Investment Securities | INVESTMENT SECURITIES Trading Securities: Trading securities by major security type as of June 30, 2019 and December 31, 2018 are summarized in Table 3.1 (in thousands): Table 3.1 Fair Value 06/30/2019 12/31/2018 Non-mortgage-backed securities: Certificates of deposit $ 1,210,123 $ — U.S. Treasury obligations 1,026,843 252,377 GSE obligations 1 715,254 1,000,495 Non-mortgage-backed securities 2,952,220 1,252,872 Mortgage-backed securities: U.S. obligation MBS 2 — 467 GSE MBS 3 892,563 897,774 Mortgage-backed securities 892,563 898,241 TOTAL $ 3,844,783 $ 2,151,113 1 Represents debentures issued by other FHLBanks, Federal National Mortgage Association (Fannie Mae), 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 Federal Home Loan Mortgage Corporation (Freddie Mac). Net gains (losses) on trading securities during the three and six months ended June 30, 2019 and 2018 are shown in Table 3.2 (in thousands): Table 3.2 Three Months Ended Six Months Ended 06/30/2019 06/30/2018 06/30/2019 06/30/2018 Net gains (losses) on trading securities held as of June 30, 2019 $ 41,970 $ (11,894 ) $ 70,747 $ (37,568 ) Net gains (losses) on trading securities sold or matured prior to June 30, 2019 (127 ) (137 ) (149 ) (1,413 ) NET GAINS (LOSSES) ON TRADING SECURITIES $ 41,843 $ (12,031 ) $ 70,598 $ (38,981 ) Available-for-sale Securities: Available-for-sale securities by major security type as of June 30, 2019 are summarized in Table 3.3 (in thousands): Table 3.3 06/30/2019 Amortized Cost Gross Unrecognized Gains Gross Unrecognized Losses Fair Value Non-mortgage-backed securities: U.S. Treasury obligations $ 2,043,682 $ — $ (1,292 ) $ 2,042,390 Non-mortgage-backed securities 2,043,682 — (1,292 ) 2,042,390 Mortgage-backed securities: GSE MBS 1 2,502,390 40,448 (4,013 ) 2,538,825 Mortgage-backed securities 2,502,390 40,448 (4,013 ) 2,538,825 TOTAL $ 4,546,072 $ 40,448 $ (5,305 ) $ 4,581,215 1 Represents fixed rate multi-family MBS issued by Fannie Mae . Available-for-sale securities by major security type as of December 31, 2018 are summarized in Table 3.4 (in thousands): Table 3.4 12/31/2018 Amortized Gross Gross Fair Value Mortgage-backed securities: GSE MBS 1 $ 1,706,572 $ 25,815 $ (6,747 ) $ 1,725,640 TOTAL $ 1,706,572 $ 25,815 $ (6,747 ) $ 1,725,640 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, 2019 (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 06/30/2019 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: U.S. Treasury obligations $ 2,042,390 $ (1,292 ) $ — $ — $ 2,042,390 $ (1,292 ) Non-mortgage-backed securities 2,042,390 (1,292 ) — — 2,042,390 (1,292 ) Mortgage-backed securities: GSE MBS 1 91,959 (167 ) 300,729 (3,846 ) 392,688 (4,013 ) Mortgage-backed securities 91,959 (167 ) 300,729 (3,846 ) 392,688 (4,013 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 2,134,349 $ (1,459 ) $ 300,729 $ (3,846 ) $ 2,435,078 $ (5,305 ) 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, 2018 (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 12/31/2018 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 $ 570,042 $ (6,747 ) $ — $ — $ 570,042 $ (6,747 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 570,042 $ (6,747 ) $ — $ — $ 570,042 $ (6,747 ) 1 Represents fixed rate multi-family MBS issued by Fannie Mae . The amortized cost and fair values of available-for-sale securities by contractual maturity as of June 30, 2019 and December 31, 2018 are shown in Table 3.7 (in thousands). Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. Table 3.7 06/30/2019 12/31/2018 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 2,043,682 2,042,390 — — Due after five years through ten years — — — — Due after ten years — — — — Non-mortgage-backed securities 2,043,682 2,042,390 — — Mortgage-backed securities 2,502,390 2,538,825 1,706,572 1,725,640 TOTAL $ 4,546,072 $ 4,581,215 $ 1,706,572 $ 1,725,640 Held-to-maturity Securities: Held-to-maturity securities by major security type as of June 30, 2019 are summarized in Table 3.8 (in thousands): Table 3.8 06/30/2019 Amortized Cost Carrying Value Gross Unrecognized Gains Gross Unrecognized Losses Fair Value Non-mortgage-backed securities: State or local housing agency obligations $ 85,670 $ 85,670 $ — $ (3,250 ) $ 82,420 Non-mortgage-backed securities 85,670 85,670 — (3,250 ) 82,420 Mortgage-backed securities: U.S. obligation MBS 1 102,536 102,536 3 (266 ) 102,273 GSE MBS 2 3,812,853 3,812,853 9,792 (17,553 ) 3,805,092 Mortgage-backed securities 3,915,389 3,915,389 9,795 (17,819 ) 3,907,365 TOTAL $ 4,001,059 $ 4,001,059 $ 9,795 $ (21,069 ) $ 3,989,785 1 Represents single-family MBS issued by Ginnie Mae. 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, 2018 are summarized in Table 3.9 (in thousands): Table 3.9 12/31/2018 Amortized Cost Carrying Value Gross Unrecognized Gains Gross Unrecognized Losses Fair Value Non-mortgage-backed securities: State or local housing agency obligations $ 86,430 $ 86,430 $ 1 $ (3,480 ) $ 82,951 Non-mortgage-backed securities 86,430 86,430 1 (3,480 ) 82,951 Mortgage-backed securities: U.S. obligation MBS 1 109,866 109,866 125 (99 ) 109,892 GSE MBS 2 4,260,577 4,260,577 12,164 (18,506 ) 4,254,235 Mortgage-backed securities 4,370,443 4,370,443 12,289 (18,605 ) 4,364,127 TOTAL $ 4,456,873 $ 4,456,873 $ 12,290 $ (22,085 ) $ 4,447,078 1 Represents single-family MBS issued by Ginnie Mae. 2 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 June 30, 2019 (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 06/30/2019 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: State or local housing agency obligations $ 55,665 $ (5 ) $ 26,755 $ (3,245 ) $ 82,420 $ (3,250 ) Non-mortgage-backed securities 55,665 (5 ) 26,755 (3,245 ) 82,420 (3,250 ) Mortgage-backed securities: U.S. obligation MBS 1 63,052 (158 ) 28,104 (108 ) 91,156 (266 ) GSE MBS 2 865,489 (3,682 ) 2,140,708 (13,871 ) 3,006,197 (17,553 ) Mortgage-backed securities 928,541 (3,840 ) 2,168,812 (13,979 ) 3,097,353 (17,819 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 984,206 $ (3,845 ) $ 2,195,567 $ (17,224 ) $ 3,179,773 $ (21,069 ) 1 Represents single-family MBS issued by Ginnie Mae. 2 Represents single-family and multi-family MBS issued by Fannie Mae and Freddie Mac. Table 3.11 summarizes the held-to-maturity securities with unrealized losses as of December 31, 2018 (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 3.11 12/31/2018 Less Than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-mortgage-backed securities: State or local housing agency obligations $ — $ — $ 26,520 $ (3,480 ) $ 26,520 $ (3,480 ) Non-mortgage-backed securities — — 26,520 (3,480 ) 26,520 (3,480 ) Mortgage-backed securities: U.S. obligation MBS 1 — — 30,702 (99 ) 30,702 (99 ) GSE MBS 2 1,655,048 (4,769 ) 1,567,728 (13,737 ) 3,222,776 (18,506 ) Mortgage-backed securities 1,655,048 (4,769 ) 1,598,430 (13,836 ) 3,253,478 (18,605 ) TOTAL TEMPORARILY IMPAIRED SECURITIES $ 1,655,048 $ (4,769 ) $ 1,624,950 $ (17,316 ) $ 3,279,998 $ (22,085 ) 1 Represents single-family MBS issued by Ginnie Mae. 2 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, 2019 and December 31, 2018 are shown in Table 3.12 (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 3.12 06/30/2019 12/31/2018 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 — — — — — — Due after five years through ten years — — — — — — Due after ten years 85,670 85,670 82,420 86,430 86,430 82,951 Non-mortgage-backed securities 85,670 85,670 82,420 86,430 86,430 82,951 Mortgage-backed securities 3,915,389 3,915,389 3,907,365 4,370,443 4,370,443 4,364,127 TOTAL $ 4,001,059 $ 4,001,059 $ 3,989,785 $ 4,456,873 $ 4,456,873 $ 4,447,078 Net gains (losses) were realized on the sale of held-to-maturity securities during the three and six months ended June 30, 2019 and 2018 and are recorded as net gains (losses) on sale of held-to-maturity securities in other income (loss) on the Statements of Income. All securities sold had paid down below 15 percent of the principal outstanding at acquisition. Table 3.13 presents details of the sales (in thousands). Table 3.13 Three Months Ended Six Months Ended 06/30/2019 06/30/2018 06/30/2019 06/30/2018 Proceeds from sale of held-to-maturity securities $ 9,442 $ 11,855 $ 9,442 $ 20,261 Carrying value of held-to-maturity securities sold (9,488 ) (11,827 ) (9,488 ) (20,199 ) NET REALIZED GAINS (LOSSES) $ (46 ) $ 28 $ (46 ) $ 62 As of June 30, 2019 , the fair value of a portion of the FHLBank's available-for-sale and held-to-maturity securities 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. |