale securities with unrealized losses as of December 31, 2015 (in thousands). The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Table 3.6 12/31/2015 Less Than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Mortgage-backed securities: GSE MBS 1 $ 495,063 $ (8,577 ) $ — $ — $ 495,063 $ (8,577 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 495,063 $ (8,577 ) $ — $ — $ 495,063 $ (8,577 ) 1 Represents fixed rate multi-family MBS issued by Fannie Mae . All available-for-sale securities are GSE MBS and as such do not have a single maturity date. The expected maturities of these securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. Held-to-maturity Securities: Held-to-maturity securities by major security type as of September 30, 2016 are summarized in Table 3.7 (in thousands): Table 3.7 09/30/2016 Amortized Cost OTTI Recognized in OCI Carrying Value Gross Unrecognized Gains Gross Unrecognized Losses Fair Value Non-mortgage-backed securities: State or local housing agency obligations $ 108,300 $ — $ 108,300 $ 120 $ (4,900 ) $ 103,520 Non-mortgage-backed securities 108,300 — 108,300 120 (4,900 ) 103,520 Mortgage-backed securities: U.S. obligation MBS 1 39,134 — 39,134 1 (108 ) 39,027 GSE MBS 2 4,281,232 — 4,281,232 12,824 (18,692 ) 4,275,364 Private-label residential MBS 125,519 (6,399 ) 119,120 5,290 (4,776 ) 119,634 Mortgage-backed securities 4,445,885 (6,399 ) 4,439,486 18,115 (23,576 ) 4,434,025 TOTAL $ 4,554,185 $ (6,399 ) $ 4,547,786 $ 18,235 $ (28,476 ) $ 4,537,545 1 Represents single-family MBS issued by Ginnie Mae, which are guaranteed by the U.S. government. 2 Represents single-family and multi-family MBS issued by Fannie Mae and Freddie Mac. Held-to-maturity securities by major security type as of December 31, 2015 are summarized in Table 3.8 (in thousands): Table 3.8 12/31/2015 Amortized Cost OTTI Recognized in OCI Carrying Value Gross Unrecognized Gains Gross Unrecognized Losses Fair Value Non-mortgage-backed securities: State or local housing agency obligations $ 111,655 $ — $ 111,655 $ 138 $ (5,164 ) $ 106,629 Non-mortgage-backed securities 111,655 — 111,655 138 (5,164 ) 106,629 Mortgage-backed securities: U.S obligation MBS 1 47,234 — 47,234 66 (23 ) 47,277 GSE MBS 2 4,452,533 — 4,452,533 19,740 (21,639 ) 4,450,634 Private-label residential MBS 167,345 (7,950 ) 159,395 6,665 (5,505 ) 160,555 Mortgage-backed securities 4,667,112 (7,950 ) 4,659,162 26,471 (27,167 ) 4,658,466 TOTAL $ 4,778,767 $ (7,950 ) $ 4,770,817 $ 26,609 $ (32,331 ) $ 4,765,095 1 Represents single-family MBS issued by Ginnie Mae, which are guaranteed by the U.S. government. 2 Represents single-family and multi-family MBS issued by Fannie Mae and Freddie Mac. Table 3.9 summarizes the held-to-maturity securities with unrealized losses as of September 30, 2016 (in thousands). The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Table 3.9 09/30/2016 Less Than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses 1 Non-mortgage-backed securities: State or local housing agency obligations $ — $ — $ 35,155 $ (4,900 ) $ 35,155 $ (4,900 ) Non-mortgage-backed securities — — 35,155 (4,900 ) 35,155 (4,900 ) Mortgage-backed securities: U.S. obligation MBS 2 38,824 (108 ) — — 38,824 (108 ) GSE MBS 3 1,254,526 (5,006 ) 1,649,001 (13,686 ) 2,903,527 (18,692 ) Private-label residential MBS 457 (1 ) 91,418 (7,439 ) 91,875 (7,440 ) Mortgage-backed securities 1,293,807 (5,115 ) 1,740,419 (21,125 ) 3,034,226 (26,240 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 1,293,807 $ (5,115 ) $ 1,775,574 $ (26,025 ) $ 3,069,381 $ (31,140 ) 1 Total unrealized losses in Table 3.9 will not agree to total gross unrecognized losses in Table 3.7 . Total unrealized losses in Table 3.9 include non-credit-related OTTI recognized in accumulated other comprehensive income (AOCI) and gross unrecognized gains on previously other-than-temporarily impaired securities. 2 Represents single-family MBS issued by Ginnie Mae, which are guaranteed by the U.S. government. 3 Represents single-family and multi-family MBS issued by Fannie Mae and Freddie Mac. Table 3.10 summarizes the held-to-maturity securities with unrealized losses as of December 31, 2015 (in thousands). The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Table 3.10 12/31/2015 Less Than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses 1 Non-mortgage-backed securities: State or local housing agency obligations $ — $ — $ 37,211 $ (5,164 ) $ 37,211 $ (5,164 ) Non-mortgage-backed securities — — 37,211 (5,164 ) 37,211 (5,164 ) Mortgage-backed securities: U.S obligation MBS 2 19,189 (23 ) — — 19,189 (23 ) GSE MBS 3 1,697,226 (7,806 ) 1,012,199 (13,833 ) 2,709,425 (21,639 ) Private-label residential MBS 5,215 (28 ) 110,744 (8,826 ) 115,959 (8,854 ) Mortgage-backed securities 1,721,630 (7,857 ) 1,122,943 (22,659 ) 2,844,573 (30,516 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 1,721,630 $ (7,857 ) $ 1,160,154 $ (27,823 ) $ 2,881,784 $ (35,680 ) 1 Total unrealized losses in Table 3.10 will not agree to total gross unrecognized losses in Table 3.8 . Total unrealized losses in Table 3.10 include non-credit-related OTTI recognized in AOCI and gross unrecognized gains on previously other-than-temporarily impaired securities. 2 Represents single-family MBS issued by Ginnie Mae, which are guaranteed by the U.S. government. 3 Represents single-family and multi-family MBS issued by Fannie Mae and Freddie Mac. The amortized cost, carrying value and fair values of held-to-maturity securities by contractual maturity as of September 30, 2016 and December 31, 2015 are shown in Table 3.11 (in thousands). Expected maturities of certain securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. Table 3.11 09/30/2016 12/31/2015 Amortized Cost Carrying Value Fair Value Amortized Cost Carrying Value Fair Value Non-mortgage-backed securities: Due in one year or less $ — $ — $ — $ — $ — $ — Due after one year through five years 2,850 2,850 2,850 3,260 3,260 3,260 Due after five years through 10 years 10,055 10,055 10,002 12,375 12,375 12,356 Due after 10 years 95,395 95,395 90,668 96,020 96,020 91,013 Non-mortgage-backed securities 108,300 108,300 103,520 111,655 111,655 106,629 Mortgage-backed securities 4,445,885 4,439,486 4,434,025 4,667,112 4,659,162 4,658,466 TOTAL $ 4,554,185 $ 4,547,786 $ 4,537,545 $ 4,778,767 $ 4,770,817 $ 4,765,095 Table 3.12 details interest rate payment terms for the amortized cost of held-to-maturity securities as of September 30, 2016 and December 31, 2015 (in thousands): Table 3.12 09/30/2016 12/31/2015 Non-mortgage-backed securities: Variable rate $ 108,300 $ 111,655 Non-mortgage-backed securities 108,300 111,655 Mortgage-backed securities: Fixed rate 255,416 324,177 Variable rate 4,190,469 4,342,935 Mortgage-backed securities 4,445,885 4,667,112 TOTAL $ 4,554,185 $ 4,778,767 Other-than-temporary Impairment: For the 21 outstanding private-label securities with OTTI during the lives of the securities, the FHLBank’s reported balances as of September 30, 2016 are presented in Table 3.13 (in thousands): Table 3.13 09/30/2016 Unpaid Principal Balance Amortized Cost Carrying Value Fair Value Private-label residential MBS: Prime $ 11,186 $ 10,144 $ 9,448 $ 10,325 Alt-A 30,522 27,209 21,506 25,691 TOTAL $ 41,708 $ 37,353 $ 30,954 $ 36,016 Table 3.14 presents a roll-forward of OTTI activity for the three and nine months ended September 30, 2016 and 2015 related to credit losses recognized in earnings (in thousands): Table 3.14 Three Months Ended Nine Months Ended 09/30/2016 09/30/2015 09/30/2016 09/30/2015 Balance, beginning of period $ 7,596 $ 9,425 $ 7,785 $ 9,406 Additional charge on securities for which OTTI was not previously recognized — — 1 1 Additional charge on securities for which OTTI was previously recognized 1 30 212 61 650 Amortization of credit component of OTTI 2 20 (186 ) (201 ) (606 ) Balance, end of period $ 7,646 $ 9,451 $ 7,646 $ 9,451 1 For the three months ended September 30, 2016 and 2015, securities previously impaired represent all securities that were impaired prior to July 1, 2016 and 2015, respectively. For the nine months ended September 30, 2016 and 2015, securities previously impaired represent all securities that were impaired prior to January 1, 2016 and 2015, respectively. 2 The FHLBank amortizes the credit component based on estimated cash flows prospectively up to the amount of expected principal to be recovered. The discounted cash flows will move from the discounted loss value to the ultimate principal to be written off at the projected date of loss. If the expected cash flows improve, the amount of expected loss decreases which causes a corresponding decrease in the calculated amortization. Based on the level of improvement in the cash flows, the amortization could become a positive adjustment to income. As of September 30, 2016 , the fair value of a portion of the FHLBank's available-for-sale and held-to-maturity MBS were below the amortized cost of the securities due to interest rate volatility and/or illiquidity. However, the decline in fair value of these securities is considered temporary as the FHLBank expects to recover the entire amortized cost basis on the remaining securities in unrecognized loss positions and neither intends to sell these securities nor is it more likely than not that the FHLBank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis. For state and local housing agency obligations, the FHLBank determined that all of the gross unrealized losses on these bonds were temporary because the strength of the underlying collateral and credit enhancements was sufficient to protect the FHLBank from losses based on current expectations. |