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EX-32 - EXHIBIT 32 - Federal Home Loan Bank of Topekaex0331202032.htm
EX-31.2 - EXHIBIT 31.2 - Federal Home Loan Bank of Topekaex03312020312.htm
EX-31.1 - EXHIBIT 31.1 - Federal Home Loan Bank of Topekaex03312020311.htm
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, 2020
 
OR
 
¨  TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from ________ to ________
 
Commission File Number 000-52004
 
FEDERAL HOME LOAN BANK OF TOPEKA
(Exact name of registrant as specified in its charter)
 
Federally chartered corporation
 
48-0561319
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
 
500 SW Wanamaker Road
Topeka, KS
 
 
66606
(Address of principal executive offices)
 
(Zip Code)
 
Registrant’s telephone number, including area code: 785.233.0507

Securities registered pursuant to Section 12(b) of the Act:
Title of each class
Trading symbol(s)
Name of each exchange
on which registered
None
N/A
N/A

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 requirements for the past 90 days.  x Yes  ¨ No
 
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files).  x  Yes  ¨  No
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.
Large accelerated filer ¨                    Accelerated filer ¨
Non-accelerated filer x                    Smaller reporting company ¨
Emerging growth company ¨

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).  ¨ 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
May 7, 2020
Class A Stock, par value $100 per share
6,266,177
Class B Stock, par value $100 per share
10,341,670




.FEDERAL HOME LOAN BANK OF TOPEKA
TABLE OF CONTENTS
 
 
 
PART I 
Item 1. 
 
 
 
 
 
 
Item 2.
 
 
 
 
 
 
 
 
 
Item 3.
Item 4.
Part II 
Item 1.
Item 1A. 
Item 2. 
Item 3. 
Item 4. 
Item 5. 
Item 6. 


2


Important Notice about Information in this Quarterly Report

In this quarterly report, unless the context suggests otherwise, references to “FHLBank,” “FHLBank Topeka,” “we,” “us” and “our” mean Federal Home Loan Bank of Topeka, and “FHLBanks” mean all Federal Home Loan Banks, including FHLBank Topeka.

The information contained in this quarterly report is accurate only as of the date of this quarterly report and as of the dates specified herein.

The product and service names used in this quarterly report are the property of FHLBank, and in some cases, other FHLBanks. Where the context suggests otherwise, the products, services and company names mentioned in this quarterly report are the property of their respective owners.

Special Cautionary Notice Regarding Forward-looking Statements

The information in this Form 10-Q contains forward-looking statements within the meaning of the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such forward-looking statements include statements describing the objectives, projections, estimates or future predictions of FHLBank’s operations. These statements may be identified by the use of forward-looking terminology such as “anticipates,” “believes,” “may,” “is likely,” “could,” “estimate,” “expect,” “will,” “intend,” “probable,” “project,” “should,” or their negatives or other variations of these terms. FHLBank cautions that by their nature forward-looking statements involve risks or uncertainties and that actual results may differ materially from those expressed in any forward-looking statements as a result of such risks and uncertainties, including but not limited to:
Changes in economic and market conditions, including conditions in our district and the U.S. and global economy, as well as the mortgage, housing and capital markets;
The impact of the Coronavirus Disease 2019 (COVID-19) pandemic or other pandemics on our members and our business;
Governmental actions, including legislative, regulatory, judicial or other developments that affect FHLBank; its members, counterparties or investors; housing government-sponsored enterprises (GSE); or the FHLBank System in general;
Effects of derivative accounting treatment and other accounting rule requirements, or changes in such requirements;
Competitive forces, including competition for loan demand, purchases of mortgage loans and access to funding;
The ability of FHLBank to introduce new products and services to meet market demand and to manage successfully the risks associated with all products and services;
Changes in demand for FHLBank products and services or consolidated obligations of the FHLBank System;
Membership changes, including changes resulting from member failures or mergers, changes due to member eligibility, or changes in the principal place of business of members;
Changes in the U.S. government’s long-term debt rating and the long-term credit rating of the senior unsecured debt issues of the FHLBank System;
Soundness of other financial institutions, including FHLBank members, non-member borrowers, counterparties, and the other FHLBanks;
The ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which FHLBank has joint and several liability;
The volume and quality of eligible mortgage loans originated and sold by participating members to FHLBank through its various mortgage finance products (Mortgage Partnership Finance® (MPF®) Program). “Mortgage Partnership Finance,” “MPF,” “MPF Xtra,” and “MPF Direct” are registered trademarks of FHLBank Chicago.
Changes in the fair value and economic value of, impairments of, and risks associated with, FHLBank’s investments in mortgage loans and mortgage-backed securities (MBS) or other assets and related credit enhancement protections;
Changes in the value or liquidity of collateral underlying advances to FHLBank members or non-member borrowers or collateral pledged by reverse repurchase and derivative counterparties;
Volatility of market prices, changes in interest rates and indices and the timing and volume of market activity;
Gains/losses on derivatives or on trading investments and the ability to enter into effective derivative instruments on acceptable terms;
The effects of amortization/accretion;
The upcoming discontinuance of the London Interbank Offered Rate (LIBOR) and the related effect on FHLBank's LIBOR-based financial products, investments, and contracts;
Changes in FHLBank’s capital structure;
Our ability to declare dividends or to pay dividends at rates consistent with past practices; and
The ability of FHLBank to keep pace with technological changes and the ability to develop and support technology and information systems, including the ability to securely access the internet and internet-based systems and services, sufficient to effectively manage the risks of FHLBank’s business;


3


Readers of this quarterly report should not rely solely on the forward-looking statements and should consider all risks and uncertainties addressed throughout this quarterly report, as well as those discussed under Part II Item lA – Risk Factors and Item 1A – Risk Factors in our annual report on Form 10-K for the fiscal year ended December 31, 2019, incorporated by reference herein.

All forward-looking statements contained in this Form 10-Q are expressly qualified in their entirety by reference to this cautionary notice. The reader should not place undue reliance on such forward-looking statements, since the statements speak only as of the date that they are made and FHLBank has no obligation and does not undertake publicly to update, revise or correct any forward-looking statement for any reason to reflect events or circumstances after the date of this quarterly report.


4



PART I

Item 1: Financial Statements


5


FEDERAL HOME LOAN BANK OF TOPEKA
 
 
STATEMENTS OF CONDITION - Unaudited
 
 
(In thousands, except par value)
 
 
 
03/31/2020
12/31/2019
ASSETS
 
 
Cash and due from banks
$
451,670

$
1,917,166

Interest-bearing deposits
1,196,813

921,453

Securities purchased under agreements to resell (Note 9)
2,700,000

4,750,000

Federal funds sold
1,655,000

850,000

 
 
 
Investment securities:
 
 
Trading securities (Note 3)
3,177,991

2,812,562

Available-for-sale securities (Note 3)
7,526,096

7,182,500

Held-to-maturity securities, fair value of $3,319,631 and $3,556,938 (Note 3)
3,341,338

3,569,958

Total investment securities
14,045,425

13,565,020

 
 
 
Advances (Note 4)
31,678,083

30,241,315

Mortgage loans held for portfolio, net of allowance for credit losses of $6,468 and $985 (Note 5)
11,018,168

10,633,009

Accrued interest receivable
143,873

143,765

Derivative assets, net (Notes 6, 9)
203,449

154,804

Other assets
97,032

100,122

 
 
 
TOTAL ASSETS
$
63,189,513

$
63,276,654

 
 
 
LIABILITIES
 
 
Deposits (Note 7)
$
975,397

$
790,640

 
 
 
Consolidated obligations, net:
 
 
Discount notes (Note 8)
25,563,980

27,447,911

Bonds (Note 8)
33,730,055

32,013,314

Total consolidated obligations, net
59,294,035

59,461,225

 
 
 
Mandatorily redeemable capital stock (Note 10)
2,390

2,415

Accrued interest payable
87,799

117,580

Affordable Housing Program payable
43,287

43,027

Derivative liabilities, net (Notes 6, 9)
8,570

202

Other liabilities
64,446

70,514

 
 
 
TOTAL LIABILITIES
60,475,924

60,485,603

 
 
 
Commitments and contingencies (Note 13)


 
 
 

The accompanying notes are an integral part of these financial statements.
6


FEDERAL HOME LOAN BANK OF TOPEKA
 
 
STATEMENTS OF CONDITION - Unaudited
 
 
(In thousands, except par value)
 
 
 
03/31/2020
12/31/2019
CAPITAL
 
 
Capital stock outstanding - putable:
 
 
Class A ($100 par value; 4,484 and 4,476 shares issued and outstanding) (Note 10)
$
448,404

$
447,610

Class B ($100 par value; 13,539 and 13,188 shares issued and outstanding) (Note 10)
1,353,892

1,318,846

Total capital stock
1,802,296

1,766,456

 
 
 
Retained earnings:
 
 
Unrestricted
743,731

765,295

Restricted
236,881

234,514

Total retained earnings
980,612

999,809

 
 
 
Accumulated other comprehensive income (loss) (Note 11)
(69,319
)
24,786

 
 
 
TOTAL CAPITAL
2,713,589

2,791,051

 
 
 
TOTAL LIABILITIES AND CAPITAL
$
63,189,513

$
63,276,654



The accompanying notes are an integral part of these financial statements.
7


FEDERAL HOME LOAN BANK OF TOPEKA
 
 
STATEMENTS OF INCOME - Unaudited
 
 
(In thousands)
 
 
 
Three Months Ended
 
03/31/2020
03/31/2019
INTEREST INCOME:
 
 
Interest-bearing deposits
$
4,705

$
5,170

Securities purchased under agreements to resell
14,590

27,930

Federal funds sold
3,488

10,324

Trading securities
20,189

21,944

Available-for-sale securities
24,294

15,396

Held-to-maturity securities
17,068

31,273

Advances
130,887

187,609

Mortgage loans held for portfolio
85,106

73,284

Other
354

384

Total interest income
300,681

373,314

 
 
 
INTEREST EXPENSE:
 
 
Deposits
1,554

2,688

Consolidated obligations:
 
 
Discount notes
92,951

148,991

Bonds
150,742

158,157

Mandatorily redeemable capital stock (Note 10)
24

43

Other
324

420

Total interest expense
245,595

310,299

 
 
 
NET INTEREST INCOME
55,086

63,015

Provision (reversal) for credit losses on mortgage loans (Note 5)
(736
)
78

NET INTEREST INCOME AFTER LOAN LOSS PROVISION (REVERSAL)
55,822

62,937

 
 
 
OTHER INCOME (LOSS):
 
 
Net gains (losses) on trading securities (Note 3)
94,389

28,755

Net gains (losses) on sale of available-for-sale securities (Note 3)
1,523


Net gains (losses) on derivatives and hedging activities (Note 6)
(122,252
)
(18,542
)
Standby bond purchase agreement commitment fees
565

566

Letters of credit fees
1,403

1,186

Other
1,143

709

Total other income (loss)
(23,229
)
12,674

 
 
 

The accompanying notes are an integral part of these financial statements.
8


FEDERAL HOME LOAN BANK OF TOPEKA
 
 
STATEMENTS OF INCOME - Unaudited
 
 
(In thousands)
 
 
 
Three Months Ended
 
03/31/2020
03/31/2019
OTHER EXPENSES:
 
 
Compensation and benefits
$
10,461

$
9,258

Other operating
4,680

4,255

Federal Housing Finance Agency
1,023

812

Office of Finance
1,007

849

Other
2,272

1,816

Total other expenses
19,443

16,990

 
 
 
INCOME BEFORE ASSESSMENTS
13,150

58,621

 
 
 
Affordable Housing Program
1,318

5,866

 
 
 
NET INCOME
$
11,832

$
52,755



The accompanying notes are an integral part of these financial statements.
9


FEDERAL HOME LOAN BANK OF TOPEKA
 
 
STATEMENTS OF COMPREHENSIVE INCOME - Unaudited
 
 
(In thousands)
 
 
Three Months Ended
 
03/31/2020
03/31/2019
Net income
$
11,832

$
52,755

 
 
 
Other comprehensive income (loss):
 
 
Net unrealized gains (losses) on available-for-sale securities
(94,131
)
11,848

Defined benefit pension plan
26

73

Total other comprehensive income (loss)
(94,105
)
11,921

 
 
 
TOTAL COMPREHENSIVE INCOME
$
(82,273
)
$
64,676

 


The accompanying notes are an integral part of these financial statements.
10


FEDERAL HOME LOAN BANK OF TOPEKA
 
 
 
 
 
 
 
STATEMENTS OF CAPITAL - Unaudited
 
 
 
 
 
 
 
(In thousands)
 
 
 
 
 
 
 
 
Capital Stock1
Retained Earnings
Accumulated
Total Capital
 
Other
 
Class A
Class B
Total
Comprehensive
 
Shares
Par Value
Shares
Par Value
Shares
Par Value
Unrestricted
Restricted
Total
Income (Loss)
Balance at December 31, 2018
2,473

$
247,361

12,772

$
1,277,176

15,245

$
1,524,537

$
716,555

$
197,467

$
914,022

$
15,693

$
2,454,252

Comprehensive income
 
 
 
 
 
 
42,204

10,551

52,755

11,921

64,676

Proceeds from issuance of capital stock
1

52

3,377

337,706

3,378

337,758

 
 
 
 
337,758

Repurchase/redemption of capital stock
(3,388
)
(338,827
)
(150
)
(15,023
)
(3,538
)
(353,850
)
 
 
 
 
(353,850
)
Net reclassification of shares to mandatorily redeemable capital stock
(179
)
(17,911
)
(60
)
(6,004
)
(239
)
(23,915
)
 
 
 
 
(23,915
)
Net transfer of shares between Class A and Class B
3,074

307,404

(3,074
)
(307,404
)


 
 
 
 

Dividends on capital stock (Class A - 2.3%, Class B - 7.5%):
 
 
 
 
 
 
 
 
 
 
 
Cash payment
 
 
 
 
 
 
(71
)
 
(71
)
 
(71
)
Stock issued
 
 
238

23,866

238

23,866

(23,866
)
 
(23,866
)
 

Balance at March 31, 2019
1,981

$
198,079

13,103

$
1,310,317

15,084

$
1,508,396

$
734,822

$
208,018

$
942,840

$
27,614

$
2,478,850

 
 
 
 
 
 
 
 
 
 
 
 
 
Capital Stock1
Retained Earnings
Accumulated
Total Capital
 
Other
 
Class A
Class B
Total
Comprehensive
 
Shares
Par Value
Shares
Par Value
Shares
Par Value
Unrestricted
Restricted
Total
Income (Loss)
Balance at December 31, 2019
4,476

$
447,610

13,188

$
1,318,846

17,664

$
1,766,456

$
765,295

$
234,514

$
999,809

$
24,786

$
2,791,051

Adjustment for cumulative effect of accounting change
 
 
 
 
 
 
(6,123
)

(6,123
)
 
(6,123
)
Comprehensive income
 
 
 
 
 
 
9,465

2,367

11,832

(94,105
)
(82,273
)
Proceeds from issuance of capital stock

47

2,547

254,704

2,547

254,751

 
 
 
 
254,751

Repurchase/redemption of capital stock


(384
)
(38,437
)
(384
)
(38,437
)
 
 
 
 
(38,437
)
Net reclassification of shares to mandatorily redeemable capital stock
(1,925
)
(192,560
)
(127
)
(12,750
)
(2,052
)
(205,310
)
 
 
 
 
(205,310
)
Net transfer of shares between Class A and Class B
1,933

193,307

(1,933
)
(193,307
)


 
 
 
 

Dividends on capital stock (Class A - 2.3%, Class B - 7.2%):
 
 
 
 




 
 
 
 
 

Cash payment
 
 
 
 




(70
)
 
(70
)
 
(70
)
Stock issued
 
 
248

24,836

248

24,836

(24,836
)
 
(24,836
)
 

Balance at March 31, 2020
4,484

$
448,404

13,539

$
1,353,892

18,023

$
1,802,296

$
743,731

$
236,881

$
980,612

$
(69,319
)
$
2,713,589

                   
1    Putable


The accompanying notes are an integral part of these financial statements.
11


FEDERAL HOME LOAN BANK OF TOPEKA
 
 
STATEMENTS OF CASH FLOWS - Unaudited
 
 
(In thousands)
 
 
 
Three Months Ended
 
03/31/2020
03/31/2019
CASH FLOWS FROM OPERATING ACTIVITIES:
 
 
Net income
$
11,832

$
52,755

Adjustments to reconcile income (loss) to net cash provided by (used in) operating activities:
 
 
Depreciation and amortization:
 
 
Premiums and discounts on consolidated obligations, net
8,290

8,802

Concessions on consolidated obligations
6,688

2,478

Premiums and discounts on investments, net
5,312

919

Premiums, discounts and commitment fees on advances, net
(334
)
(927
)
Premiums, discounts and deferred loan costs on mortgage loans, net
9,088

3,989

Fair value adjustments on hedged assets or liabilities
1,240

1,267

Premises, software and equipment
822

753

Other
26

73

Provision (reversal) for credit losses on mortgage loans
(736
)
78

Non-cash interest on mandatorily redeemable capital stock
24

42

Net realized (gains) losses on sale of available-for-sale securities
(1,523
)

Net realized (gains) losses on sale of premises and equipment

(3
)
Other adjustments
(20
)
(47
)
Net (gains) losses on trading securities
(94,389
)
(28,755
)
Net change in derivatives and hedging activities
(288,814
)
(38,853
)
(Increase) decrease in accrued interest receivable
237

(28,624
)
Change in net accrued interest included in derivative assets
7,760

(3,132
)
(Increase) decrease in other assets
1,885

1,850

Increase (decrease) in accrued interest payable
(29,957
)
16,911

Change in net accrued interest included in derivative liabilities
(549
)
3,778

Increase (decrease) in Affordable Housing Program liability
260

1,881

Increase (decrease) in other liabilities
(6,121
)
(4,833
)
Total adjustments
(380,811
)
(62,353
)
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES
(368,979
)
(9,598
)
 
 
 

The accompanying notes are an integral part of these financial statements.
12


FEDERAL HOME LOAN BANK OF TOPEKA
 
 
STATEMENTS OF CASH FLOWS - Unaudited
 
 
(In thousands)
 
 
 
Three Months Ended
 
03/31/2020
03/31/2019
CASH FLOWS FROM INVESTING ACTIVITIES:
 
 
Net (increase) decrease in interest-bearing deposits
$
(582,401
)
$
407,921

Net (increase) decrease in securities purchased under resale agreements
2,050,000

(3,022,342
)
Net (increase) decrease in Federal funds sold
(805,000
)
(1,900,000
)
Proceeds from sale of trading securities
275,186


Proceeds from maturities of and principal repayments on trading securities
53,774

237,807

Purchases of trading securities
(600,000
)
(1,964,941
)
Proceeds from sale of available-for-sale securities
289,045


Proceeds from maturities of and principal repayments on available-for-sale securities
44,055

2,902

Purchases of available-for-sale securities
(430,610
)
(2,135,066
)
Proceeds from maturities of and principal repayments on held-to-maturity securities
228,033

214,456

Advances repaid
43,164,893

100,696,593

Advances originated
(44,344,471
)
(101,789,046
)
Principal collected on mortgage loans
502,097

196,864

Purchases of mortgage loans
(901,214
)
(491,056
)
Proceeds from sale of foreclosed assets
281

703

Other investing activities
813

761

Purchases of premises, software and equipment
(329
)
(300
)
NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES
(1,055,848
)
(9,544,744
)
 
 
 
CASH FLOWS FROM FINANCING ACTIVITIES:
 
 
Net increase (decrease) in deposits
$
185,357

$
7,352

Net proceeds from issuance of consolidated obligations:
 
 
Discount notes
124,347,336

251,204,917

Bonds
12,649,550

5,574,167

Payments for maturing and retired consolidated obligations:
 
 
Discount notes
(126,259,921
)
(245,039,459
)
Bonds
(10,974,650
)
(2,154,000
)
Proceeds from financing derivatives
3,470


Net interest payments received (paid) for financing derivatives
(2,696
)
(609
)
Proceeds from issuance of capital stock
254,751

337,758

Payments for repurchase/redemption of capital stock
(38,437
)
(353,850
)
Payments for repurchase of mandatorily redeemable capital stock
(205,359
)
(24,006
)
Cash dividends paid
(70
)
(71
)
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES
(40,669
)
9,552,199

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS
(1,465,496
)
(2,143
)
CASH AND CASH EQUIVALENTS AT BEGINNING OF PERIOD
1,917,166

15,060

CASH AND CASH EQUIVALENTS AT END OF PERIOD
$
451,670

$
12,917

 
 
 

The accompanying notes are an integral part of these financial statements.
13


FEDERAL HOME LOAN BANK OF TOPEKA
 
 
STATEMENTS OF CASH FLOWS - Unaudited
 
 
(In thousands)
 
 
 
Three Months Ended
 
03/31/2020
03/31/2019
Supplemental disclosures:
 
 
Interest paid
$
261,222

$
279,543

Affordable Housing Program payments
$
1,064

$
4,251

Net transfers of mortgage loans to other assets
$
309

$
350


The accompanying notes are an integral part of these financial statements.
14



FEDERAL HOME LOAN BANK OF TOPEKA
Notes to Financial Statements - Unaudited
March 31, 2020


NOTE 1BASIS OF PRESENTATION

Basis of Presentation: The accompanying interim financial statements of FHLBank are unaudited and have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information and with the instruction provided by Article 10, Rule 10-01 of Regulation S-X. The financial statements contain all adjustments which are, in the opinion of management, necessary for a fair statement of FHLBank’s 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.

FHLBank’s significant accounting policies and certain other disclosures are set forth in the notes to the audited financial statements for the year ended December 31, 2019. The interim financial statements presented herein should be read in conjunction with FHLBank’s audited financial statements and notes thereto, which are included in FHLBank’s annual report on Form 10-K filed with the Securities and Exchange Commission (SEC) on March 20, 2020 (annual report on Form 10-K). The notes to the interim financial statements highlight significant changes to the notes included in the annual report on Form 10-K.

Reclassifications: Presentation of cash flow amounts in the prior period have been reclassified to reflect short-term trading securities purchases and proceeds on a gross, rather than net, basis.

Out-of-Period Adjustment: Included in net income for the nine months ended September 30, 2019 was an out-of-period adjustment of $14,336,000, of which $2,545,000 related to income that should have been recorded during the three months ended March 31, 2019. The out-of-period adjustment related to hedged item valuations for certain available-for-sale securities in fair value hedging relationships and resulted in an increase in available-for-sale interest income and a reduction in other comprehensive income. Consequently, available-for-sale interest income was understated by $2,545,000 for the three months ended March 31, 2019. FHLBank has assessed the impact of this error and concluded that the amounts were not material, either individually or in the aggregate, to any prior period financial statements.

Use of Estimates: The preparation of financial statements under GAAP requires management to make estimates and assumptions as of the date of the financial statements in determining the reported amounts of assets, liabilities and estimated fair values and in determining the disclosure of any contingent assets or liabilities. Estimates and assumptions by management also affect the reported amounts of income and expense during the reporting period. The most significant of these estimates include the fair value of trading and available-for-sale securities and the fair value of derivatives. Many of the estimates and assumptions, including those used in financial models, are based on financial market conditions as of the date of the financial statements. Because of the volatility of the financial markets, as well as other factors that affect management estimates, actual results may vary from these estimates.

Allowance for Credit Losses: Beginning January 1, 2020, FHLBank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as available-for-sale securities to be recorded through an allowance for credit losses. Key changes as compared to prior accounting guidance are detailed below. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. See Note 1 of the Notes to the Financial Statements included in the annual report on Form 10-K for information on the prior accounting treatment.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold: FHLBank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is recorded separately on the Statements of Condition.

These investments are evaluated quarterly for expected credit losses. If applicable, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. FHLBank uses the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which FHLBank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. See Note 3 for details on the allowance methodologies relating to these investments.


15


Investment Securities:
Available for Sale: For securities classified as available-for-sale, FHLBank evaluates an individual security for impairment on a quarterly basis by comparing the security’s fair value to its amortized cost. Accrued interest receivable is recorded separately on the Statements of Condition. Impairment exists when the fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, FHLBank considers whether there would be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, FHLBank compares the present value of cash flows to be collected from the security with the amortized cost basis of the security. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. The allowance is limited by the amount of the unrealized loss. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately.

If management intends to sell an impaired security classified as available-for-sale, or more likely than not will be required to sell the security before expected recovery of its amortized cost basis, any allowance for credit losses is written off and the amortized cost basis is written down to the security’s fair value at the reporting date with any incremental impairment reported in earnings as net gains (losses) on available-for-sale securities. If management does not intend to sell an impaired security classified as available-for-sale and it is not more likely than not that management will be required to sell the debt security, then the credit portion of the difference is recognized as an allowance for credit losses and any remaining difference between the security’s fair value and amortized cost is recorded to net unrealized gains (losses) on available-for-sale securities within other comprehensive income (loss) (OCI).

Held-to-Maturity: Securities that FHLBank has both the ability and intent to hold to maturity are classified as held-to-maturity and are carried at amortized cost, adjusted for periodic principal repayments, amortization of premiums, and accretion of discounts. Accrued interest receivable is recorded separately on the Statements of Condition.

Held-to-maturity securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately.

See Note 3 for details on the allowance methodologies relating to available-for-sale and held-to-maturity securities.

Advances: Advances are carried at amortized cost, which is original cost adjusted for periodic principal repayments, amortization of premiums, accretion of discounts, and fair value hedge adjustments. Accrued interest receivable is recorded separately on the Statements of Condition. Advances are evaluated quarterly for expected credit losses. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. See Note 4 for details on the allowance methodology relating to advances.

Mortgage Loans Held for Portfolio: Mortgage loans held for portfolio are recorded at amortized cost, which is original cost adjusted for periodic principal repayments, amortization of premiums, accretion of discounts, hedging adjustments, other fees, and direct write-downs. Accrued interest receivable is recorded separately on the Statements of Condition. FHLBank performs a quarterly assessment of its mortgage loans held for portfolio to estimate expected credit losses. An allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses.

FHLBank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis.

When developing the allowance for credit losses, FHLBank measures the estimated loss over the remaining life of a mortgage loan, which also considers how credit enhancements mitigate credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as FHLBank writes off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status.

FHLBank does not purchase mortgage loans with credit deterioration present at the time of purchase. FHLBank includes estimates of expected recoveries within the allowance for credit losses. See Note 5 for details on the allowance methodologies relating to mortgage loans.


16


Off-Balance Sheet Credit Exposures: FHLBank evaluates off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses on these off-balance sheet exposures is recorded in other liabilities with a corresponding adjustment to the provision (reversal) for credit losses. See Note 13 for details on the allowance methodologies relating to off-balance sheet credit exposures.
 

NOTE 2RECENTLY ISSUED ACCOUNTING STANDARDS AND INTERPRETATIONS AND CHANGES IN AND ADOPTIONS OF ACCOUNTING PRINCIPLES

Facilitation of the Effects of Reference Rate Reform on Financial Reporting (Accounting Standard Update (ASU) 2020-04). In March 2020, the Financial Accounting Standards Board (FASB) issued temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying GAAP to transactions affected by reference rate reform if certain criteria are met. The transactions primarily include: (1) contract modifications; (2) hedging relationships; and (3) sale or transfer of debt securities classified as held-to-maturity. This guidance was effective immediately for FHLBank, and the amendments may be applied prospectively through December 31, 2022. FHLBank is in the process of evaluating the guidance, and its effect on FHLBank's financial condition, results of operations and cash flows has not yet been determined.

Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement that is a Service Contract (ASU 2018-15). In August 2018, the FASB issued an amendment to align the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). Accordingly, the amendments in this ASU require an entity in a hosting arrangement that is a service contract to follow existing guidance relating to internal-use software to determine which implementation costs to capitalize as an asset related to the service contract and which costs to expense. Costs to develop or obtain internal-use software that cannot be capitalized also cannot be capitalized for a hosting arrangement that is a service contract. Therefore, an entity in a hosting arrangement that is a service contract determines to which project stage (that is, preliminary project stage, application development stage, or post-implementation stage) an implementation activity relates. Costs for implementation activities in the application development stage are capitalized depending on the nature of the costs, while costs incurred during the preliminary project and post-implementation stages are expensed as the activities are performed. The amendments in this ASU also require the entity to expense the capitalized implementation costs of a hosting arrangement that is a service contract over the term of the hosting arrangement. The amendments in this ASU were effective January 1, 2020 for FHLBank. The adoption of this guidance did not materially impact FHLBank's financial condition, results of operations or cash flows.

Changes to the Disclosure Requirements for Defined Benefit Plans (ASU 2018-14). In August 2018, the FASB issued an amendment modifying the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans to improve disclosure effectiveness. The amendments in the ASU remove disclosures that are no longer considered cost beneficial, clarify the specific requirements of disclosures, and add disclosure requirements identified as relevant. The amendments in this ASU are effective for annual periods ending after December 15, 2020, which is the year ending December 31, 2020 for FHLBank, and will be applied retrospectively for all comparative periods presented. The adoption of this guidance will not have a material impact on the disclosures related to defined benefit plans and will not impact FHLBank’s financial condition, results of operations or cash flows.

Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13). In August 2018, the FASB issued an amendment that modifies the disclosure requirements for fair value measurements. This ASU removes the requirement to disclose: (1) the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy; (2) the policy for timing of transfers between levels; and (3) the valuation processes for Level 3 fair value measurements. The ASU requires disclosure of changes in unrealized gains and losses for the period included in OCI for recurring Level 3 fair value measurements held at the end of the reporting period and the range and weighted average of significant unobservable inputs used to develop Level 3 fair value measurements. The amendments in this ASU were effective January 1, 2020 for FHLBank. The adoption of this guidance did not have an impact on the disclosures related to fair value measurements and did not impact FHLBank’s financial condition, results of operations or cash flows.

Measurement of Credit Losses on Financial Instruments, as amended (ASU 2016-13). In June 2016, the FASB issued amended guidance for the accounting of credit losses on financial instruments. The amendments require entities to measure expected credit losses based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate in its circumstances. Additionally, under the new guidance, a financial asset, or a group of financial assets, measured at amortized cost basis is required to be presented at the net amount expected to be collected.


17


The guidance also requires:
The statement of income to reflect the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period;
The entities to determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination that are measured at amortized cost basis in a similar manner to other financial assets measured at amortized cost basis. The initial allowance for credit losses is required to be added to the purchase price;
Credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below amortized cost; and
Public entities to further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination (i.e., vintage).

The guidance became effective for FHLBank on January 1, 2020 and was applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings. Adoption of this guidance did not materially impact FHLBank’s financial condition, results of operations, or cash flows.


NOTE 3INVESTMENTS

FHLBank's investment portfolio consists of interest-bearing deposits, securities purchased under agreements to resell, Federal funds sold, and debt securities.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold: FHLBank 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). These may differ from internal ratings of the investments, if applicable. As of March 31, 2020, approximately 49 percent of these investments were with unrated counterparties.

Federal funds sold are unsecured loans that are generally transacted on an overnight term. Federal Housing Finance Agency (FHFA) regulations include a limit on the amount of unsecured credit FHLBank may extend to a counterparty. As of March 31, 2020 and December 31, 2019, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the contractual terms. No allowance for credit losses was recorded for these assets as of March 31, 2020 and December 31, 2019. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of $362,000 and $4,000, respectively, as of March 31, 2020, and $589,000 and $30,000, respectively, as of December 31, 2019.

Securities purchased under agreements to resell are 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 their counterparties, FHLBank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell as of March 31, 2020 and December 31, 2019. The carrying value of securities purchased under agreements excludes accrued interest receivable of $4,000 and $424,000 as of March 31, 2020 and December 31, 2019, respectively.

Debt Securities: FHLBank invests in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. FHLBank is prohibited by FHFA regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities and instruments that experienced credit deterioration after their purchase by FHLBank.

FHLBank's debt securities include the following major security types, which are based on the issuer and the risk characteristics of the security:
Certificates of deposit - unsecured negotiable promissory notes issued by banks;
U.S. Treasury obligations - sovereign debt of the United States;
GSE obligations - debentures issued by other FHLBanks, Federal National Mortgage Association (Fannie Mae), Federal Farm Credit Bank and Federal Agricultural Mortgage Corporation. GSE securities are not guaranteed by the U.S. government;
State or local housing agency obligations - municipal bonds issued by housing finance agencies;
U.S. obligation MBS - single-family MBS issued by Government National Mortgage Association (Ginnie Mae), which are guaranteed by the U.S. government; and
GSE MBS - single-family and multifamily MBS issued by Fannie Mae and Federal Home Loan Mortgage Corporation (Freddie Mac).

18



Trading Securities: Trading securities by major security type as of March 31, 2020 and December 31, 2019 are summarized in Table 3.1 (in thousands):

Table 3.1
 
Fair Value
 
03/31/2020
12/31/2019
Non-mortgage-backed securities:
 
 
Certificates of deposit
$
275,055

$

U.S. Treasury obligations
1,570,261

1,530,518

GSE obligations
433,576

416,025

Non-mortgage-backed securities
2,278,892

1,946,543

Mortgage-backed securities:
 
 
GSE MBS
899,099

866,019

Mortgage-backed securities
899,099

866,019

TOTAL
$
3,177,991

$
2,812,562


Net gains (losses) on trading securities during the three months ended March 31, 2020 and 2019 are shown in Table 3.2 (in thousands):

Table 3.2
 
Three Months Ended
 
03/31/2020
03/31/2019
Net gains (losses) on trading securities held as of March 31, 2020
$
94,203

$
28,659

Net gains (losses) on trading securities sold or matured prior to March 31, 2020
186

96

NET GAINS (LOSSES) ON TRADING SECURITIES
$
94,389

$
28,755


Available-for-sale Securities: Available-for-sale securities by major security type as of March 31, 2020 are summarized in Table 3.3 (in thousands). Amortized cost includes adjustments made to the cost basis of an investment for accretion, amortization, and fair value hedge accounting adjustments, and excludes accrued interest receivable of $28,429,000 as of March 31, 2020.

Table 3.3
 
03/31/2020
 
Amortized
Cost
Gross
Unrecognized
Gains
Gross
Unrecognized
Losses
Fair
Value
Non-mortgage-backed securities:
 
 
 
 
U.S. Treasury obligations
$
4,352,488

$
2,192

$
(984
)
$
4,353,696

Non-mortgage-backed securities
4,352,488

2,192

(984
)
4,353,696

Mortgage-backed securities:
 
 
 
 
GSE MBS
3,240,951

15,094

(83,645
)
3,172,400

Mortgage-backed securities
3,240,951

15,094

(83,645
)
3,172,400

TOTAL
$
7,593,439

$
17,286

$
(84,629
)
$
7,526,096



19


Available-for-sale securities by major security type as of December 31, 2019 are summarized in Table 3.4 (in thousands). Amortized cost includes adjustments made to the cost basis of an investment for accretion, amortization, and fair value hedge accounting adjustments, and excludes accrued interest receivable of $30,321,000 as of December 31, 2019.

Table 3.4
 
12/31/2019
 
Amortized
Cost
Gross
Unrecognized
Gains
Gross
Unrecognized
Losses
Fair
Value
Non-mortgage-backed securities:
 
 
 
 
U.S. Treasury obligations
$
4,258,608

$
3,580

$
(397
)
$
4,261,791

Non-mortgage-backed securities
4,258,608

3,580

(397
)
4,261,791

Mortgage-backed securities:
 
 
 
 
GSE MBS
2,897,104

28,353

(4,748
)
2,920,709

Mortgage-backed securities
2,897,104

28,353

(4,748
)
2,920,709

TOTAL
$
7,155,712

$
31,933

$
(5,145
)
$
7,182,500


Table 3.5 summarizes the available-for-sale securities with unrealized losses as of March 31, 2020 (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
 
03/31/2020
 
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:
 
 
 
 
 
 
U.S. Treasury obligations
$
1,238,322

$
(452
)
$
324,054

$
(532
)
$
1,562,376

$
(984
)
Non-mortgage-backed securities
1,238,322

(452
)
324,054

(532
)
1,562,376

(984
)
Mortgage-backed securities:
 
 
 
 
 
 
GSE MBS
1,973,210

(73,832
)
318,933

(9,813
)
2,292,143

(83,645
)
Mortgage-backed securities
1,973,210

(73,832
)
318,933

(9,813
)
2,292,143

(83,645
)
TOTAL TEMPORARILY IMPAIRED SECURITIES
$
3,211,532

$
(74,284
)
$
642,987

$
(10,345
)
$
3,854,519

$
(84,629
)


20


Table 3.6 summarizes the available-for-sale securities with unrealized losses as of December 31, 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 3.6
 
12/31/2019
 
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:
 
 
 
 
 
 
U.S. Treasury obligations
$
1,579,004

$
(397
)
$

$

$
1,579,004

$
(397
)
Non-mortgage-backed securities
1,579,004

(397
)


1,579,004

(397
)
Mortgage-backed securities:
 
 
 
 
 
 
GSE MBS
787,809

(932
)
301,161

(3,816
)
1,088,970

(4,748
)
Mortgage-backed securities
787,809

(932
)
301,161

(3,816
)
1,088,970

(4,748
)
TOTAL TEMPORARILY IMPAIRED SECURITIES
$
2,366,813

$
(1,329
)
$
301,161

$
(3,816
)
$
2,667,974

$
(5,145
)

The amortized cost and fair values of available-for-sale securities by contractual maturity as of March 31, 2020 and December 31, 2019 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
 
03/31/2020
12/31/2019
 
Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
Non-mortgage-backed securities:
 
 
 
 
Due in one year or less
$
1,268,884

$
1,269,148

$
754,003

$
753,891

Due after one year through five years
3,083,604

3,084,548

3,504,605

3,507,900

Due after five years through ten years




Due after ten years




Non-mortgage-backed securities
4,352,488

4,353,696

4,258,608

4,261,791

Mortgage-backed securities
3,240,951

3,172,400

2,897,104

2,920,709

TOTAL
$
7,593,439

$
7,526,096

$
7,155,712

$
7,182,500


Net gains (losses) realized on the sale of available-for-sale securities are recorded in other income (loss) on the Statements of Income. Table 3.8 presents details of the sales for the three months ended March 31, 2020 (in thousands). There were no sales of available-for-sale securities during the three months ended March 31, 2019.

Table 3.8
 
Three Months Ended
 
03/31/2020
Proceeds from sale of available-for-sale securities
$
289,045

 
 
Gross gains on sale of available-for-sale securities
$
1,526

Gross losses on sale of available-for-sale securities
(3
)
NET GAINS (LOSSES) ON SALE OF AVAILABLE-FOR-SALE SECURITIES
$
1,523



21


Held-to-maturity Securities: Held-to-maturity securities by major security type as of March 31, 2020 are summarized in Table 3.9 (in thousands). Amortized cost includes adjustments made to the cost basis of an investment for accretion and amortization, and excludes accrued interest receivable of $3,576,000 as of March 31, 2020.

Table 3.9
 
03/31/2020
 
Amortized
Cost
Net Carrying Value
Gross
Unrecognized
Gains
Gross
Unrecognized
Losses
Fair
Value
Non-mortgage-backed securities:
 
 
 
 
 
State or local housing agency obligations
$
82,805

$
82,805

$
2

$
(1,496
)
$
81,311

Non-mortgage-backed securities
82,805

82,805

2

(1,496
)
81,311

Mortgage-backed securities:
 
 
 
 
 
U.S. obligation MBS
89,563

89,563


(1,123
)
88,440

GSE MBS
3,168,970

3,168,970

4,379

(23,469
)
3,149,880

Mortgage-backed securities
3,258,533

3,258,533

4,379

(24,592
)
3,238,320

TOTAL
$
3,341,338

$
3,341,338

$
4,381

$
(26,088
)
$
3,319,631


Held-to-maturity securities by major security type as of December 31, 2019 are summarized in Table 3.10 (in thousands). Amortized cost includes adjustments made to the cost basis of an investment for accretion and amortization, and excludes accrued interest receivable of $4,324,000 as of December 31, 2019.

Table 3.10
 
12/31/2019
 
Amortized
Cost
Carrying Value
Gross
Unrecognized
Gains
Gross
Unrecognized
Losses
Fair
Value
Non-mortgage-backed securities:
 
 
 
 
 
State or local housing agency obligations
$
82,805

$
82,805

$
5

$
(1,956
)
$
80,854

Non-mortgage-backed securities
82,805

82,805

5

(1,956
)
80,854

Mortgage-backed securities:
 
 
 
 
 
U.S. obligation MBS
93,375

93,375


(496
)
92,879

GSE MBS
3,393,778

3,393,778

6,558

(17,131
)
3,383,205

Mortgage-backed securities
3,487,153

3,487,153

6,558

(17,627
)
3,476,084

TOTAL
$
3,569,958

$
3,569,958

$
6,563

$
(19,583
)
$
3,556,938



22


The amortized cost, carrying value and fair values of held-to-maturity securities by contractual maturity as of March 31, 2020 and December 31, 2019 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
 
03/31/2020
12/31/2019
 
Amortized
Cost
Net 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
82,805

82,805

81,311

82,805

82,805

80,854

Non-mortgage-backed securities
82,805

82,805

81,311

82,805

82,805

80,854

Mortgage-backed securities
3,258,533

3,258,533

3,238,320

3,487,153

3,487,153

3,476,084

TOTAL
$
3,341,338

$
3,341,338

$
3,319,631

$
3,569,958

$
3,569,958

$
3,556,938


Allowance for Credit Losses on Available-for-Sale and Held-to-Maturity Securities: FHLBank evaluates available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. FHLBank adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. See Note 2 for additional information.

During the three months ended March 31, 2020, FHLBank did not recognize a provision for credit losses associated with available-for-sale investments or held-to-maturity investments. To evaluate investment securities for credit loss as of March 31, 2020, FHLBank employed the following methodologies, based on the type of security.

FHLBank's available-for-sale and held-to-maturity securities are principally certificates of deposit, U.S. obligations, GSE obligations, state or local housing agency obligations, and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. FHLBank only purchases securities considered investment quality. As of March 31, 2020, all of FHLBank's available-for-sale securities and held-to-maturity securities 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, if applicable.

FHLBank evaluates available-for-sale 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). As of March 31, 2020, certain available-for-sale securities were in an unrealized loss position. These losses are considered temporary as FHLBank expects to recover the entire amortized cost basis on these available-for-sale investment securities. FHLBank 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, FHLBank has not experienced any payment defaults on the instruments. In addition, all of these securities carry an implicit or explicit government guarantee. As a result, no allowance for credit losses was recorded on these available-for-sale securities as of March 31, 2020.

FHLBank evaluates its held-to-maturity 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, FHLBank had not established an allowance for credit loss on any held-to-maturity securities because the securities: (1) were all highly-rated and/or had short remaining terms to maturity; (2) had not experienced, nor did FHLBank expect, any payment default on the instruments; and (3) in the case of U.S. or GSE obligations, carry an implicit or explicit government guarantee such that FHLBank considers the risk of nonpayment to be zero.



23


NOTE 4ADVANCES

General Terms: FHLBank offers a wide range of fixed and variable rate advance products with different maturities, interest rates, payment characteristics and optionality. As of March 31, 2020 and December 31, 2019, FHLBank had advances outstanding at interest rates ranging from 0.09 percent to 7.41 percent and 0.96 percent to 7.41 percent, respectively. Table 4.1 presents advances summarized by redemption term as of March 31, 2020 and December 31, 2019 (dollar amounts in thousands). Carrying amounts exclude accrued interest receivable of $40,265,000 and $45,637,000 as of March 31, 2020 and December 31, 2019, respectively.

Table 4.1
 
03/31/2020
12/31/2019
Redemption Term
Amount
Weighted Average Interest Rate
Amount
Weighted Average Interest Rate
Due in one year or less
$
12,856,757

1.11
%
$
13,188,118

1.88
%
Due after one year through two years
2,640,111

1.85

10,448,433

1.96

Due after two years through three years
1,240,159

1.95

1,254,153

2.27

Due after three years through four years
1,130,479

2.24

1,067,662

2.42

Due after four years through five years
1,568,352

1.79

1,208,854

2.22

Thereafter
11,919,990

1.63

3,004,835

2.25

Total par value
31,355,848

1.48
%
30,172,055

1.99
%
Discounts
(5,688
)
 
(1,807
)
 
Hedging adjustments
327,923

 
71,067

 
TOTAL
$
31,678,083

 
$
30,241,315

 

FHLBank’s advances outstanding include advances that contain call options that may be exercised with or without prepayment fees at the borrower’s discretion on specific dates (call dates) before the stated advance maturities (callable advances). In exchange for receiving the right to call the advance on a predetermined call schedule, the borrower may pay a higher fixed rate for the advance relative to an equivalent maturity, non-callable, fixed rate advance. The borrower normally exercises its call options on these advances when interest rates decline (fixed rate advances) or spreads change (adjustable rate advances).

Convertible advances allow FHLBank to convert an advance from one interest payment term structure to another. When issuing convertible advances, FHLBank purchases put options from a member that allow FHLBank to convert the fixed rate advance to a variable rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity fixed rate advance without the conversion feature.

Table 4.2 presents advances summarized by redemption term or next call date (for callable advances) and by redemption term or next conversion date (for convertible advances) as of March 31, 2020 and December 31, 2019 (in thousands):

Table 4.2
 
Redemption Term
or Next Call Date
Redemption Term
or Next Conversion Date
Redemption Term
03/31/2020
12/31/2019
03/31/2020
12/31/2019
Due in one year or less
$
24,917,487

$
24,271,238

$
13,878,057

$
14,053,068

Due after one year through two years
853,053

1,133,077

2,786,661

10,637,833

Due after two years through three years
776,494

728,429

1,583,159

1,524,153

Due after three years through four years
839,249

764,990

1,272,229

1,215,412

Due after four years through five years
982,582

686,594

1,663,752

1,304,254

Thereafter
2,986,983

2,587,727

10,171,990

1,437,335

TOTAL PAR VALUE
$
31,355,848

$
30,172,055

$
31,355,848

$
30,172,055



24


Interest Rate Payment Terms:  Table 4.3 details additional interest rate payment terms for advances as of March 31, 2020 and December 31, 2019 (in thousands):

Table 4.3
 Redemption Term
03/31/2020
12/31/2019
Fixed rate:
 
 
Due in one year or less
$
3,057,383

$
2,691,528

Due after one year
6,453,279

5,912,124

Total fixed rate
9,510,662

8,603,652

Variable rate:
 

 

Due in one year or less
9,799,374

10,496,590

Due after one year
12,045,812

11,071,813

Total variable rate
21,845,186

21,568,403

TOTAL PAR VALUE
$
31,355,848

$
30,172,055


Credit Risk Exposure and Security Terms: FHLBank's advances are primarily made to member financial institutions, including commercial banks and insurance companies. FHLBank manages its credit exposure to advances through an integrated approach that includes establishing a credit limit for each borrower. This approach includes an ongoing review of each borrower's financial condition, in conjunction with FHLBank's collateral and lending policies to limit risk of loss, while balancing borrowers' needs for a reliable source of funding.

In addition, FHLBank lends to eligible borrowers in accordance with federal law and FHFA regulations. Specifically, FHLBank is required to obtain sufficient collateral to fully secure credit products up to the counterparty’s total credit limit. Collateral eligible to secure new or renewed advances includes:
One-to-four family and multifamily mortgage loans (delinquent for no more than 90 days) and securities representing such mortgages;
Loans and securities issued, insured, or guaranteed by the U.S. government or any U.S. government agency (for example, MBS issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae);
Cash or deposits in FHLBank;
Certain other collateral that is real estate-related, provided that the collateral has a readily ascertainable value and that FHLBank can perfect a security interest in it; and
Certain qualifying securities representing undivided equity interests in eligible advance collateral.

Residential mortgage loans are the principal form of collateral for advances. The estimated value of the collateral required to secure each member's credit products is calculated by applying collateral discounts, or haircuts, to the market value or unpaid principal balance of the collateral, as applicable. In addition, community financial institutions are eligible to use expanded statutory collateral provisions for small business, agriculture loans, and community development loans. FHLBank capital stock owned by each borrower is also pledged as collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition, and performance; borrowing capacity; and overall credit exposure to the borrower. FHLBank can also require additional or substitute collateral to protect its security interest. FHLBanks also have policies and procedures for validating the reasonableness of their collateral valuations. In addition, collateral verifications and on-site reviews are performed by FHLBank based on the risk profile of the borrower. FHLBank management believes that these policies effectively manage credit risk from advances.

FHLBank either allows a borrower to retain physical possession of the collateral assigned to it, or requires the borrower to specifically assign or place physical possession of the collateral with FHLBank or its safekeeping agent. FHLBank perfects its security interest in all pledged collateral. The Federal Home Loan Bank Act of 1932, as amended, (Bank Act) states that any security interest granted to an FHLBank by a borrower will have priority over the claims or rights of any other party, except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

Using a risk-based approach and taking into consideration each borrower's financial strength, FHLBank considers the types and level of collateral to be the primary indicator of credit quality on advances. As of March 31, 2020 and December 31, 2019, FHLBank had rights to collateral on a borrower-by-borrower basis with an estimated value greater than its outstanding advances.


25


FHLBank continues to evaluate and make changes to its collateral guidelines, as necessary, based on current market conditions. As of March 31, 2020 and December 31, 2019, no advances were past due, on non-accrual status, or considered impaired. In addition, there were no troubled debt restructurings related to advances during the three months ended March 31, 2020 and 2019.

Based on the collateral held as security, FHLBank's credit extension and collateral policies, and repayment history on advances, no losses are expected on advances as of March 31, 2020, and therefore no allowance for credit losses on advances was recorded. For the same reasons, FHLBank did not record any allowance for credit losses on advances as of December 31, 2019.


NOTE 5MORTGAGE LOANS

Mortgage loans held for portfolio consist of loans obtained through the MPF Program and are either conventional mortgage loans or government-guaranteed or -insured mortgage loans. Under the MPF Program, the FHLBank purchases single-family mortgage loans that are originated or acquired by participating financial institutions (PFIs). These mortgage loans are credit-enhanced by PFIs or are guaranteed or insured by Federal agencies.

Mortgage Loans Held for Portfolio: Table 5.1 presents information as of March 31, 2020 and December 31, 2019 on mortgage loans held for portfolio (in thousands). Mortgage loans held for portfolio excludes accrued interest receivable of $54,348,000 and $52,358,000 as of March 31, 2020 and December 31, 2019, respectively.

Table 5.1
 
03/31/2020
12/31/2019
Real estate:
 
 
Fixed rate, medium-term1, single-family mortgages
$
1,408,353

$
1,347,385

Fixed rate, long-term, single-family mortgages
9,450,297

9,128,268

Total unpaid principal balance
10,858,650

10,475,653

Premiums
162,466

155,793

Discounts
(2,347
)
(2,503
)
Deferred loan costs, net
174

184

Other deferred fees
(36
)
(38
)
Hedging adjustments
5,729

4,905

Total before Allowance for Credit Losses on Mortgage Loans
11,024,636

10,633,994

Allowance for Credit Losses on Mortgage Loans2
(6,468
)
(985
)
MORTGAGE LOANS HELD FOR PORTFOLIO, NET
$
11,018,168

$
10,633,009

                   
1 
Medium-term defined as a term of 15 years or less at origination.
2 
Effective January 1, 2020, new accounting guidance was adopted relating to the measurement of credit losses on financial instruments and resulted in a cumulative effect adjustment of $6,123,000 (see Table 5.5).

Table 5.2 presents information as of March 31, 2020 and December 31, 2019 on the outstanding unpaid principal balance of mortgage loans held for portfolio (in thousands):

Table 5.2
 
03/31/2020
12/31/2019
Conventional loans
$
10,247,783

$
9,849,542

Government-guaranteed or -insured loans
610,867

626,111

TOTAL UNPAID PRINCIPAL BALANCE
$
10,858,650

$
10,475,653


Credit Enhancements: FHLBank's allowance for credit losses considers the credit enhancements associated with conventional mortgage loans under the MPF Program. Credit enhancements may include primary mortgage insurance, supplemental mortgage insurance and the credit enhancement amount plus any recoverable performance-based credit enhancement fees (for certain MPF loans). Potential recoveries from credit enhancements for conventional loans are evaluated at the individual master commitment level to determine the credit enhancements available to recover losses on loans under each individual master commitment.

26



Conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so that the risk of loss is limited to the losses within FHLBank's risk tolerance. FHLBank and its PFIs share the risk of credit losses on conventional loans, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any primary mortgage insurance, credit losses on mortgage loans in a master commitment are then absorbed by FHLBank’s First Loss Account. If applicable to the MPF product, FHLBank will withhold a PFI’s scheduled performance-based credit enhancement fee in order to reimburse FHLBank for any losses allocated to the First Loss Account. If the First Loss Account is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon credit enhancement amount. Thereafter, any remaining credit losses are absorbed by FHLBank.

Payment Status of Mortgage Loans: Payment status is the key credit quality indicator for conventional mortgage loans and allows FHLBank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure.

Table 5.3 presents the payment status based on amortized cost as well as other delinquency statistics for FHLBank’s mortgage loans as of March 31, 2020 (dollar amounts in thousands):

Table 5.3
 
03/31/2020
 
Conventional Loans
Government
Loans
Total
 
Origination Year
Subtotal
 
Prior to 2016
2016
2017
2018
2019
2020
Amortized Cost:1
 
 
 
 
 
 
 
 
 
Past due 30-59 days delinquent
$
26,537

$
4,645

$
7,718

$
8,670

$
11,031

$

$
58,601

$
15,284

$
73,885

Past due 60-89 days delinquent
6,883

607

1,209

873

912


10,484

5,485

15,969

Past due 90 days or more delinquent
5,697

825

1,278

3,237



11,037

7,701

18,738

Total past due
39,117

6,077

10,205

12,780

11,943


80,122

28,470

108,592

Total current loans
2,702,728

869,155

1,080,872

1,307,221

3,668,111

697,256

10,325,343

590,701

10,916,044

Total mortgage loans
$
2,741,845

$
875,232

$
1,091,077

$
1,320,001

$
3,680,054

$
697,256

$
10,405,465

$
619,171

$
11,024,636

 
 
 
 
 
 
 
 
 
 
Other delinquency statistics:
 
 
 
 
 
 
 

 

 

In process of foreclosure2
 
 
 
 
 
 
$
3,441

$
2,922

$
6,363

Serious delinquency rate3
 
 
 
 
 
 
0.1
%
1.2
%
0.2
%
Past due 90 days or more and still accruing interest
 
 
 
 
 
 
$

$
7,701

$
7,701

Loans on non-accrual status4
 
 
 
 
 
 
$
15,157

$

$
15,157

                   
1 
Excludes accrued interest receivable.
2 
Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.
3 
Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total recorded investment for the portfolio class.
4 
Loans on non-accrual status include $1,361,000 of troubled debt restructurings. Troubled debt restructurings are restructurings in which FHLBank, for economic or legal reasons related to the debtor’s financial difficulties, grants a concession to the debtor that it would not otherwise consider.


27


Table 5.4 presents the payment status based on recorded investment as well as other delinquency statistics for FHLBank’s mortgage loans as of December 31, 2019 (dollar amounts in thousands):

Table 5.4
 
12/31/2019
 
Conventional
Loans
Government
Loans
Total
Recorded investment:1
 
 
 
Past due 30-59 days delinquent
$
59,226

$
15,515

$
74,741

Past due 60-89 days delinquent
7,561

6,128

13,689

Past due 90 days or more delinquent
11,813

8,778

20,591

Total past due
78,600

30,421

109,021

Total current loans
9,969,930

607,400

10,577,330

Total recorded investment
$
10,048,530

$
637,821

$
10,686,351

 
 
 
 
Other delinquency statistics:
 

 

 

In process of foreclosure2
$
3,352

$
2,730

$
6,082

Serious delinquency rate3
0.1
%
1.4
%
0.1
%
Past due 90 days or more and still accruing interest
$

$
8,778

$
8,778

Loans on non-accrual status4
$
14,923

$

$
14,923

                   
1 
Includes accrued interest receivable.
2 
Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.
3 
Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total recorded investment for the portfolio class.
4 
Loans on non-accrual status include $1,219,000 of troubled debt restructurings. Troubled debt restructurings are restructurings in which FHLBank, for economic or legal reasons related to the debtor’s financial difficulties, grants a concession to the debtor that it would not otherwise consider.

Allowance for Credit Losses:
Conventional Mortgage Loans: Conventional loans are evaluated collectively when similar risk characteristics exists. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. FHLBank determines its allowances for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. FHLBank uses a model that discounts projected cash flows to estimate expected credit losses over the life of the loans. This model relies on a number of inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior experience. FHLBank also incorporates associated credit enhancements, as available, to determine its estimate of expected credit losses.

Certain conventional loans may be evaluated for credit losses using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. FHLBank may estimate the fair value of this collateral by applying an appropriate loss severity rate or using third party estimates or property valuation model(s). The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. FHLBank records a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit losses.


28


FHLBank established an allowance for credit losses on its conventional mortgage loans held for portfolio. Table 5.5 presents a roll-forward of the allowance for credit losses on mortgage loans for the three months ended March 31, 2020 and 2019.

Table 5.5
 
Three Months Ended
 
03/31/2020
03/31/2019
Balance, beginning of the period
$
985

$
812

Adjustment for cumulative effect of accounting change
6,123


Net (charge-offs) recoveries
96

(66
)
Provision (reversal) for credit losses
(736
)
78

Balance, end of the period
$
6,468

$
824


Government-Guaranteed or -Insured Mortgage Loans: FHLBank invests in fixed-rate mortgage loans that are insured or guaranteed by the Federal Housing Administration, the Department of Veterans Affairs, the Rural Housing Service of the Department of Agriculture, and/or the Department of Housing and Urban Development. The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guarantee or insurance with respect to defaulted government-guaranteed or -insured mortgage loans. Any losses on these loans that are not recovered from the issuer or the guarantor are absorbed by the servicer. Therefore, FHLBank only has credit risk for these loans if the servicer fails to pay for losses not covered by the guarantee or insurance. Based on FHLBank's assessment of its servicers and the collateral backing the loans, the risk of loss was immaterial, consequently, no allowance for credit losses for government-guaranteed or -insured mortgage loans was recorded as of March 31, 2020 or December 31, 2019. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.



29


NOTE 6DERIVATIVES AND HEDGING ACTIVITIES

Table 6.1 presents outstanding notional amounts and fair values of the derivatives outstanding by type of derivative and by hedge designation as of March 31, 2020 and December 31, 2019 (in thousands). Total derivative assets and liabilities include the effect of netting adjustments and cash collateral.

Table 6.1
 
03/31/2020
12/31/2019
 
Notional
Amount
Derivative
Assets
Derivative
Liabilities
Notional
Amount
Derivative
Assets
Derivative
Liabilities
Derivatives designated as hedging instruments:
 

 

 

 

 

 

Interest rate swaps
$
18,927,900

$
25,165

$
291,756

$
16,448,512

$
23,462

$
80,398

Total derivatives designated as hedging relationships
18,927,900

25,165

291,756

16,448,512

23,462

80,398

Derivatives not designated as hedging instruments:
 
 
 
 
 
 
Interest rate swaps
2,731,000

362

75,061

3,099,622

736

26,285

Interest rate caps/floors
762,500

262


1,130,000

117


Mortgage delivery commitments
910,677

934

7,798

221,800

495

25

Total derivatives not designated as hedging instruments
4,404,177

1,558

82,859

4,451,422

1,348

26,310

TOTAL
$
23,332,077

26,723

374,615

$
20,899,934

24,810

106,708

Netting adjustments and cash collateral1
 
176,726

(366,045
)
 
129,994

(106,506
)
DERIVATIVE ASSETS AND LIABILITIES
 
$
203,449

$
8,570

 
$
154,804

$
202

                   
1 
Amounts represent the application of the netting requirements that allow FHLBank to settle positive and negative positions, cash collateral, and related accrued interest held or placed with the same clearing agent and/or derivative counterparty. Cash collateral posted was $543,571,000 and $236,700,000 as of March 31, 2020 and December 31, 2019, respectively. Cash collateral received was $800,000 and $200,000 as of March 31, 2020 and December 31, 2019, respectively.
 
FHLBank carries derivative instruments at fair value on its Statements of Condition. Changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item.


30


Gains (losses) on fair value hedges include unrealized changes in fair value as well as net interest settlements. For the three months ended March 31, 2020 and 2019, FHLBank recorded net gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on FHLBank’s net interest income as presented in Table 6.2 (in thousands):

Table 6.2
 
Three Months Ended
 
03/31/2020
 
Interest Income/Expense
 
Advances
Available-for-sale Securities
Consolidated Obligation Discount Notes
Consolidated Obligation Bonds
Total amounts presented in the Statements of Income
$
130,887

$
24,294

$
92,951

$
150,742

Gains (losses) on fair value hedging relationships:
 
 
 
 
Interest rate contracts:
 
 
 
 
Derivatives1
$
(260,132
)
$
(360,283
)
$
18,523

$
45,446

Hedged items2
256,842

344,143

(15,690
)
(39,825
)
NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS
$
(3,290
)
$
(16,140
)
$
2,833

$
5,621


 
3/31/2019
 
Interest Income/Expense
 
Advances
Available-for-sale Securities
Consolidated Obligation Discount Notes
Consolidated Obligation Bonds
Total amounts presented in the Statements of Income
$
187,609

$
15,396

$
148,991

$
158,157

Gains (losses) on fair value hedging relationships:
 
 
 
 
Interest rate contracts:
 
 
 
 
Derivatives1
$
(33,072
)
$
(44,192
)
$
32

$
9,705

Hedged items2
39,502

42,113

(30
)
(13,549
)
NET GAINS (LOSSES) ON FAIR VALUE HEDGING RELATIONSHIPS
$
6,430

$
(2,079
)
$
2

$
(3,844
)
                   
1 
Includes net interest settlements in interest income/expense.
2 
Includes amortization/accretion on closed fair value relationships in interest income.


31


Table 6.3 presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of March 31, 2020 and December 31, 2019 (in thousands):

Table 6.3
03/31/2020
Line Item in Statements of Condition of Hedged Item
Carrying Value of Hedged Asset/(Liability)1
Basis Adjustments for Active Hedging Relationships2
Basis Adjustments for Discontinued Hedging Relationships2
Cumulative Amount of Fair Value Hedging Basis Adjustments2
Advances
$
5,568,718