Federal Home Loan Bank of Chicago - FORM 10-Q - May 7, 2015

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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, 2015
OR
o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from              to             
Commission File No. 000-51401

FEDERAL HOME LOAN BANK OF CHICAGO
(Exact name of registrant as specified in its charter)
 
 
Federally chartered corporation
  
36-6001019
 
 
(State or other jurisdiction of
incorporation or organization)
  
(I.R.S. Employer
Identification No.)
 
 
200 East Randolph Drive
Chicago, IL
  
60601
 
 
(Address of principal executive offices)
  
(Zip Code)
 

Registrant's telephone number, including area code: (312) 565-5700
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. Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

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

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


As of April 30, 2015, including mandatorily redeemable capital stock, registrant had 17,866,377 total outstanding shares of Class B Capital Stock.


1

TABLE OF CONTENTS


Item 1.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 2.
Item 3.
Item 4.
 
 
 
Item 1.
 58
Item 1A.
 58
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.
 
 
 
 




2
Federal Home Loan Bank of Chicago

PART I - FINANCIAL INFORMATION
Item 1.    Financial Statements.
Statements of Condition (unaudited)
(Dollars in millions, except capital stock par value)
 
March 31, 2015
 
December 31, 2014
Assets
 
 
 
Cash and due from banks
$
1,458

 
$
342

Interest bearing deposits
560

 
560

Federal Funds sold
3,022

 
1,525

Securities purchased under agreements to resell
1,400

 
3,400

Investment securities -
 
 
 
Trading, $76 and $71 pledged
162

 
167

Available-for-sale
19,449

 
19,975

Held-to-maturity, $6,932 and $7,824 fair value
6,223

 
7,118

Total investment securities
25,834

 
27,260

Advances, $85 and $83 carried at fair value
31,941

 
32,485

MPF Loans held in portfolio, net of allowance for credit losses of $(4) and $(15)
5,728

 
6,057

Derivative assets
8

 
29

Other assets
196

 
183

Total assets
$
70,147

 
$
71,841

Liabilities
 
 
 
Deposits -
 
 
 
Noninterest bearing
$
53

 
$
49

Interest bearing, $15 and $13 from other FHLBs
593

 
617

Total Deposits
646

 
666

Consolidated obligations, net -
 
 
 
Discount notes, $7,655 and $1,799 carried at fair value
30,474

 
31,054

Bonds, $2,903 and $2,785 carried at fair value
33,043

 
34,251

Total consolidated obligations, net
63,517

 
65,305

Derivative liabilities
45

 
55

Affordable Housing Program assessment payable
95

 
90

Other liabilities
321

 
256

Subordinated notes
944

 
944

Total liabilities
65,568

 
67,316

Commitments and contingencies - see notes to the financial statements


 


Capital
 
 
 
Class B1 activity stock - putable $100 par value - 8 million and 8 million shares issued and outstanding
827

 
827

Class B2 membership stock - putable $100 par value - 11 million and 11 million shares issued and outstanding
1,096

 
1,075

Total capital stock
1,923

 
1,902

Retained earnings - unrestricted
2,214

 
2,152

Retained earnings - restricted
270

 
254

Total retained earnings
2,484

 
2,406

Accumulated other comprehensive income (loss) (AOCI)
172

 
217

Total capital
4,579

 
4,525

Total liabilities and capital
$
70,147

 
$
71,841


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

3
Federal Home Loan Bank of Chicago

Statements of Income (unaudited)
(Dollars in millions)

 
 
Three months ended March 31,
 
 
 
2015
 
2014
 
Interest income
 
$
321

 
$
355

 
Interest expense
 
191

 
228

 
Net interest income before provision for (reversal of) credit losses
 
130

 
127

 
Provision for (reversal of) credit losses
 
—

 
(3
)
 
Net interest income
 
130

 
130

 
 
 
 
 
 
 
Noninterest gain (loss) on -
 
 
 
 
 
Trading securities
 
(1
)
 
(5
)
 
Derivatives and hedging activities
 
(11
)
 
(14
)
 
Instruments held under fair value option
 
3

 
4

 
Other, net
 
4

 
5

 
Noninterest gain (loss)
 
(5
)
 
(10
)
 
 
 
 
 
 
 
Noninterest expense -
 
 
 
 
 
Compensation and benefits
 
19

 
16

 
Other operating expenses
 
11

 
10

 
Other
 
3

 
4

 
Noninterest expense
 
33

 
30

 
 
 
 
 
 
 
Income before assessments
 
92

 
90

 
 
 
 
 
 
 
Affordable Housing Program assessment
 
9

 
9

 
 
 
 
 
 
 
Net income
 
$
83

 
$
81

 


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



4
Federal Home Loan Bank of Chicago

Statements of Comprehensive Income (unaudited)
(Dollars in millions)

 
 
Three months ended March 31,
 
 
2015
 
2014
Net income
 
$
83

 
$
81

 
 

 
 
Other comprehensive income (loss) -
 

 
 
Net unrealized gain (loss) on available-for-sale securities
 
(22
)
 
55

Non-credit OTTI on held-to-maturity securities
 
13

 
14

Net unrealized gain (loss) on cash flow hedges
 
(28
)
 
21

Post-retirement plans
 
(8
)
 
1

Other comprehensive income (loss)
 
(45
)
 
91

 
 

 
 
Comprehensive income
 
$
38

 
$
172



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



5
Federal Home Loan Bank of Chicago

Statements of Capital (unaudited)
(Dollars and shares in millions)
 
Capital Stock - Putable - B1 Activity
 
Capital Stock - Putable - B2 Membership
 
Total
Capital Stock
 
Retained Earnings
 
 
 
 
 
Shares
 
Value
 
Shares
 
Value
 
Shares
 
Value
 
Unrestricted
 
Restricted
 
Total
 
AOCI
 
Total
December 31, 2014
8

 
$
827

 
11

 
$
1,075

 
19

 
$
1,902

 
$
2,152

 
$
254

 
$
2,406

 
$
217

 
$
4,525

Comprehensive income
 
 
 
 
 
 
 
 
 
 
 
 
67

 
16

 
83

 
(45
)
 
38

Proceeds from issuance of capital stock
—

 
32

 
—

 
6

 
—

 
38

 
 
 
 
 
 
 
 
 
38

Repurchases of capital stock
—

 
(1
)
 
—

 
(16
)
 
—

 
(17
)
 
 
 
 
 
 
 
 
 
(17
)
Transfers between classes of capital stock
—

 
(31
)
 
—

 
31

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash dividends - class B1(2.25% annualized rate)
 
 
 
 
 
 
 
 
 
 
 
 
(4
)
 


 
(4
)
 
 
 
(4
)
Cash dividends - class B2(0.50% annualized rate)
 
 
 
 
 
 
 
 
 
 
 
 
(1
)
 
 
 
(1
)
 
 
 
(1
)
March 31, 2015
8

 
$
827

 
11

 
$
1,096

 
19

 
$
1,923

 
$
2,214

 
$
270

 
$
2,484

 
$
172

 
$
4,579

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2013
7

 
$
629

 
10

 
$
1,041

 
17

 
$
1,670

 
$
1,853

 
$
175

 
$
2,028

 
$
67

 
$
3,765

Comprehensive income
 
 
 
 
 
 
 
 
 
 
 
 
64

 
17

 
81

 
91

 
172

Proceeds from issuance of capital stock
1

 
84

 
—

 
1

 
1

 
85

 
 
 
 
 
 
 
 
 
85

Repurchases of capital stock
(1
)
 
(17
)
 
—

 
(33
)
 
(1
)
 
(50
)
 
 
 
 
 
 
 
 
 
(50
)
Transfers between classes of capital stock
(1
)
 
(108
)
 
1

 
108

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash dividends - class B1
(1.30% annualized rate)
 
 
 
 
 
 
 
 
 
 
 
 
(1
)
 
 
 
(1
)
 
 
 
(1
)
Cash dividends - class B2
(0.30% annualized rate)
 
 
 
 
 
 
 
 
 
 
 
 
(1
)
 
 
 
(1
)
 
 
 
(1
)
March 31, 2014
6

 
$
588

 
11

 
$
1,117

 
17

 
$
1,705

 
$
1,915

 
$
192

 
$
2,107

 
$
158

 
$
3,970




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

6
Federal Home Loan Bank of Chicago

Condensed Statements of Cash Flows (unaudited)
(Dollars in millions)

 
Three months ended March 31,
 
2015
 
2014
 
Operating
Net cash provided by (used in) operating activities
 
$
121

 
$
257

 
Investing
Net change interest bearing deposits
 
—

 
(560
)
 
 
Net change Federal Funds sold
 
(1,497
)
 
(2,384
)
 
 
Net change securities purchased under agreements to resell
 
2,000

 
(1,850
)
 
 
Advances -
 
 
 
 
 
 
Principal collected
 
52,328

 
59,419

 
 
Issued
 
(51,723
)
 
(58,271
)
 
 
MPF Loans held in portfolio -
 
 
 
 
 
 
Principal collected
 
337

 
410

 
 
Purchases
 
(13
)
 
(11
)
 
 
Trading securities -
 
 
 
 
 
 
Sales
 
—

 
550

 
 
Proceeds from maturities and paydowns
 
3

 
13

 
 
Purchases
 
—

 
(1,812
)
 
 
Held-to-maturity securities -
 
 
 
 
 
 
Short-term held-to-maturity securities, net
 
705

a 
555

a 
 
Proceeds from maturities and paydowns
 
232

 
262

 
 
Purchases
 
(6
)
 
(11
)
 
 
Available-for-sale securities -
 
 
 
 
 
 
Proceeds from maturities and paydowns
 
517

 
287

 
 
Proceeds from sale of foreclosed assets
 
13

 
14

 
 
Other assets
 
(2
)
 
(2
)
 
 
Net cash provided by (used in) investing activities
 
2,894

 
(3,391
)
 
Financing
Net change deposits
 
(20
)
 
16

 
 
Net proceeds from issuance of consolidated obligations -
 
 
 
 
 
 
Discount notes
 
149,597

 
218,709

 
 
Bonds
 
4,885

 
8,425

 
 
Payments for maturing and retiring consolidated obligations -
 
 
 
 
 
 
Discount notes
 
(150,180
)
 
(222,910
)
 
 
Bonds
 
(6,179
)
 
(1,369
)
 
 
Net proceeds (payments) on derivative contracts with financing element
 
(18
)
 
(15
)
 
 
Proceeds from issuance of capital stock
 
38

 
85

 
 
Repurchase or redemption of capital stock
 
(17
)
 
(50
)
 
 
Cash dividends paid
 
(5
)
 
(2
)
 
 
Net cash provided by (used in) financing activities
 
(1,899
)
 
2,889

 
 
Net increase (decrease) in cash and due from banks
 
1,116

 
(245
)
 
 
Cash and due from banks at beginning of period
 
342

 
971

 
 
Cash and due from banks at end of period
 
$
1,458

 
$
726

 
a 
Short-term held-to-maturity securities, net, consists of investment securities with a maturity of less than 90 days when purchased.

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

7
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)


Note 1 – Background and Basis of Presentation

The Federal Home Loan Bank of Chicago a is a federally chartered corporation and one of 12 Federal Home Loan Banks (the FHLBs) that, with the Office of Finance, comprise the Federal Home Loan Bank System (the System).  The FHLBs are government-sponsored enterprises (GSE) of the United States of America and were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLB Act), in order to improve the availability of funds to support home ownership.  The FHLBs are regulated by the Federal Housing Finance Agency (FHFA), an independent federal agency. We provide credit to members principally in the form of secured loans called advances. We also provide liquidity for home mortgage loans to members approved as Participating Financial Institutions (PFIs) through the Mortgage Partnership Finance® (MPF®) Program b.

Our accounting and financial reporting policies conform to generally accepted accounting principles in the United States of America (GAAP). Amounts in prior periods may be reclassified to conform to the current presentation and if material are disclosed in the following notes.

In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements and the following footnotes should be read in conjunction with the audited financial statements and footnotes for the year ended December 31, 2014, included in our Annual Report on Form 10-K (2014 Form 10-K) starting on page F-1, as filed with the SEC.

Use of Estimates

The preparation of financial statements in accordance with GAAP requires us to make assumptions and estimates that may affect the
reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these assumptions and estimates apply to the following:

•
Fair value measurements;
•
Determination of other-than-temporary impairments of securities; and
•
Allowance for credit losses.

Actual results could differ from these assumptions and estimates.

Consolidation of Variable Interest Entities

We do not consolidate any of our investments in variable interest entities since we are not the primary beneficiary. We classify variable interest entities as investment securities in our statements of condition. Such investment securities include, but are not limited to, senior interests in private label mortgage backed securities (MBS) and Federal Family Education Loan Program - asset backed securities (FFELP ABS).

The carrying amount for these investment securities is driven by our investment intent - that is, whether we hold the investment security as held-to-maturity, available-for-sale or trading. We have no liabilities related to these investments in variable interest entities. We have not provided financial or other support (explicitly or implicitly) to these investment securities that we were not previously contractually required to provide nor do we intend to provide such support in the future. Our maximum loss exposure for these investment securities is limited to their carrying amounts.

Gross versus Net Presentation of Financial Instruments

We present our derivative assets and liabilities on a net basis in our statements of condition. GAAP requires disclosure of both gross information and net information related to derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing or lending transactions regardless of whether we offset these transactions in our statements of condition. For the periods presented to date, these rights of offset only apply to our derivatives.
                                                                        
a 
Unless otherwise specified, references to we, us, our, and the Bank are to the Federal Home Loan Bank of Chicago.
b 
“Mortgage Partnership Finance”, “MPF”, and “MPF Xtra” are registered trademarks of the Federal Home Loan Bank of Chicago. “Community First” is a trademark of the Federal Home Loan Bank of Chicago.



8
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)


Note 2 – Summary of Significant Accounting Policies

Our Summary of Significant Accounting Policies through December 31, 2014, can be found in our 2014 Form 10-K starting on page F-10. We adopted the following policies in 2015:

Asset Classification and Charge-off Provisions

On April 9, 2012, the FHFA issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). The guidance in AB 2012-02 is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. AB 2012-02 establishes a standard and uniform methodology for classifying assets, prescribes the timing of asset charge-offs (excluding investment securities), and provides measurement guidance with respect to determining our allowance for credit losses, and fair value measurement guidance for conventional MPF Loans that are classified as Substandard, Doubtful, or Loss, and Real Estate Owned (REO) related to conventional MPF Loans. Subsequent to the issuance of AB 2012-02, the FHFA issued interpretative guidance clarifying that implementation of the asset classification framework may occur in two phases. We implemented the asset classification provisions effective January 1, 2014. We prospectively adopted the remaining provisions of AB 2012-02 on January 1, 2015. The effect of implementing the remaining provisions was as follows:
•
The AB 2012-02 allowance for credit losses measurement guidance did not have a material effect on our financial condition, results of operations, or cash flows at the time of adoption.
•
We recorded a $10 million charge-off to our allowance for credit losses on MPF Loans to conform our charge-off policies to AB 2012-02. In particular, we now write-down a conventional MPF Loan to its fair value less estimated selling costs when such a loan is classified as "Loss" and when a conventional MPF Loan is transferred to REO. Our prior practice was to record a charge-off when a conventional MPF Loan was transferred to REO. Exposures classified "Loss" are considered uncollectible and of such little value that the exposures continuance as a balance sheet asset is not warranted. This classification does not mean that the exposure has absolutely no recovery or salvage value; rather, it is not practical or desirable to defer charging off this asset, even though partial recovery may occur in the future. Examples of confirming events indicating that a "Loss" exists include, but are not limited to, the following:

▪
A current assessment of value is made before a single family residential loan is more than 180 days past due. Any outstanding loan balance in excess of the fair value of the property, less cost to sell, is classified as "Loss" when the loan is no more than 180 days delinquent.
•
When a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less costs to sell, within 60 days of receipt of the notification of filing from the bankruptcy court or within the delinquency time frames specified in the guidance, whichever is shorter.
•
Fraudulent loans, not covered by any existing representations and warranties in the loan purchase agreement, are charged off within 90 days of discovery of the fraud, or within the delinquency time frames specified in the adverse classification guidance, whichever is shorter.

•
We began using an Automated Valuation Methodology (AVM) to determine the fair value of our impaired conventional MPF Loans held in portfolio and REO. Our prior practice was to determine fair value using broker price opinions, if available, to measure impaired conventional MPF Loans held in portfolio and REO. If a current broker price opinion was not available, we estimated fair value based on our current actual loss severity rates we experienced on sales, excluding any estimated selling costs. The use of AVM's to determine fair value may result in increased volatility with respect to our provision for credit losses.
•
We now place a conventional MPF Loan held in portfolio on nonaccrual when it is adversely classified as either "Substandard," "Doubtful", or "Loss". An adverse classification means that such a loan is not considered well secured and in the process of collection. Exposures classified "Substandard" are inadequately protected by the current worth and paying capacity of the obligor or by the collateral pledged, if any. Exposure so classified must have a well-defined weakness or weaknesses that jeopardize the liquidation of the exposure. These weaknesses are characterized by the distinct possibility that we will sustain some loss if the deficiencies are not corrected. Exposures classified "Doubtful" have all the weaknesses inherent in those exposures classified "Substandard" with the added characteristic that the weaknesses make collection or liquidation in full, on the basis of currently known facts, conditions and values, highly questionable and improbable. Our prior practice was to place conventional MPF Loans held in portfolio on nonaccrual when the loan was 90 or more days past due (or 60 days past due in the case of a bankruptcy) and the loan was not well-secured and in the process of collection. This change in nonaccrual practice did not have a material effect on our nonaccrual loans outstanding at the time of adoption.

9
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure

In August of 2014, the FASB issued new guidance that requires certain government-guaranteed mortgage loans to be derecognized upon foreclosure and established as a separate receivable. Specifically, such accounting treatment is applied to a government-guaranteed mortgage loan in which the loan guarantee is not separable from the loan prior to foreclosure, the creditor has the intent to make a claim on the guarantee and the ability to recover under the claim, and at the time of foreclosure any amount of the claim that is determined on the basis of the fair value of the real estate is fixed. We prospectively adopted this new guidance on January 1, 2015 for our government MPF Loans. Specifically, our foreclosed government MPF Loans meet the conditions specified by the new guidance and will be classified as a receivable rather than REO. The new guidance did not have a material effect on our operating activities or our financial statements since our credit risk on government MPF Loans is limited to whether or not the servicing PFI fails to pay for losses not covered by Federal Housing Administration (FHA) insurance, or Department of Veteran Affairs (VA), Department of Housing and Urban Development (HUD) or Department of Agriculture Rural Housing Service (RHS) guarantees. Our foreclosed government MPF Loans were previously classified in REO in Other Assets.

Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure

In January of 2014, the FASB issued new accounting guidance clarifying that consumer mortgage loans collateralized by real estate should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. We adopted the new guidance effective January 1, 2015, on a prospective basis. The new guidance is consistent with our previous accounting and did not have an effect on our operating activities or financial statements.

Held for Sale Mortgage Loans

We classify MPF Xtra, MPF Direct, and government mortgage loans obtained for a Ginnie Mae securitization transaction as mortgage loans held for sale (HFS), as we intend to sell such loans in an outright sale or in a securitization transaction. If material, HFS mortgage loans will be classified as a separate line item in our statements of condition; otherwise, we will classify HFS mortgage loans in Other Assets. We have elected the fair value option for HFS mortgage loans. Since these HFS mortgage loans are carried at fair value, the loans do not require an allowance for credit losses. We measure the fair value of HFS mortgage loans based on to-be-announced (TBA) securities, which represent quoted market prices for new mortgage-backed securities issued by U.S. government sponsored enterprises. Any initial premium or discount is recognized as part of the fair value measurement process rather than amortized as a yield adjustment. Any transaction fees, such as extension fees, or costs are immediately recognized into other noninterest income. HFS mortgage loans are classified as an operating activity within our statements of cash flows.

10
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)


Note 3 – Recently Issued but Not Yet Adopted Accounting Standards


Simplifying the Presentation of Debt Issuance Cost

In April of 2015, the FASB issued new guidance requiring us to present concession fees in our statements of condition as a direct deduction from the carrying amount of the related debt liability similar to debt discounts or premiums. Our current practice is to classify concession fees (i.e., debt issuance costs) in Other Assets. The new guidance becomes effective for annual and interim periods within those annual periods beginning after December 15, 2015 with earlier adoption permitted. The new guidance requires us to apply the new guidance retrospectively to all periods presented in our financial statements. We expect to adopt the new guidance January 1, 2016. The new guidance is not expected to have a material effect on our financial statements but may effect the effective yield on our outstanding debt since directly deducting concession fees from the related debt would reduce the average carrying amount of our debt outstanding thereby increasing the effective interest rate on our outstanding debt.
 
Amendments to Consolidation Analysis
In February of 2015, the FASB issued amended guidance concerning consolidation analysis. The new guidance is intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance will be effective for periods beginning after December 15, 2015. Early adoption is permitted, including adoption in an interim period. We do not expect the new guidance to affect our financial condition, results of operations, or cash flows.

Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern

In August of 2014, the FASB issued guidance that requires an entity's management to assess the entity's ability to continue as a going concern. Specifically, for each annual and interim reporting period, an entity’s management should evaluate whether there are conditions or events, considered in the aggregate, that raise “substantial doubt” about the entity’s ability to continue as a going concern. Substantial doubt about an entity’s ability to continue as a going concern exists when relevant conditions and events, considered in the aggregate, indicate that it is probable that the entity is unable to meet its obligations as they become due within one year after the date that the financial statements are issued. The guidance becomes effective for the interim and annual periods ending after December 15, 2016, and early application is permitted. This guidance is not expected to have any effect on our financial condition or results of operations at the time of adoption.

Revenue from Contracts with Customers

In May of 2014, the FASB issued new guidance governing revenue recognition from contracts with customers. Financial instruments and other contractual rights within the scope of other GAAP guidance are excluded from the scope of this new revenue recognition guidance. In this regard, it is expected that a majority of our contracts with members would be excluded from the scope of this new guidance. The core principle of the guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled, in exchange for those goods or services. To achieve that core principle, an entity should apply the following steps:

•
Step 1: Identify the contract(s) with a customer.
•
Step 2: Identify the performance obligations in the contract.
•
Step 3: Determine the transaction price.
•
Step 4: Allocate the transaction price to the performance obligations in the contract.
•
Step 5: Recognize revenue when (or as) the entity satisfies a performance obligation.

The new revenue recognition guidance becomes effective for annual interim reporting periods beginning January 1, 2017. We are in the process of reviewing our contracts with members to determine the effect, if any, on our operating activities and financial statements.






11
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Note 4 – Interest Income and Interest Expense
The following table presents interest income and interest expense for the periods indicated:

 
Three months ended March 31,
 
2015
 
2014
Interest income -
 
 
 
 
 
 
 
Interest bearing deposits, Federal Funds sold and securities purchased under agreements to resell
$
3

 
$
1

 

 
 
Investment securities -

 
 
Trading
1

 
7

Available-for-sale
134

 
143

Held-to-maturity
69

 
77

Total investment securities
204

 
227

 

 
 
Advances -
 
 
 
Advance interest income
39

 
38

Advance prepayment fees, including related hedge adjustment gains (losses) of $1 and $0
6

 
1

Total Advances
45

 
39

 


 
 
MPF Loans held in portfolio
69

 
88

 


 
 
Total interest income
321

 
355

 

 
 
 
 
 
 
Interest expense -

 
 
 

 
 
Consolidated obligations -

 
 
Discount notes
72

 
67

Bonds
105

 
147

Total consolidated obligations
177

 
214

 

 
 
Subordinated notes
14

 
14

 
 
 
 
Total interest expense
191

 
228

 

 
 
Net interest income before provision for (reversal of) credit losses
130

 
127

Provision for (reversal of) credit losses
—

 
(3
)
Net interest income
$
130

 
$
130





12
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Note 5 – Investment Securities

Our major security types presented in the tables below are defined as follows:

•
U.S. Government & other government related may consist of the sovereign debt of the United States; debt issued by Fannie Mae, Freddie Mac, and the Federal Farm Credit Banks Funding Corporation; and non-mortgage-backed securities of the Small Business Administration and Tennessee Valley Authority.
•
Federal Family Education Loan Program - asset backed securities (FFELP ABS).
•
Government Sponsored Enterprises (GSE) residential mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac.
•
Government-guaranteed residential, multifamily, and reverse mortgage MBS.
•
Private-label residential MBS.
•
State or local housing agency obligations.


Pledged Collateral

We transact most of our derivatives with large banks and major broker-dealers. Derivative transactions may be entered into either through an over-the-counter bilateral agreement with an individual counterparty or through a Futures Commission Merchant (FCM or clearing member) with a derivatives clearing organization (clearinghouse). We may pledge investment securities as collateral under these agreements, and in such cases, the amount pledged will be noted on the face of the statements of condition. We pledged $76 million of investment securities as collateral for our initial margin with derivative clearing organizations as of March 31, 2015, and $71 million as of December 31, 2014. See Note 9 - Derivatives and Hedging Activities for further details.

Trading Securities

The following table presents the fair value of our trading securities. We had no material gains or losses realized from the sales of trading securities.

As of
 
March 31, 2015
 
December 31, 2014
U.S. Government & other government related
 
$
101

 
$
102

Residential MBS:
 
 
 
 
GSE
 
59

 
63

Government-guaranteed
 
2

 
2

Total Residential MBS
 
61

 
65

Trading securities
 
$
162

 
$
167



At March 31, 2015, and 2014, we had net year-to-date unrealized gains (losses) of $(1) million and $(5) million on trading securities still held at period end.


13
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Amortized Cost Basis and Fair Value – Available-for-Sale Securities (AFS)

 
Amortized Cost Basis
 
Gross Unrealized Gains in AOCI
 
Gross Unrealized (Losses) in AOCI
 
Carrying Amount and Fair Value
As of March 31, 2015
 
 
 
 
 
 
 
U.S. Government & other government related
$
450

 
$
30

 
$
(1
)
 
$
479

State or local housing agency
4

 
—

 
—

 
4

FFELP ABS
5,640

 
363

 
(9
)
 
5,994

 
 
 
 
 
 
 
 
Residential MBS:
 
 
 
 
 
 
 
GSE
10,086

 
572

 
(10
)
 
10,648

Government-guaranteed
2,167

 
88

 
—

 
2,255

Private-label
64

 
5

 
—

 
69

Total Residential MBS
12,317

 
665

 
(10
)
 
12,972

Total
$
18,411

 
$
1,058

 
$
(20
)
 
$
19,449

 
 
 
 
 
 
 
 
As of December 31, 2014
 
 
 
 
 
 
 
U.S. Government & other government related
$
479

 
$
29

 
$
—

 
$
508

State or local housing agency
3

 
—

 
—

 
3

FFELP ABS
5,824

 
408

 
(11
)
 
6,221

 
 
 
 
 
 
 
 
Residential MBS:
 
 
 
 
 
 
 
GSE
10,285

 
550

 
(8
)
 
10,827

Government-guaranteed
2,258

 
87

 
—

 
2,345

Private-label
66

 
5

 
—

 
71

Total Residential MBS
12,609

 
642

 
(8
)
 
13,243

Total
$
18,915

 
$
1,079

 
$
(19
)
 
$
19,975



We had no sales of AFS securities for the periods presented.


14
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Amortized Cost Basis, Carrying Amount, and Fair Value - Held-to-Maturity Securities (HTM)

 
Amortized
Cost Basis
 
Non-credit OTTI Recognized in AOCI (Loss)
 
Carrying
Amount
 
Gross
Unrecognized
Holding 
Gains
 
Gross
Unrecognized
Holding 
(Losses)
 
Fair Value
As of March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
U.S. Government & other government related
$
1,482

 
$
—

 
$
1,482

 
$
83

 
$
—

 
$
1,565

State or local housing agency
17

 
—

 
17

 
—

 
—

 
17

 
 
 
 
 
 
 
 
 
 
 
 
Residential MBS:
 
 
 
 
 
 
 
 
 
 
 
GSE
2,607

 
—

 
2,607

 
200

 
—

 
2,807

Government-guaranteed
1,097

 
—

 
1,097

 
28

 
—

 
1,125

Private-label
1,271

 
(251
)
 
1,020

 
399

 
(1
)
 
1,418

Total Residential MBS
4,975

 
(251
)
 
4,724

 
627

 
(1
)
 
5,350

Total
$
6,474

 
$
(251
)
 
$
6,223

 
$
710

 
$
(1
)
 
$
6,932

 
 
 
 
 
 
 
 
 
 
 
 
As of December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
U.S. Government & other government related
$
2,222

 
$
—

 
$
2,222

 
$
76

 
$
(1
)
 
$
2,297

State or local housing agency
18

 
—

 
18

 
—

 
—

 
18

 
 
 
 
 
 
 
 
 
 
 
 
Residential MBS:
 
 
 
 
 
 
 
 
 
 
 
GSE
2,695

 
—

 
2,695

 
189

 
—

 
2,884

Government-guaranteed
1,129

 
—

 
1,129

 
28

 
—

 
1,157

Private-label
1,318

 
(264
)
 
1,054

 
415

 
(1
)
 
1,468

Total Residential MBS
5,142

 
(264
)
 
4,878

 
632

 
(1
)
 
5,509

Total
$
7,382

 
$
(264
)
 
$
7,118

 
$
708

 
$
(2
)
 
$
7,824



We had no sales of HTM securities for the periods presented.


15
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Aging of Unrealized Temporary Losses

The following tables present unrealized temporary losses on our AFS and HTM portfolio for periods less than 12 months and for 12 months or more. We recognized no OTTI charges on these unrealized loss positions because we expect to recover the entire amortized cost basis, we do not intend to sell these securities, and we believe it is more likely than not that we will not be required to sell them prior to recovering their amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported.


Available-for-Sale Securities

 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair Value
 
Gross Unrealized Losses
 
Fair Value
 
Gross Unrealized Losses
 
Fair Value
 
Gross Unrealized Losses
As of March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
U.S. Government & other government related
$
49

 
$
(1
)
 
$
—

 
$
—

 
$
49

 
$
(1
)
FFELP ABS
12

 
—

 
858

 
(9
)
 
870

 
(9
)
 
 
 
 
 

 
 
 
 
 
 
Residential MBS:
 
 
 
 

 
 
 
 
 
 
GSE
—

 
—

 
1,900

 
(10
)
 
1,900

 
(10
)
Private-label
—

 
—

 
16

 
—

 
16

 
—

Total Residential MBS
—

 
—

 
1,916

 
(10
)
 
1,916

 
(10
)
Total
$
61

 
$
(1
)
 
$
2,774

 
$
(19
)
 
$
2,835

 
$
(20
)
 
 
 
 
 
 
 
 
 
 
 
 
As of December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
U.S. Government & other government related
$
48

 
$
—

 
$
—

 
$
—

 
$
48

 
$
—

State or local housing agency
3

 
—

 
—

 
—

 
3

 
—

FFELP ABS
14

 
—

 
877

 
(11
)
 
891

 
(11
)
 
 
 
 
 
 
 
 
 
 
 
 
Residential MBS:
 
 
 
 
 
 
 
 
 
 
 
GSE
—

 
—

 
1,996

 
(8
)
 
1,996

 
(8
)
Private-label
—

 
—

 
16

 
—

 
16

 
—

Total Residential MBS
—

 
—

 
2,012

 
(8
)
 
2,012

 
(8
)
Total
$
65

 
$
—

 
$
2,889

 
$
(19
)
 
$
2,954

 
$
(19
)




16
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Held-to-Maturity Securities

 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair Value
 
Gross Unrealized Losses
 
Fair Value
 
Gross Unrealized Losses
 
Fair Value
 
Gross Unrealized Losses
As of March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
U.S. Government & other government related
$
1

 
$
—

 
$
15

 
$
—

 
$
16

 
$
—

State or local housing agency
10

 
—

 
—

 
—

 
10

 
—

 
 
 
 
 
 
 
 
 
 
 
 
Residential MBS:
 
 
 
 
 
 
 
 
 
 
 
GSE
—

 
—

 
5

 
—

 
5

 
—

Private-label
10

 
—

 
1,341

 
(252
)
 
1,351

 
(252
)
Total Residential MBS
10

 
—

 
1,346

 
(252
)
 
1,356

 
(252
)
Total
$
21

 
$
—

 
$
1,361

 
$
(252
)
 
$
1,382

 
$
(252
)
 
 
 
 
 
 
 
 
 
 
 
 
As of December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
U.S. Government & other government related
$
13

 
$
—

 
$
5

 
$
(1
)
 
$
18

 
$
(1
)
State or local housing agency
10

 
—

 
—

 
—

 
10

 
—

 
 
 
 
 
 
 
 
 
 
 
 
Residential MBS:
 
 
 
 
 
 
 
 
 
 
 
GSE
—

 
—

 
5

 
—

 
5

 
—

Private-label
12

 
—

 
1,384

 
(265
)
 
1,396

 
(265
)
Total Residential MBS
12

 
—

 
1,389

 
(265
)
 
1,401

 
(265
)
Total
$
35

 
$
—

 
$
1,394

 
$
(266
)
 
$
1,429

 
$
(266
)



Contractual Maturity Terms

The table below presents the amortized cost basis and fair value of AFS and HTM securities by contractual maturity, excluding ABS and MBS securities. These securities are excluded because their expected maturities may differ from their contractual maturities if borrowers of the underlying loans elect to prepay their loans.

 
 
Available-for-Sale
 
Held-to-Maturity
As of March 31, 2015
 
Amortized Cost Basis
 
Carrying Amount and Fair Value
 
Carrying Amount
 
Fair 
Value
Year of Maturity -
 
 
 
 
 
 
 
 
Due in one year or less
 
$
—

 
$
—

 
$
117

 
$
117

Due after one year through five years
 
81

 
86

 
71

 
73

Due after five years through ten years
 
2

 
2

 
358

 
374

Due after ten years
 
371

 
395

 
953

 
1,018

ABS and MBS without a single maturity date
 
17,957

 
18,966

 
4,724

 
5,350

Total securities
 
$
18,411

 
$
19,449

 
$
6,223

 
$
6,932





17
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Other-Than-Temporary Impairment Analysis

Significant Inputs Used to Determine OTTI

Our analysis for OTTI on our private-label MBS includes key modeling assumptions, significant inputs, and methodologies provided by an FHLB System OTTI Committee. We use the information provided to generate cash flow projections used in analyzing credit losses and determining OTTI for private-label MBS. The OTTI Committee was formed by the FHLBs to achieve consistency among the FHLBs in their analyses of the OTTI of private-label MBS. We are responsible for making our own determination of impairment, which includes determining the reasonableness of assumptions, significant inputs, and methodologies used, and performing the required present value calculations using appropriate historical cost bases and yields.

As of March 31, 2015, we had a short-term housing price forecast with projected changes ranging from -3.0% to +8.0% over the twelve month period beginning January 1, 2015 for all markets. For the vast majority of markets, the short-term forecast has changes ranging from +1.0% to +5.0%.  Previously, long-term home price projections following the short-term period were projected to recover using one of five different recovery paths. Starting with the second quarter of 2014, a unique path was projected for each geographic area based on an internally developed framework derived from historical data.

Based on these inputs and assumptions, we had no OTTI charges for the three months ended March 31, 2015, and 2014.

The following table presents the changes in the cumulative amount of credit losses (recognized into earnings) on OTTI investment securities for the periods stated.

 
 
Three months ended March 31,
 
 
2015
 
2014
Beginning Balance
 
$
620

 
$
677

Reductions:
 

 

Increases in cash flows expected to be collected that have been recognized as accretion income into interest income
 
(15
)
 
(14
)
Ending Balance
 
$
605

 
$
663



18
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Note 6 – Advances

We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. The following table presents our advances by callable/putable features:

As of
 
March 31, 2015
 
December 31, 2014
Noncallable/nonputable
 
$
29,093

 
$
29,666

Callable
 
961

 
964

Putable
 
1,643

 
1,673

Total par value
 
31,697

 
32,303

Hedging adjustments
 
223

 
166

Other adjustments
 
21

 
16

Total advances
 
$
31,941

 
$
32,485



The following table presents our advances by redemption terms:

As of March 31, 2015
 
Amount  
 
Weighted Average Interest Rate
 
Next Maturity or Call Date  
 
Next Maturity or Put Date  
Due in one year or less
 
$
6,628

 
0.51
%
 
$
7,540

 
$
7,834

One to two years
 
2,568

 
2.15
%
 
2,368

 
2,112

Two to three years
 
4,369

 
1.09
%
 
3,984

 
3,730

Three to four years
 
8,989

 
0.33
%
a 
8,689

 
8,908

Four to five years
 
6,861

 
0.29
%
a 
6,839

 
6,872

More than five years
 
2,282

 
2.31
%
 
2,277

 
2,241

Total par value
 
$
31,697

 
0.75
%
 
$
31,697

 
$
31,697

a 
The weighted average interest rate is relatively lower when compared to other categories due to a majority of advances in this category consisting of variable rate advances which reset periodically at current interest rates.


We lend to members within our district according to federal statutes, including the FHLB Act, and FHFA regulations. The FHLB Act requires us to obtain sufficient collateral to fully secure our advances, and we do not expect to incur any credit losses on advances. We perfect our security interest in pledged collateral and enter into control agreements for securities collateral. We take a risk-based approach in requiring delivery of pledged collateral. We have policies and procedures in place that are designed to manage our credit risk, including requirements for restrictions on borrowing, verifications of collateral and monitoring of borrowings and the borrower's financial condition. Based on the collateral pledged as security for advances and our credit analyses of our borrowers' financial condition and our credit extension and collateral policies, we expect to collect all amounts due according to the contractual terms of our advances. See Note 8 - Allowance for Credit Losses for information related to our credit risk on advances and allowance methodology for credit losses.


19
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Note 7 – MPF Loans

The following table presents information on MPF Loans held in our portfolio by contractual maturity at the time of purchase. All are fixed-rate. Government is comprised of loans insured by the FHA and loans guaranteed by the VA, HUD or RHS.

As of
 
March 31, 2015
 
December 31, 2014
Medium term (15 years or less)
 
$
971

 
$
1,094

Long term (greater than 15 years)
 
4,692

 
4,905

Total unpaid principal balance
 
5,663

 
5,999

Net premiums, credit enhancement and deferred loan fees
 
22

 
23

Hedging adjustments
 
47

 
50

Total before allowance for credit losses
 
5,732

 
6,072

Allowance for credit losses on MPF Loans
 
(4
)
 
(15
)
Total MPF Loans held in portfolio, net
 
$
5,728

 
$
6,057

 
 
 
 
 
Conventional mortgage loans
 
$
4,323

 
$
4,619

Government insured mortgage loans
 
1,340

 
1,380

Total unpaid principal balance
 
$
5,663

 
$
5,999



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

In addition to our portfolio MPF products, PFIs sell eligible MPF Loans to us through the MPF Program infrastructure and we concurrently sell them to Fannie Mae under the MPF Xtra product and to third party investors under the MPF Direct product. Under our MPF Government MBS product, PFIs sell us Government Loans that we intend to hold in our portfolio for a short period of time until such loans are pooled into Ginnie Mae MBS. Other MPF Banks that offer these three products allow their PFIs to sell MPF Loans directly to us. For the period ending March 31, 2015, we held an immaterial amount of MPF Loans held for sale, recorded in Other Assets in our statements of condition. See Note 2 - Summary of Significant Accounting Policies for information related to our accounting for MPF Loans that are held for sale.

20
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Note 8 – Allowance for Credit Losses

We have established an allowance methodology for each of our portfolio segments:

•member credit products (advances, letters of credit and other extensions of credit to borrowers);
•conventional MPF Loans held for portfolio;
•government MPF Loans held for portfolio; and
•term Federal Funds sold and term securities purchased under agreements to resell.

For detailed information on these methodologies and our accounting policies please see Note 8 - Allowance for Credit Losses to the financial statements in our 2014 Form 10-K. Any updates to these accounting policies are noted below.

Member Credit Products

For the periods presented, we had no credit products that were past due, on nonaccrual status, or considered impaired. In addition, there have been no troubled debt restructurings related to our credit products during the periods then ended. Based upon the collateral we held as security, our credit extension and collateral policies, our credit analysis and the repayment history on credit products, we do not believe that any credit losses have been incurred on our credit products; accordingly, we have not recorded any allowance for credit losses for our credit products. Additionally, no liability was recorded to reflect an allowance for credit losses for our credit products with off-balance sheet credit exposures.

Conventional MPF Loans
MPF Risk Sharing Structure

We share the risk of credit losses on conventional MPF Loan products held in portfolio with our PFIs by structuring potential losses on conventional MPF Loans into layers with respect to each master commitment (MC). The credit risk analysis determines the degree to which layers of the MPF Risk Sharing Structure are available to recover losses on MPF Loans. PFIs deliver MPF Loans into pools designated by product specific MCs. The credit risk analysis is performed at an individual MC level as loss recovery is MC-specific and no risk layer can be applied across a PFI's MCs. With respect to participation interests in MPF Loans, losses are allocated amongst the participating MPF Banks pro-ratably based upon their respective percentage participation interest in the related MC. For further detail of our MPF Risk Sharing Structure see page F-31 in our 2014 Form 10-K.

The following table presents the changes in the allowance for credit losses on conventional MPF Loans.

 
 
For the three months ended
 
 
March 31, 2015
 
March 31, 2014
Balance, beginning of period
 
$
15

 
$
29

Losses charged to the allowance
 
(11
)
 
(2
)
Provision for (reversal of) credit losses
 
—

 
(3
)
Balance, end of period
 
$
4

 
$
24



The following table presents the recorded investment by impairment methodology on conventional MPF Loans.

As of
 
March 31, 2015
 
December 31, 2014
Specifically identified and individually evaluated for impairment
 
$
—

 
$
12

Homogeneous pools of loans and collectively evaluated for impairment
 
4

 
3

Allowance for credit losses on conventional MPF Loans
 
$
4

 
$
15

 
 
 
 
 
Individually evaluated for impairment
 
$
144

 
$
160

Collectively evaluated for impairment
 
4,252

 
4,538

Total recorded investment
 
$
4,396

 
$
4,698




21
Federal Home Loan Bank of Chicago
Notes to Financial Statements - (Unaudited)
(Dollars in millions except per share amounts unless otherwise indicated)

Government MPF Loans Held in Portfolio

The PFI provides and maintains insurance or a guaranty from governmental agencies, which includes ensuring compliance with all of their requirements, and obtaining the benefit of the applicable insurance or guaranty with respect to defaulted government MPF Loans. Any losses incurred on government MPF Loans that are not recovered from the government insurer or guarantor are absorbed by the servicing PFI. Accordingly, our credit risk on government MPF Loans is limited to whether or not the servicing PFI fails to pay for losses not covered by FHA insurance, or VA, HUD or RHS guarantees. In this regard, based on our assessment of the servicing PFIs, we did not establish an allowance for credit losses for our government MPF Loan portfolio as of the periods presented. Further, due to the government guarantee or insurance and the servicing PFIs ability to absorb losses, government MPF Loans are not placed on nonaccrual status or disclosed as troubled debt restructurings.


Credit Quality Indicators - MPF Loans

The table below summarizes our recorded investment in MPF Loans by our key credit quality indicators. Serious delinquency rate is defined as 90 days or more past due or in the process of foreclosure, as a percentage of the total recorded investment. Past due 90 days or more still accruing interest is defined as MPF Loans that are either government guaranteed or conventional mortgage loans that are well secured (by collateral that have a realizable value sufficient to discharge the debt or by the guarantee or insurance, such as PMI, of a financially responsible party) and in the process of collection.

 
 
March 31, 2015
 
December 31, 2014
 
As of
 
Conventional
 
Government
 
Total
 
Conventional
 
Government
 
Total
 
Past due 30-59 days
 
$
114

 
$
74

 
$
188

 
$
138

 
$
92

 
$
230

 
Past due 60-89 days
 
37

 
20

 
57

 
43

 
23

 
66

 
Past due 90 days or more
 
133

 
42

 
175

 
153

 
44

 
197

 
Total past due
 
284

 
136

 
420

 
334

 
159

 
493

 
Total current
 
4,112

 
1,229

 
5,341

 
4,364

 
1,246

 
5,610

 
Total recorded investment
 
$
4,396

 
$
1,365

 
$
5,761

 
$
4,698

 
$
1,405

 
$
6,103