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EX-32.1 - CERTIFICATION 906 CEO - Federal Home Loan Bank of Bostonex321_q12016.htm
EX-31.2 - CERTIFICATION 302 CFO - Federal Home Loan Bank of Bostonex312_q12016.htm
EX-32.2 - CERTIFICATION 906 CFO - Federal Home Loan Bank of Bostonex322_q12016.htm
EX-31.1 - CERTIFICATION 302 CEO - Federal Home Loan Bank of Bostonex311_q12016.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, 2016
OR
 
o
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission File Number: 000-51402
––––––––––––––––––––––––––––––––––––––––––––––––––––––––––
FEDERAL HOME LOAN BANK OF BOSTON
(Exact name of registrant as specified in its charter) 
 
Federally chartered corporation
(State or other jurisdiction of incorporation or organization)
 
04-6002575
(I.R.S. employer identification number)
 
 
 
 
 
 
 
800 Boylston Street
Boston, MA
(Address of principal executive offices)
 
02199
(Zip code)
 
 (617) 292-9600
(Registrant's telephone number, including area code)
 
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  o No
 
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). x Yes  o No
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” 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).  o 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
April 30, 2016
Class A Stock, par value $100
 
zero
Class B Stock, par value $100
 
23,999,287




Federal Home Loan Bank of Boston
Form 10-Q
Table of Contents

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 



2


PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS
FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CONDITION
(dollars and shares in thousands, except par value)
(unaudited)
 
March 31, 2016
 
December 31, 2015
ASSETS
 
 
 
Cash and due from banks
$
66,858

 
$
254,218

Interest-bearing deposits
291

 
197

Securities purchased under agreements to resell
7,024,000

 
6,700,000

Federal funds sold
3,490,000

 
2,120,000

Investment securities:
 
 
 

Trading securities
227,777

 
230,134

Available-for-sale securities - includes $19,306 and $22,822 pledged as collateral at March 31, 2016, and December 31, 2015, respectively that may be repledged
7,043,097

 
6,314,285

Held-to-maturity securities - includes $40,262 and $42,703 pledged as collateral at March 31, 2016, and December 31, 2015, respectively that may be repledged (a)
2,534,100

 
2,654,565

Total investment securities
9,804,974

 
9,198,984

Advances
34,524,912

 
36,076,167

Mortgage loans held for portfolio, net of allowance for credit losses of $1,025 at both March 31, 2016, and December 31, 2015
3,575,262

 
3,581,788

Accrued interest receivable
79,644

 
84,442

Premises, software, and equipment, net
3,359

 
3,360

Derivative assets, net
52,036

 
40,117

Other assets
47,710

 
43,396

Total Assets
$
58,669,046

 
$
58,102,669

LIABILITIES
 

 
 

Deposits
 
 
 
Interest-bearing
$
534,590

 
$
458,513

Non-interest-bearing
28,032

 
24,089

Total deposits
562,622

 
482,602

Consolidated obligations (COs):
 
 
 

Bonds
27,961,818

 
25,427,277

Discount notes
26,358,590

 
28,479,097

Total consolidated obligations
54,320,408

 
53,906,374

Mandatorily redeemable capital stock
35,244

 
41,989

Accrued interest payable
93,158

 
81,268

Affordable Housing Program (AHP) payable
83,147

 
82,081

Derivative liabilities, net
485,512

 
442,007

Other liabilities
39,525

 
43,435

Total liabilities
55,619,616

 
55,079,756

Commitments and contingencies (Note 18)


 


CAPITAL
 

 
 

Capital stock – Class B – putable ($100 par value), 23,010 shares and 23,367 shares issued and outstanding at March 31, 2016, and December 31, 2015, respectively
2,301,039

 
2,336,662

Retained earnings:
 
 
 
Unrestricted
938,287

 
934,214

Restricted
200,534

 
194,634

Total retained earnings
1,138,821

 
1,128,848

Accumulated other comprehensive loss
(390,430
)
 
(442,597
)
Total capital
3,049,430

 
3,022,913

Total Liabilities and Capital
$
58,669,046

 
$
58,102,669

_______________________________________
(a)   Fair values of held-to-maturity securities were $2,764,645 and $2,923,124 at March 31, 2016, and December 31, 2015, respectively.

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


3


FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF OPERATIONS
(dollars in thousands)
(unaudited)
 
For the Three Months Ended March 31,
 
2016
 
2015
INTEREST INCOME
 
 
 
Advances
$
78,219

 
$
57,408

Prepayment fees on advances, net
2,069

 
3,742

Securities purchased under agreements to resell
3,193

 
803

Federal funds sold
5,616

 
1,627

Investment securities:
 
 
 
Trading securities
2,236

 
2,318

Available-for-sale securities
25,145

 
20,572

Held-to-maturity securities
22,170

 
24,871

Prepayment fees on investments
325

 
163

Total investment securities
49,876

 
47,924

Mortgage loans held for portfolio
31,076

 
31,051

Other
107

 
11

Total interest income
170,156

 
142,566

INTEREST EXPENSE
 
 
 
Consolidated obligations:
 
 
 
Bonds
90,860

 
82,241

Discount notes
22,697

 
5,513

Total consolidated obligations
113,557

 
87,754

Deposits
115

 
14

Mandatorily redeemable capital stock
379

 
335

Other borrowings
1

 

Total interest expense
114,052

 
88,103

NET INTEREST INCOME
56,104

 
54,463

Provision (reduction of provision) for credit losses
11

 
(60
)
NET INTEREST INCOME AFTER PROVISION (REDUCTION OF PROVISION) FOR CREDIT LOSSES
56,093

 
54,523

OTHER INCOME (LOSS)
 
 
 
Total other-than-temporary impairment losses on investment securities
(442
)
 
(224
)
Net amount of impairment losses reclassified from accumulated other comprehensive loss
(905
)
 
(122
)
Net other-than-temporary impairment losses on investment securities, credit portion
(1,347
)
 
(346
)
Litigation settlements

 
23

Loss on early extinguishment of debt
(558
)
 

Service fees
1,968

 
1,919

Net unrealized gains on trading securities
1,873

 
1,281

Net losses on derivatives and hedging activities
(6,235
)
 
(3,359
)
Other
(38
)
 
(119
)
Total other loss
(4,337
)
 
(601
)
OTHER EXPENSE
 
 
 
Compensation and benefits
10,327

 
9,433

Other operating expenses
5,252

 
4,853

Federal Housing Finance Agency (the FHFA)
1,003

 
1,020

Office of Finance
816

 
691

Other
1,536

 
587

Total other expense
18,934

 
16,584

INCOME BEFORE ASSESSMENTS
32,822

 
37,338

AHP
3,320

 
3,767

NET INCOME
$
29,502

 
$
33,571

 

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

4


FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF COMPREHENSIVE INCOME
(dollars in thousands)
(unaudited)

 
 
For the Three Months Ended March 31,
 
 
2016
 
2015
Net income
 
$
29,502

 
$
33,571

Other comprehensive income:
 
 
 
 
Net unrealized gains on available-for-sale securities
 
51,830

 
20,589

Net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities
 
 
 
 
Net amount of impairment losses reclassified to non-interest income
 
905

 
122

Accretion of noncredit portion
 
9,141

 
11,463

Total net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities
 
10,046

 
11,585

Net unrealized gains (losses) relating to hedging activities
 
 
 
 
Unrealized losses
 
(17,039
)
 
(12,143
)
Reclassification adjustment for previously deferred hedging gains and losses included in net income
 
7,211

 
4,896

Total net unrealized losses relating to hedging activities
 
(9,828
)
 
(7,247
)
Pension and postretirement benefits
 
119

 
230

Total other comprehensive income
 
52,167

 
25,157

Comprehensive income
 
$
81,669

 
$
58,728


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

5



FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CAPITAL
THREE MONTHS ENDED MARCH 31, 2016 AND 2015
(dollars and shares in thousands)
(unaudited)


 
 
 
 
 
 
 
 
 
Capital Stock Class B – Putable
 
Retained Earnings
 
Accumulated Other Comprehensive Loss
 
 
 
Shares
 
Par Value
 
Unrestricted
 
Restricted
 
Total
 
 
Total
Capital
BALANCE, DECEMBER 31, 2014
24,131

 
$
2,413,114

 
$
764,888

 
$
136,770

 
$
901,658

 
$
(436,986
)
 
$
2,877,786

Proceeds from sale of capital stock
367

 
36,713

 
 
 
 
 
 
 
 
 
36,713

Repurchase of capital stock
(94
)
 
(9,441
)
 
 
 
 
 
 
 
 
 
(9,441
)
Comprehensive income
 
 
 
 
26,857

 
6,714

 
33,571

 
25,157

 
58,728

Cash dividends on capital stock
 
 
 
 
(10,484
)
 
 
 
(10,484
)
 
 
 
(10,484
)
BALANCE, MARCH 31, 2015
24,404

 
$
2,440,386

 
$
781,261

 
$
143,484

 
$
924,745

 
$
(411,829
)
 
$
2,953,302

 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, DECEMBER 31, 2015
23,367

 
$
2,336,662

 
$
934,214

 
$
194,634

 
$
1,128,848

 
$
(442,597
)
 
$
3,022,913

Proceeds from sale of capital stock
697

 
69,730

 
 
 
 
 
 
 
 
 
69,730

Repurchase of capital stock
(1,053
)
 
(105,313
)
 
 
 
 
 
 
 
 
 
(105,313
)
Shares reclassified to mandatorily redeemable capital stock
(1
)
 
(40
)
 
 
 
 
 
 
 
 
 
(40
)
Comprehensive income
 
 
 
 
23,602

 
5,900

 
29,502

 
52,167

 
81,669

Cash dividends on capital stock
 
 
 
 
(19,529
)
 
 
 
(19,529
)
 
 
 
(19,529
)
BALANCE, MARCH 31, 2016
23,010

 
$
2,301,039

 
$
938,287

 
$
200,534

 
$
1,138,821

 
$
(390,430
)
 
$
3,049,430


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

6



FEDERAL HOME LOAN BANK OF BOSTON
STATEMENTS OF CASH FLOWS
(dollars in thousands)
(unaudited)


 
For the Three Months Ended March 31,
 
2016
 
2015
OPERATING ACTIVITIES
 

 
 

Net income
$
29,502

 
$
33,571

Adjustments to reconcile net income to net cash provided by operating activities:
 

 
 
Depreciation and amortization
(8,153
)
 
(14,503
)
Provision (reduction of provision) for credit losses
11

 
(60
)
Change in net fair-value adjustments on derivatives and hedging activities
6,317

 
(4,533
)
Net other-than-temporary impairment losses on investment securities, credit portion
1,347

 
346

Loss on early extinguishment of debt
558

 

Other adjustments
656

 
(215
)
Net change in:
 

 
 
Market value of trading securities
(1,873
)
 
(1,281
)
Accrued interest receivable
4,798

 
3,002

Other assets
(1,190
)
 
(1,740
)
Accrued interest payable
11,890

 
3,220

Other liabilities
(3,217
)
 
(2,859
)
Total adjustments
11,144

 
(18,623
)
Net cash provided by operating activities
40,646

 
14,948

 
 
 
 
INVESTING ACTIVITIES
 

 
 

Net change in:
 

 
 

Interest-bearing deposits
(87,084
)
 
(17,545
)
Securities purchased under agreements to resell
(324,000
)
 
(850,000
)
Federal funds sold
(1,370,000
)
 
195,000

Premises, software, and equipment
(385
)
 
(360
)
Trading securities:
 

 
 

Proceeds from long-term
4,231

 
2,811

Available-for-sale securities:
 

 
 

Proceeds from long-term
216,181

 
163,177

Purchases of long-term
(850,766
)
 
(307,641
)
Held-to-maturity securities:
 

 
 

Proceeds from long-term
134,411

 
236,394

Advances to members:
 

 
 

Proceeds
88,178,413

 
79,227,842

Disbursements
(86,556,909
)
 
(76,920,494
)
Mortgage loans held for portfolio:
 

 
 

Proceeds
106,852

 
123,501

Purchases
(102,896
)
 
(183,804
)
Proceeds from sale of foreclosed assets
1,595

 
1,815

Net cash (used in) provided by investing activities
(650,357
)
 
1,670,696

 
 
 
 
FINANCING ACTIVITIES
 

 
 

Net change in deposits
79,270

 
62,272

Net payments on derivatives with a financing element
(3,386
)
 
(4,005
)
Net proceeds from issuance of consolidated obligations:
 

 
 

Discount notes
36,534,002

 
39,585,987


7


Bonds
5,722,758

 
2,294,807

Payments for maturing and retiring consolidated obligations:
 

 
 

Discount notes
(38,657,232
)
 
(41,444,374
)
Bonds
(3,191,164
)
 
(2,381,915
)
Proceeds from issuance of capital stock
69,730

 
36,713

Payments for redemption of mandatorily redeemable capital stock
(6,785
)
 
(241,318
)
Payments for repurchase of capital stock
(105,313
)
 
(9,441
)
Cash dividends paid
(19,529
)
 
(10,484
)
Net cash provided by (used in) financing activities
422,351

 
(2,111,758
)
Net decrease in cash and due from banks
(187,360
)
 
(426,114
)
Cash and due from banks at beginning of the year
254,218

 
1,124,536

Cash and due from banks at end of the period
$
66,858

 
$
698,422

Supplemental disclosures:
 
 
 
Interest paid
$
112,927

 
$
105,776

AHP payments
$
1,990

 
$
4,589

Noncash transfers of mortgage loans held for portfolio to real-estate-owned (REO)
$
721

 
$
2,433


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

8



FEDERAL HOME LOAN BANK OF BOSTON
NOTES TO FINANCIAL STATEMENTS

Note 1 — Basis of Presentation

The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information. Accordingly, they do not include all of the information and footnotes required by GAAP for complete annual financial statements. In the opinion of management, all adjustments considered necessary have been included. All such adjustments consist of normal recurring accruals. The presentation of financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The results of operations for interim periods are not necessarily indicative of the results to be expected for the year ending December 31, 2016. The unaudited financial statements should be read in conjunction with the Federal Home Loan Bank of Boston's audited financial statements and related notes in our Annual Report on Form 10-K for the year ended December 31, 2015, filed with the Securities and Exchange Commission (the SEC) on March 18, 2016 (the 2015 Annual Report). Unless otherwise indicated or the context requires otherwise, all references in this discussion to “the Bank,” "we," "us," "our," or similar references mean the Federal Home Loan Bank of Boston.

Note 2 — Recently Issued and Adopted Accounting Guidance

Contingent Put and Call Options in Debt Instruments (a consensus of the Emerging Issues Task Force). On March 14, 2016, the Financial Accounting Standards Board (FASB) issued updated guidance to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. Specifically, the updated guidance clarifies what steps are required when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts, which is one of the criteria for bifurcating an embedded derivative. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. The guidance becomes effective for us for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. We are in the process of evaluating this guidance and its effect on our financial condition, results of operations, and cash flows.

Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships (a consensus of the Emerging Issues Task Force). On March 10, 2016, the FASB issued final guidance clarifying that the novation of a derivative contract (that is, a change in the counterparty) in a hedge accounting relationship does not, in and of itself, require de-designation of that hedge accounting relationship. Hedge accounting relationships could continue as long as all of the other hedge accounting criteria are met, including the expectation that the hedge will be highly effective when the creditworthiness of the new counterparty to the derivative contract is considered. The guidance becomes effective for us for the interim and annual periods beginning on January 1, 2017, and early adoption is permitted. We elected to early adopt the guidance prospectively on January 1, 2016. The adoption of this guidance had no effect on our financial condition, results of operations, and cash flows.

Leases. On February 25, 2016, the FASB issued guidance which requires recognition of lease assets and lease liabilities on the statement of condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee, of operating or finance leases, to recognize on the statement of condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the statement of condition. The guidance becomes effective for us for the interim and annual periods beginning on January 1, 2019, and early application is permitted. We are in the process of evaluating this guidance and its effect on our financial condition, results of operations, and cash flows.

Revenue from Contracts with Customers. On May 28, 2014, the FASB issued its guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, or lease contracts. The guidance provides the entities with the option of using the following two methods upon adoption: a full retrospective method, retrospectively to each prior reporting period presented; or a transition method, retrospectively with the cumulative effect of initially applying this guidance recognized at the date of initial application.


9


On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. In 2016, the FASB has issued additional amendments to clarify certain aspects of the new revenue guidance. However, the amendments do not change the core principle in the new revenue standard. The guidance is effective for us for interim and annual periods beginning on January 1, 2018. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016. We are in the process of evaluating this guidance and its effect on our financial condition, results of operations, and cash flows.

Accounting for Cloud Computing Arrangements. On April 15, 2015, the FASB issued amendments to clarify a customer's accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. We adopted this new guidance on January 1, 2016, using the prospective approach, for all arrangements entered into or materially modified after the adoption date. The adoption of this new guidance did not have a material impact on our financial condition, results of operations, and cash flows.

Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the statement of condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The guidance became effective for us for the interim and annual periods beginning on January 1, 2016, and was adopted retrospectively. The adoption of this guidance resulted in a $6.1 million reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the statement of condition at December 31, 2015. The adoption of this guidance did not have any effect on our results of operations and cash flows.

Note 3 — Trading Securities

Major Security Types. Our trading securities as of March 31, 2016, and December 31, 2015, were (dollars in thousands):
 
March 31, 2016
 
December 31, 2015
Mortgage-backed securities (MBS)
 

 
 
U.S. government-guaranteed – single-family
$
9,852

 
$
10,296

Government-sponsored enterprise (GSEs) – single-family
1,289

 
1,449

GSEs – multifamily
216,636

 
218,389

Total
$
227,777

 
$
230,134


Net unrealized gains on trading securities for the three months ended March 31, 2016 and 2015, amounted to $1.9 million and $1.3 million for securities held on March 31, 2016 and 2015, respectively.

We do not participate in speculative trading practices and typically hold these investments over a longer time horizon.

Note 4 — Available-for-Sale Securities

Major Security Types. Our available-for-sale securities as of March 31, 2016, were (dollars in thousands):


10


 
 
 
Amounts Recorded in Accumulated Other Comprehensive Loss
 
 
 
Amortized
Cost (1)
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
 Value
Supranational institutions
$
485,926

 
$

 
$
(32,827
)
 
$
453,099

U.S. government-owned corporations
346,223

 

 
(62,700
)
 
283,523

GSEs
142,063

 

 
(17,535
)
 
124,528

 
974,212

 

 
(113,062
)
 
861,150

MBS
 

 
 

 
 

 
 

U.S. government guaranteed – single-family
151,019

 
64

 
(2,442
)
 
148,641

U.S. government guaranteed – multifamily
731,687

 
1,381

 
(1,008
)
 
732,060

GSEs – single-family
4,840,075

 
33,252

 
(4,921
)
 
4,868,406

GSEs – multi-family
431,992

 
848

 

 
432,840

 
6,154,773

 
35,545

 
(8,371
)
 
6,181,947

Total
$
7,128,985

 
$
35,545

 
$
(121,433
)
 
$
7,043,097

_______________________
(1)
Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments.

Our available-for-sale securities as of December 31, 2015, were (dollars in thousands):
 
 
 
 
Amounts Recorded in Accumulated Other Comprehensive Loss
 
 
 
Amortized
Cost (1)
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
 Value
Supranational institutions
$
467,277

 
$

 
$
(28,364
)
 
$
438,913

U.S. government-owned corporations
323,404

 

 
(57,436
)
 
265,968

GSEs
133,691

 

 
(15,899
)
 
117,792

 
924,372

 

 
(101,699
)
 
822,673

MBS
 

 
 

 
 

 
 

U.S. government guaranteed – single-family
159,232

 
181

 
(2,771
)
 
156,642

U.S. government guaranteed – multifamily
747,205

 
430

 
(2,873
)
 
744,762

GSEs – single-family
4,621,194

 
6,248

 
(37,234
)
 
4,590,208

 
5,527,631

 
6,859

 
(42,878
)
 
5,491,612

Total
$
6,452,003

 
$
6,859

 
$
(144,577
)
 
$
6,314,285

_______________________
(1)
Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments.

The following table summarizes our available-for-sale securities with unrealized losses as of March 31, 2016, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands):

11


 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
Supranational institutions
$

 
$

 
$
453,099

 
$
(32,827
)
 
$
453,099

 
$
(32,827
)
U.S. government-owned corporations

 

 
283,523

 
(62,700
)
 
283,523

 
(62,700
)
GSEs

 

 
124,528

 
(17,535
)
 
124,528

 
(17,535
)
 

 

 
861,150

 
(113,062
)
 
861,150

 
(113,062
)
 
 
 
 
 
 
 
 
 
 
 
 
MBS
 

 
 

 
 

 
 

 
 

 
 

U.S. government guaranteed – single-family
38,072

 
(52
)
 
107,853

 
(2,390
)
 
145,925

 
(2,442
)
U.S. government guaranteed – multifamily
260,894

 
(442
)
 
101,685

 
(566
)
 
362,579

 
(1,008
)
GSEs – single-family
825,096

 
(2,927
)
 
476,238

 
(1,994
)
 
1,301,334

 
(4,921
)
 
1,124,062

 
(3,421
)
 
685,776

 
(4,950
)
 
1,809,838

 
(8,371
)
Total temporarily impaired
$
1,124,062

 
$
(3,421
)
 
$
1,546,926


$
(118,012
)

$
2,670,988


$
(121,433
)

The following table summarizes our available-for-sale securities with unrealized losses as of December 31, 2015, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands):

 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
Supranational institutions
$

 
$

 
$
438,913

 
$
(28,364
)
 
$
438,913

 
$
(28,364
)
U.S. government-owned corporations

 

 
265,968

 
(57,436
)
 
265,968

 
(57,436
)
GSEs

 

 
117,792

 
(15,899
)
 
117,792

 
(15,899
)
 

 

 
822,673

 
(101,699
)
 
822,673

 
(101,699
)
MBS
 

 
 

 
 

 
 

 
 

 
 

U.S. government guaranteed – single-family

 

 
113,626

 
(2,771
)
 
113,626

 
(2,771
)
U.S. government guaranteed – multifamily
537,059

 
(2,040
)
 
109,138

 
(833
)
 
646,197

 
(2,873
)
GSEs – single-family
3,113,057

 
(28,878
)
 
373,634

 
(8,356
)
 
3,486,691

 
(37,234
)
 
3,650,116

 
(30,918
)
 
596,398

 
(11,960
)
 
4,246,514

 
(42,878
)
Total temporarily impaired
$
3,650,116

 
$
(30,918
)
 
$
1,419,071

 
$
(113,659
)
 
$
5,069,187

 
$
(144,577
)

Redemption Terms. The amortized cost and fair value of our available-for-sale securities by contractual maturity at March 31, 2016, and December 31, 2015, were (dollars in thousands):

 
March 31, 2016
 
December 31, 2015
Year of Maturity
Amortized
Cost
 
Fair
 Value
 
Amortized
Cost
 
Fair
 Value
Due in one year or less
$

 
$

 
$

 
$

Due after one year through five years

 

 

 

Due after five years through 10 years
132,992

 
125,074

 
128,473

 
121,722

Due after 10 years
841,220

 
736,076

 
795,899

 
700,951

 
974,212

 
861,150

 
924,372

 
822,673

MBS (1)
6,154,773

 
6,181,947

 
5,527,631

 
5,491,612

Total
$
7,128,985

 
$
7,043,097

 
$
6,452,003

 
$
6,314,285

_______________________

12


(1)
MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees.

Note 5 — Held-to-Maturity Securities

Major Security Types. Our held-to-maturity securities as of March 31, 2016, were (dollars in thousands):

 
Amortized Cost
 
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss
 
Carrying Value
 
Gross Unrecognized Holding Gains
 
Gross Unrecognized Holding Losses
 
Fair Value
U.S. agency obligations
$
3,264

 
$

 
$
3,264

 
$
133

 
$

 
$
3,397

State or local housing-finance-agency obligations (HFA securities)
169,718

 

 
169,718

 
15

 
(23,112
)
 
146,621

 
172,982

 

 
172,982

 
148

 
(23,112
)
 
150,018

MBS
 

 
 

 
 

 
 

 
 

 
 

U.S. government guaranteed – single-family
15,171

 

 
15,171

 
312

 

 
15,483

U.S. government guaranteed – multifamily
13,334

 

 
13,334

 
16

 

 
13,350

GSEs – single-family
1,025,304

 

 
1,025,304

 
26,417

 
(165
)
 
1,051,556

GSEs – multifamily
370,568

 

 
370,568

 
21,343

 

 
391,911

Private-label – residential
1,141,403

 
(219,094
)
 
922,309

 
220,215

 
(14,166
)
 
1,128,358

Asset-backed securities (ABS) backed by home equity loans
15,076

 
(644
)
 
14,432

 
586

 
(1,049
)
 
13,969

 
2,580,856

 
(219,738
)
 
2,361,118

 
268,889

 
(15,380
)
 
2,614,627

Total
$
2,753,838

 
$
(219,738
)
 
$
2,534,100

 
$
269,037

 
$
(38,492
)
 
$
2,764,645


Our held-to-maturity securities as of December 31, 2015, were (dollars in thousands):
 
Amortized Cost
 
Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss
 
Carrying Value
 
Gross Unrecognized Holding Gains
 
Gross Unrecognized Holding Losses
 
Fair Value
U.S. agency obligations
$
3,605

 
$

 
$
3,605

 
$
180

 
$

 
$
3,785

HFA securities
170,928

 

 
170,928

 
18

 
(21,356
)
 
149,590

 
174,533

 

 
174,533

 
198

 
(21,356
)
 
153,375

MBS
 
 
 
 
 
 
 
 
 
 
 
U.S. government guaranteed – single-family
15,999

 

 
15,999

 
354

 

 
16,353

U.S. government guaranteed – multifamily
17,794

 

 
17,794

 
21

 
(7
)
 
17,808

GSEs – single-family
1,093,124

 

 
1,093,124

 
26,562

 
(142
)
 
1,119,544

GSEs – multifamily
386,635

 

 
386,635

 
18,118

 

 
404,753

Private-label – residential
1,180,661

 
(229,117
)
 
951,544

 
257,312

 
(12,262
)
 
1,196,594

ABS backed by home equity loans
15,604

 
(668
)
 
14,936

 
682

 
(921
)
 
14,697

 
2,709,817

 
(229,785
)
 
2,480,032

 
303,049

 
(13,332
)
 
2,769,749

Total
$
2,884,350

 
$
(229,785
)
 
$
2,654,565

 
$
303,247

 
$
(34,688
)
 
$
2,923,124


13



The following table summarizes our held-to-maturity securities with unrealized losses as of March 31, 2016, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands).
 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair
Value
 
Unrealized
Losses
 
Fair
 Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
HFA securities
$

 
$

 
$
143,628

 
$
(23,112
)
 
$
143,628

 
$
(23,112
)
 
 
 
 
 
 
 
 
 
 
 
 
MBS
 
 
 
 
 
 
 
 
 

 
 

GSEs – single-family
13,294

 
(9
)
 
15,852

 
(156
)
 
29,146

 
(165
)
Private-label – residential
163,911

 
(4,560
)
 
476,532

 
(55,076
)
 
640,443

 
(59,636
)
ABS backed by home equity loans
199

 
(29
)
 
12,676

 
(1,223
)
 
12,875

 
(1,252
)
 
177,404

 
(4,598
)
 
505,060

 
(56,455
)
 
682,464

 
(61,053
)
Total
$
177,404

 
$
(4,598
)
 
$
648,688

 
$
(79,567
)
 
$
826,092

 
$
(84,165
)

The following table summarizes our held-to-maturity securities with unrealized losses as of December 31, 2015, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position (dollars in thousands).
 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair
Value
 
Unrealized
Losses
 
Fair
 Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
HFA securities
$

 
$

 
$
146,594

 
$
(21,356
)
 
$
146,594

 
$
(21,356
)
 
 
 
 
 
 
 
 
 
 
 
 
MBS
 
 
 
 
 
 
 
 
 

 
 

U.S. government guaranteed - multifamily
5,842

 
(7
)
 

 

 
5,842

 
(7
)
GSEs – single-family
22,261

 
(6
)
 
16,417

 
(136
)
 
38,678

 
(142
)
Private-label – residential
105,318

 
(1,729
)
 
493,228

 
(45,051
)
 
598,546

 
(46,780
)
ABS backed by home equity loans
205

 
(16
)
 
13,348

 
(1,064
)
 
13,553

 
(1,080
)
 
133,626

 
(1,758
)
 
522,993

 
(46,251
)
 
656,619

 
(48,009
)
Total
$
133,626

 
$
(1,758
)
 
$
669,587

 
$
(67,607
)
 
$
803,213

 
$
(69,365
)

Redemption Terms. The amortized cost, carrying value, and fair value of our held-to-maturity securities by contractual maturity at March 31, 2016, and December 31, 2015, are shown below (dollars in thousands). Expected maturities of some securities and MBS may differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees.
 
March 31, 2016
 
December 31, 2015
Year of Maturity
Amortized
Cost
 
Carrying
Value (1)
 
Fair
Value
 
Amortized
Cost
 
Carrying
Value (1)
 
Fair
Value
Due in one year or less
$

 
$

 
$

 
$

 
$

 
$

Due after one year through five years
21,242

 
21,242

 
21,247

 
21,583

 
21,583

 
21,677

Due after five years through 10 years

 

 

 

 

 

Due after 10 years
151,740

 
151,740

 
128,771

 
152,950

 
152,950

 
131,698

 
172,982

 
172,982

 
150,018

 
174,533

 
174,533

 
153,375

MBS (2)
2,580,856

 
2,361,118

 
2,614,627

 
2,709,817

 
2,480,032

 
2,769,749

Total
$
2,753,838

 
$
2,534,100

 
$
2,764,645

 
$
2,884,350

 
$
2,654,565

 
$
2,923,124

_______________________

14


(1)
Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss.
(2)
MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees.

Note 6 — Other-Than-Temporary Impairment

We evaluate our individual available-for-sale and held-to-maturity securities for other-than-temporary impairment each quarter.

Available-for-Sale Securities

We determined that none of our available-for-sale securities were other-than-temporarily impaired at March 31, 2016. At March 31, 2016, we held certain available-for-sale securities in an unrealized loss position. These unrealized losses reflect the impact of normal yield and spread fluctuations attendant with security markets. We consider these unrealized losses temporary because we expect to recover the entire amortized cost basis on these available-for-sale securities in an unrealized loss position and neither intend to sell these securities nor is it more likely than not that we will be required to sell these securities before the anticipated recovery of each security's remaining amortized cost basis. Additionally, there have been no shortfalls of principal or interest on any available-for-sale security. Regarding available-for-sale securities that were in an unrealized loss position as of March 31, 2016:

Debentures issued by a supranational institution that were in an unrealized loss position as of March 31, 2016, are expected to return contractual principal and interest based on our review and analysis of independent third-party credit reports on the supranational institution, and the supranational institution's triple-A (or equivalent) rating by each of the nationally recognized statistical rating organizations (NRSROs) that rates it.

Debentures issued by U.S. government-owned corporations are not obligations of the U.S. government and not guaranteed by the U.S. government. However, these securities are rated at the same level as the U.S. government by the NRSROs. These ratings reflect the U.S. government's implicit support of the government-owned corporation as well as the entity's underlying business and financial risk.

The probability of default on debt issued by Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac) is remote given their status as GSEs and their support from the U.S. government.

The U.S. government-guaranteed securities that we hold are MBS issued by the Government National Mortgage Association (Ginnie Mae). The strength of Ginnie Mae's guarantees as a direct obligation from the U.S. government is sufficient to protect us from losses based on current expectations.

For MBS issued by Fannie Mae and Freddie Mac, which we sometimes refer to as agency MBS in this report, the strength of the issuers' guarantees through direct obligation or support from the U.S. government is sufficient to protect us from losses based on current expectations.

Held-to-Maturity Securities

HFA Securities. We have reviewed our investments in HFA securities and have determined that unrealized losses reflect the impact of normal market yield and spread fluctuations and illiquidity in the credit markets. We have determined that all unrealized losses are temporary given the creditworthiness of the issuers and the underlying collateral, including an assessment of past payment history (no shortfalls of principal or interest), property vacancy rates, debt service ratios, over-collateralization and other credit enhancement, and third-party bond insurance as applicable. As of March 31, 2016, none of our held-to-maturity investments in HFA securities that are in an unrealized loss position were rated below investment grade by an NRSRO. Because the decline in market value is attributable to changes in interest rates, credit spreads, and illiquidity in this market and not to a significant deterioration in the fundamental credit quality of these obligations, and because we do not intend to sell the investments nor is it more likely than not that we will be required to sell the investments before recovery of the amortized cost basis, we do not consider these investments to be other-than-temporarily impaired at March 31, 2016.

Agency MBS. For agency MBS, we determined that the strength of the issuers' guarantees through direct obligation or support from the U.S. government is sufficient to protect us from losses based on current expectations. Additionally, there have been no

15


shortfalls of principal or interest on any such security. As a result, we have determined that, as of March 31, 2016, all of the gross unrealized losses on such MBS are temporary. We do not believe that the declines in market value of these securities are attributable to credit quality, and because we do not intend to sell the investments, nor is it more likely than not that we will be required to sell the investments before recovery of the amortized cost basis, we do not consider any of these investments to be other-than-temporarily impaired at March 31, 2016.

Private-Label Residential MBS and ABS Backed by Home Equity Loans. To ensure consistency in determination of the other-than-temporary impairment for private-label residential MBS and certain home equity loan investments (including home equity ABS) among all FHLBanks, the FHLBanks use an FHLBank System governance committee (the OTTI Governance Committee) and a formal process to ensure consistency in key other-than-temporary impairment modeling assumptions used for purposes of their cash-flow analyses for the majority of these securities. We use the FHLBanks' uniform framework and approved assumptions for purposes of our other-than-temporary impairment cash-flow analyses of our private-label residential MBS and certain home equity loan investments. For additional information see Item 8 — Financial Statements and Supplementary Data — Note 7 — Other-Than-Temporary Impairment in the 2015 Annual Report

To assess whether the entire amortized cost basis of private-label residential MBS will be recovered, cash-flow analyses for each of our private-label residential MBS were performed. These analyses use two third-party models.

The first third-party model considers borrower characteristics and the particular attributes of the loans underlying our securities, in conjunction with assumptions about current home prices and future changes in home prices and interest rates, producing monthly projections of prepayments, defaults, loan modifications, and loss severities. A significant input to the first model is the forecast of future housing-price changes, based on an assessment of individual housing markets for the relevant states and core-based statistical areas (CBSA), as defined by the United States Office of Management and Budget. The OTTI Governance Committee developed a short-term housing price forecast, with projected changes ranging from a decrease of 1.0 percent to an increase of 8.0 percent over the 12- month period beginning January 1, 2016. For the vast majority of markets, the projected short-term housing price changes range from an increase of 3.0 percent to an increase of 5.0 percent. Thereafter, we have projected a unique recovery path for each relevant geographic area based on an internally developed framework derived from historical data.

The month-by-month projections of future loan level performance are derived from the first model to determine projected prepayments, defaults, loan modifications, and loss severities. These projections are then input into a second model that allocates the cash flows and losses among the various classes in the securitization structure in accordance with the cash-flow and loss-allocation rules prescribed by the securitization structure. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero. The projected cash flows are based on a number of assumptions and expectations and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined based on the model approach described above reflects a best estimate scenario and includes a base case current-to-trough housing price forecast and a base case housing price recovery path described in the prior paragraph.

For those securities for which a credit loss was recognized during the three months ended March 31, 2016, the following table presents a summary of the average projected values over the remaining lives of the securities for the significant inputs used to measure the amount of the credit loss recognized in earnings, as well as related current credit enhancement. Credit enhancement is defined as the percentage of subordinated tranches, over-collateralization, and other credit enhancement, if any, in a security structure that will generally absorb losses before we will experience a credit loss on the security. The calculated averages represent the dollar-weighted average of Alt-A other-than-temporarily impaired private-label residential MBS (dollars in thousands).
 
 
 
 
Weighted Average of Significant Inputs
 
Weighted Average Current
Credit Enhancement
Private-label MBS by Classification
 
Par Value
 
Projected
Prepayment Rates
 
Projected
Default Rates
 
Projected
Loss Severities
 
Alt-A - Private-label residential MBS (1)
 
$
156,678

 
8.9
%
 
29.0
%
 
37.1
%
 
4.8
%
_______________________
(1)
Securities are classified based upon the current performance characteristics of the underlying loan pool and therefore the manner in which the loan pool backing the security has been modeled (as prime, Alt-A, or subprime), rather than their classification of the security at the time of issuance.


16


The following table sets forth our securities for which other-than-temporary impairment credit losses were recognized during the life of the security through March 31, 2016 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance.
 
March 31, 2016
Other-Than-Temporarily Impaired Investment (1)
Par
Value
 
Amortized
Cost
 
Carrying
Value
 
Fair
Value
Private-label residential MBS – Prime
$
46,525

 
$
40,182

 
$
31,859

 
$
39,866

Private-label residential MBS – Alt-A
1,246,649

 
924,310

 
713,539

 
925,224

ABS backed by home equity loans – Subprime
3,962

 
3,594

 
2,950

 
3,537

Total other-than-temporarily impaired securities
$
1,297,136

 
$
968,086

 
$
748,348

 
$
968,627

_______________________
(1)
We have instituted litigation in relation to certain of the private-label MBS in which we invested. Our complaint asserts, among others, claims for untrue or misleading statements in the sale of securities. It is possible that classifications of private-label MBS as provided herein when based on classification at the time of issuance as disclosed by those securities' issuance documents, as well as other statements about the securities, are inaccurate.

The following table presents a roll-forward of the amounts related to credit losses recognized in earnings. The roll-forward is the amount of credit losses on investment securities for which we recognized a portion of other-than-temporary impairment charges into accumulated other comprehensive loss (dollars in thousands).
 
For the Three Months Ended March 31,
 
2016
 
2015
Balance at beginning of year
$
533,888

 
$
568,653

Additions:
 
 
 
Additional credit losses for which an other-than-temporary impairment charge was previously recognized(1)
1,347

 
346

Reductions:
 
 
 
Increase in cash flows expected to be collected which are recognized over the remaining life of the security(2)
(9,426
)
 
(9,274
)
Balance at end of period
$
525,809

 
$
559,725

_______________________
(1)
For the three months ended March 31, 2016 and 2015, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to January 1, 2016 and 2015.
(2)
Represents amounts accreted as interest income during the current period.

Note 7 — Advances

General Terms. At both March 31, 2016, and December 31, 2015, we had advances outstanding with interest rates ranging from zero percent to 7.72 percent, as summarized below (dollars in thousands).

17


 
March 31, 2016
 
December 31, 2015
Year of Contractual Maturity
Amount
 
Weighted
Average
Rate
 
Amount
 
Weighted
Average
Rate
Overdrawn demand-deposit accounts
$
5,742

 
0.65
%
 
$
7,546

 
0.65
%
Due in one year or less
17,013,710

 
0.80

 
18,282,139

 
0.72

Due after one year through two years
8,665,159

 
1.32

 
8,970,109

 
1.31

Due after two years through three years
2,796,905

 
1.87

 
3,170,267

 
1.94

Due after three years through four years
1,889,985

 
1.76

 
1,495,494

 
1.89

Due after four years through five years
1,795,391

 
1.68

 
1,845,396

 
1.71

Thereafter
2,179,984

 
2.69

 
2,196,832

 
2.70

Total par value
34,346,876

 
1.24
%
 
35,967,783

 
1.20
%
Premiums
23,055

 
 

 
24,183

 
 

Discounts
(17,980
)
 
 

 
(17,437
)
 
 

Fair value of bifurcated derivatives (1)
4,331

 
 
 
1,241

 
 
Hedging adjustments
168,630

 
 

 
100,397

 
 

Total
$
34,524,912

 
 

 
$
36,076,167

 
 

_________________________
(1)
At March 31, 2016, and December 31, 2015, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives.

At March 31, 2016, and December 31, 2015, we had callable advances and floating-rate advances that may be prepaid on a floating-rate reset date without prepayment or termination fees outstanding totaling $6.0 billion and $6.5 billion, respectively.

Year of Contractual Maturity or Next Call Date (1), Par Value
March 31, 2016
 
December 31, 2015
Overdrawn demand-deposit accounts
$
5,742

 
$
7,546

Due in one year or less
21,954,885

 
23,728,314

Due after one year through two years
4,178,159

 
3,983,109

Due after two years through three years
2,761,905

 
3,130,267

Due after three years through four years
1,849,985

 
1,455,494

Due after four years through five years
1,620,191

 
1,670,196

Thereafter
1,976,009

 
1,992,857

Total par value
$
34,346,876

 
$
35,967,783

_______________________
(1)
Also includes certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees.

At March 31, 2016, and December 31, 2015, we had putable advances outstanding totaling $2.3 billion and $2.2 billion, respectively.

The following table sets forth our advances outstanding by the year of contractual maturity or next put date for putable advances (dollars in thousands):

18


Year of Contractual Maturity or Next Put Date, Par Value
March 31, 2016
 
December 31, 2015
Overdrawn demand-deposit accounts
$
5,742

 
$
7,546

Due in one year or less
18,543,010

 
19,924,939

Due after one year through two years
7,698,609

 
7,909,809

Due after two years through three years
2,702,155

 
2,870,517

Due after three years through four years
1,728,985

 
1,383,244

Due after four years through five years
1,626,891

 
1,783,896

Thereafter
2,041,484

 
2,087,832

Total par value
$
34,346,876

 
$
35,967,783


Interest-Rate-Payment Terms. The following table details interest-rate-payment types for our outstanding advances (dollars in thousands):
Par value of advances
March 31, 2016
 
December 31, 2015
Fixed-rate
$
27,972,259

 
$
29,257,362

Variable-rate
6,374,617

 
6,710,421

Total par value
$
34,346,876

 
$
35,967,783


Credit-Risk Exposure and Security Terms. At March 31, 2016, and December 31, 2015, we had $12.9 billion and $14.2 billion, respectively, of advances issued to members with at least $1.0 billion of advances outstanding. These advances were made to five borrowers at both March 31, 2016, and December 31, 2015, representing 37.4 percent and 39.4 percent, respectively, of total par value of outstanding advances. For information related to our credit risk on advances and allowance for credit losses, see Note 9 — Allowance for Credit Losses.

Prepayment Fees. For the three months ended March 31, 2016 and 2015, net advance prepayment fees recognized in income are reflected in the following table (dollars in thousands):
 
 
For the Three Months Ended March 31,
 
 
2016
 
2015
Prepayment fees received from borrowers
 
$
3,856

 
$
3,617

Less: hedging fair-value adjustments on prepaid advances
 
(1,189
)
 
(2,731
)
Less: net premiums associated with prepaid advances
 
(1,756
)
 

Less: deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications
 
(518
)
 
(246
)
Prepayment fees recognized in income on advance restructurings deemed to be extinguishments
 
1,676

 
3,102

    Net prepayment fees recognized in income
 
$
2,069

 
$
3,742


Note 8 — Mortgage Loans Held for Portfolio

We invest in mortgage loans through the Mortgage Partnership Finance® (MPF® program). These investments (MPF loans) are either guaranteed or insured by federal agencies, as is the case with government mortgage loans, or are credit-enhanced by the related entity that sold the loan (a participating financial institution), as is the case with conventional mortgage loans. All such investments are held for portfolio.

The following table presents certain characteristics of these investments (dollars in thousands):

19


 
March 31, 2016
 
December 31, 2015
Real estate
 

 
 

Fixed-rate 15-year single-family mortgages
$
556,080

 
$
568,786