Investment Securities | INVESTMENT SECURITIES Trading Securities: Trading securities by major security type as of June 30, 2017 and December 31, 2016 are summarized in Table 3.1 (in thousands): Table 3.1 Fair Value 06/30/2017 12/31/2016 Non-mortgage-backed securities: Certificates of deposit $ 599,959 $ — GSE obligations 1 1,458,009 1,563,351 Non-mortgage-backed securities 2,057,968 1,563,351 Mortgage-backed securities: U.S. obligation MBS 2 638 690 GSE MBS 3 940,683 938,747 Mortgage-backed securities 941,321 939,437 TOTAL $ 2,999,289 $ 2,502,788 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 six months ended June 30, 2017 and 2016 are shown in Table 3.2 (in thousands): Table 3.2 Three Months Ended Six Months Ended 06/30/2017 06/30/2016 06/30/2017 06/30/2016 Net gains (losses) on trading securities held as of June 30, 2017 $ 9,216 $ 24,494 $ 15,122 $ 79,092 Net gains (losses) on trading securities sold or matured prior to June 30, 2017 (822 ) (5,968 ) (2,041 ) (11,362 ) NET GAIN (LOSS) ON TRADING SECURITIES $ 8,394 $ 18,526 $ 13,081 $ 67,730 Available-for-sale Securities: Available-for-sale securities by major security type as of June 30, 2017 are summarized in Table 3.3 (in thousands): Table 3.3 06/30/2017 Amortized Cost Gross Unrecognized Gains Gross Unrecognized Losses Fair Value Mortgage-backed securities: GSE MBS 1 $ 1,205,824 $ 21,333 $ (121 ) $ 1,227,036 TOTAL $ 1,205,824 $ 21,333 $ (121 ) $ 1,227,036 1 Represents fixed rate multi-family MBS issued by Fannie Mae . Available-for-sale securities by major security type as of December 31, 2016 are summarized in Table 3.4 (in thousands): Table 3.4 12/31/2016 Amortized Gross Gross Fair Value Mortgage-backed securities: GSE MBS 1 $ 1,082,376 $ 9,396 $ (51 ) $ 1,091,721 TOTAL $ 1,082,376 $ 9,396 $ (51 ) $ 1,091,721 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 June 30, 2017 (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 06/30/2017 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 $ 96,224 $ (121 ) $ — $ — $ 96,224 $ (121 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 96,224 $ (121 ) $ — $ — $ 96,224 $ (121 ) 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, 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 3.6 12/31/2016 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 $ — $ — $ 33,509 $ (51 ) $ 33,509 $ (51 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ — $ — $ 33,509 $ (51 ) $ 33,509 $ (51 ) 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 June 30, 2017 are summarized in Table 3.7 (in thousands): Table 3.7 06/30/2017 Amortized Cost OTTI Recognized in AOCI Carrying Value Gross Unrecognized Gains Gross Unrecognized Losses Fair Value Non-mortgage-backed securities: State or local housing agency obligations $ 94,775 $ — $ 94,775 $ 95 $ (5,673 ) $ 89,197 Non-mortgage-backed securities 94,775 — 94,775 95 (5,673 ) 89,197 Mortgage-backed securities: U.S. obligation MBS 1 139,463 — 139,463 323 (108 ) 139,678 GSE MBS 2 4,604,767 — 4,604,767 16,836 (14,572 ) 4,607,031 Private-label residential MBS 94,422 (5,021 ) 89,401 5,198 (2,645 ) 91,954 Mortgage-backed securities 4,838,652 (5,021 ) 4,833,631 22,357 (17,325 ) 4,838,663 TOTAL $ 4,933,427 $ (5,021 ) $ 4,928,406 $ 22,452 $ (22,998 ) $ 4,927,860 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, 2016 are summarized in Table 3.8 (in thousands): Table 3.8 12/31/2016 Amortized Cost OTTI Recognized in AOCI Carrying Value Gross Unrecognized Gains Gross Unrecognized Losses Fair Value Non-mortgage-backed securities: State or local housing agency obligations $ 105,780 $ — $ 105,780 $ 98 $ (5,707 ) $ 100,171 Non-mortgage-backed securities 105,780 — 105,780 98 (5,707 ) 100,171 Mortgage-backed securities: U.S obligation MBS 1 36,331 — 36,331 — (201 ) 36,130 GSE MBS 2 4,250,547 — 4,250,547 12,044 (22,071 ) 4,240,520 Private-label residential MBS 115,407 (5,841 ) 109,566 4,869 (4,004 ) 110,431 Mortgage-backed securities 4,402,285 (5,841 ) 4,396,444 16,913 (26,276 ) 4,387,081 TOTAL $ 4,508,065 $ (5,841 ) $ 4,502,224 $ 17,011 $ (31,983 ) $ 4,487,252 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 June 30, 2017 (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 06/30/2017 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 $ — $ — $ 24,327 $ (5,673 ) $ 24,327 $ (5,673 ) Non-mortgage-backed securities — — 24,327 (5,673 ) 24,327 (5,673 ) Mortgage-backed securities: U.S. obligation MBS 2 43,558 (67 ) 18,109 (41 ) 61,667 (108 ) GSE MBS 3 442,662 (695 ) 1,653,297 (13,877 ) 2,095,959 (14,572 ) Private-label residential MBS 54 (1 ) 73,672 (3,905 ) 73,726 (3,906 ) Mortgage-backed securities 486,274 (763 ) 1,745,078 (17,823 ) 2,231,352 (18,586 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 486,274 $ (763 ) $ 1,769,405 $ (23,496 ) $ 2,255,679 $ (24,259 ) 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, 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 3.10 12/31/2016 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 $ — $ — $ 34,348 $ (5,707 ) $ 34,348 $ (5,707 ) Non-mortgage-backed securities — — 34,348 (5,707 ) 34,348 (5,707 ) Mortgage-backed securities: U.S obligation MBS 2 — — 35,998 (201 ) 35,998 (201 ) GSE MBS 3 1,097,379 (2,612 ) 2,025,394 (19,459 ) 3,122,773 (22,071 ) Private-label residential MBS 1,903 (3 ) 85,984 (6,263 ) 87,887 (6,266 ) Mortgage-backed securities 1,099,282 (2,615 ) 2,147,376 (25,923 ) 3,246,658 (28,538 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 1,099,282 $ (2,615 ) $ 2,181,724 $ (31,630 ) $ 3,281,006 $ (34,245 ) 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 June 30, 2017 and December 31, 2016 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 06/30/2017 12/31/2016 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 2,420 2,420 2,420 2,710 2,710 2,710 Due after five years through 10 years — — — 10,055 10,055 10,048 Due after 10 years 92,355 92,355 86,777 93,015 93,015 87,413 Non-mortgage-backed securities 94,775 94,775 89,197 105,780 105,780 100,171 Mortgage-backed securities 4,838,652 4,833,631 4,838,663 4,402,285 4,396,444 4,387,081 TOTAL $ 4,933,427 $ 4,928,406 $ 4,927,860 $ 4,508,065 $ 4,502,224 $ 4,487,252 Other-than-temporary Impairment: For the 20 outstanding private-label securities with OTTI during the lives of the securities, the FHLBank’s reported balances as of June 30, 2017 are presented in Table 3.12 (in thousands): Table 3.12 06/30/2017 Unpaid Principal Balance Amortized Cost Carrying Value Fair Value Private-label residential MBS: Prime $ 8,777 $ 7,778 $ 7,168 $ 8,198 Alt-A 25,423 22,742 18,331 22,369 TOTAL $ 34,200 $ 30,520 $ 25,499 $ 30,567 Table 3.13 presents a roll-forward of OTTI activity for the three and six months ended June 30, 2017 and 2016 related to credit losses recognized in earnings (in thousands): Table 3.13 Three Months Ended Six Months Ended 06/30/2017 06/30/2016 06/30/2017 06/30/2016 Balance, beginning of period $ 7,470 $ 7,776 $ 7,502 $ 7,785 Additional charge on securities for which OTTI was not previously recognized 6 1 6 1 Additional charge on securities for which OTTI was previously recognized 1 81 4 118 31 Amortization of credit component of OTTI 2 (137 ) (185 ) (206 ) (221 ) Balance, end of period $ 7,420 $ 7,596 $ 7,420 $ 7,596 1 For the three months ended June 30, 2017 and 2016, securities previously impaired represent all securities that were impaired prior to April 1, 2017 and 2016, respectively. For the six months ended June 30, 2017 and 2016, securities previously impaired represent all securities that were impaired prior to January 1, 2017 and 2016, 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 June 30, 2017 , 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. |