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EX-32.2 - CERTIFICATION 906 CFO - Federal Home Loan Bank of Bostonex322_q12017.htm
EX-32.1 - CERTIFICATION 906 CEO - Federal Home Loan Bank of Bostonex321_q12017.htm
EX-31.2 - CERTIFICATION 302 CFO - Federal Home Loan Bank of Bostonex312_q12017.htm
EX-31.1 - CERTIFICATION 302 CEO - Federal Home Loan Bank of Bostonex311_q12017.htm
EX-10.1 - 2017 EXECUTIVE INCENTIVE PLAN - Federal Home Loan Bank of Bostonex101-2017executiveincenti.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, 2017
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 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, a non-accelerated filer, smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer," "accelerated filer,” "smaller reporting company," and emerging growth company" in Rule 12b-2 of the Exchange Act.
Large accelerated filer o
 
Accelerated filer o
Non-accelerated filer x
(Do not check if a smaller reporting company)
 
Smaller reporting company o
Emerging growth company o

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. 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, 2017
Class A Stock, par value $100
 
zero
Class B Stock, par value $100
 
25,379,782



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, 2017
 
December 31, 2016
ASSETS
 
 
 
Cash and due from banks
$
12,817

 
$
520,031

Interest-bearing deposits
246,317

 
278

Securities purchased under agreements to resell
2,999,000

 
5,999,000

Federal funds sold
5,150,000

 
2,700,000

Investment securities:
 
 
 

Trading securities
516,150

 
612,622

Available-for-sale securities - includes $4,657 and $7,968 pledged as collateral at March 31, 2017, and December 31, 2016, respectively that may be repledged
6,299,801

 
6,588,664

Held-to-maturity securities - includes $17,127 and $23,618 pledged as collateral at March 31, 2017, and December 31, 2016, respectively that may be repledged (a)
2,004,511

 
2,130,767

Total investment securities
8,820,462

 
9,332,053

Advances
35,479,424

 
39,099,339

Mortgage loans held for portfolio, net of allowance for credit losses of $625 and $650 at March 31, 2017, and December 31, 2016, respectively
3,675,598

 
3,693,894

Accrued interest receivable
78,816

 
84,653

Premises, software, and equipment, net
5,500

 
5,211

Derivative assets, net
52,693

 
61,598

Other assets
48,175

 
49,529

Total Assets
$
56,568,802

 
$
61,545,586

LIABILITIES
 

 
 

Deposits
 
 
 
Interest-bearing
$
468,755

 
$
444,897

Non-interest-bearing
21,513

 
37,266

Total deposits
490,268

 
482,163

Consolidated obligations (COs):
 
 
 

Bonds
27,978,423

 
27,171,434

Discount notes
24,179,050

 
30,053,964

Total consolidated obligations
52,157,473

 
57,225,398

Mandatorily redeemable capital stock
32,677

 
32,687

Accrued interest payable
100,964

 
80,822

Affordable Housing Program (AHP) payable
80,170

 
81,627

Derivative liabilities, net
325,083

 
357,876

Other liabilities
36,306

 
40,235

Total liabilities
53,222,941

 
58,300,808

Commitments and contingencies (Note 18)


 


CAPITAL
 

 
 

Capital stock – Class B – putable ($100 par value), 24,587 shares and 24,113 shares issued and outstanding at March 31, 2017, and December 31, 2016, respectively
2,458,667

 
2,411,306

Retained earnings:
 
 
 
Unrestricted
994,011

 
987,711

Restricted
236,755

 
229,275

Total retained earnings
1,230,766

 
1,216,986

Accumulated other comprehensive loss
(343,572
)
 
(383,514
)
Total capital
3,345,861

 
3,244,778

Total Liabilities and Capital
$
56,568,802

 
$
61,545,586

_______________________________________
(a)   Fair values of held-to-maturity securities were $2,249,437 and $2,372,290 at March 31, 2017, and December 31, 2016, 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,
 
2017
 
2016
INTEREST INCOME
 
 
 
Advances
$
106,583

 
$
78,219

Prepayment fees on advances, net
164

 
2,069

Securities purchased under agreements to resell
4,418

 
3,193

Federal funds sold
10,284

 
5,616

Investment securities:
 
 
 
Trading securities
2,553

 
2,236

Available-for-sale securities
24,664

 
25,145

Held-to-maturity securities
20,354

 
22,170

Prepayment fees on investments
65

 
325

Total investment securities
47,636

 
49,876

Mortgage loans held for portfolio
29,947

 
31,076

Other
59

 
107

Total interest income
199,091

 
170,156

INTEREST EXPENSE
 
 
 
Consolidated obligations:
 
 
 
Bonds
98,175

 
90,860

Discount notes
37,579

 
22,697

Total consolidated obligations
135,754

 
113,557

Deposits
502

 
115

Mandatorily redeemable capital stock
329

 
379

Other borrowings
2

 
1

Total interest expense
136,587

 
114,052

NET INTEREST INCOME
62,504

 
56,104

(Reduction of) provision for credit losses
(51
)
 
11

NET INTEREST INCOME AFTER (REDUCTION OF) PROVISION FOR CREDIT LOSSES
62,555

 
56,093

OTHER INCOME (LOSS)
 
 
 
Total other-than-temporary impairment losses on investment securities
(53
)
 
(442
)
Net amount of impairment losses reclassified from accumulated other comprehensive loss
(365
)
 
(905
)
Net other-than-temporary impairment losses on investment securities, credit portion
(418
)
 
(1,347
)
Loss on early extinguishment of debt

 
(558
)
Service fees
2,012

 
1,968

Net unrealized (losses) gains on trading securities
(1,414
)
 
1,873

Net gains (losses) on derivatives and hedging activities
36

 
(6,235
)
Other
(207
)
 
(38
)
Total other income
9

 
(4,337
)
OTHER EXPENSE
 
 
 
Compensation and benefits
10,838

 
10,327

Other operating expenses
5,884

 
5,252

Federal Housing Finance Agency (the FHFA)
1,002

 
1,003

Office of Finance
842

 
816

Other
2,408

 
1,536

Total other expense
20,974

 
18,934

INCOME BEFORE ASSESSMENTS
41,590

 
32,822

AHP
4,192

 
3,320

NET INCOME
$
37,398

 
$
29,502

 

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,
 
 
2017
 
2016
Net income
 
$
37,398

 
$
29,502

Other comprehensive income:
 
 
 
 
Net unrealized gains on available-for-sale securities
 
26,906

 
51,830

Net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities
 
 
 
 
Net amount of impairment losses reclassified to non-interest income
 
365

 
905

Accretion of noncredit portion
 
8,296

 
9,141

Total net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities
 
8,661

 
10,046

Net unrealized gains (losses) relating to hedging activities
 
 
 
 
Unrealized losses
 
(138
)
 
(17,039
)
Reclassification adjustment for previously deferred hedging gains and losses included in net income
 
4,319

 
7,211

Total net unrealized gains (losses) relating to hedging activities
 
4,181

 
(9,828
)
Pension and postretirement benefits
 
194

 
119

Total other comprehensive income
 
39,942

 
52,167

Comprehensive income
 
$
77,340

 
$
81,669


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, 2017 AND 2016
(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, 2015
23,367

 
$
2,336,662

 
$
934,214

 
$
194,634

 
$
1,128,848

 
$
(442,597
)
 
$
3,022,913

Comprehensive income
 
 
 
 
23,602

 
5,900

 
29,502

 
52,167

 
81,669

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
)
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

 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, DECEMBER 31, 2016
24,113

 
$
2,411,306

 
$
987,711

 
$
229,275

 
$
1,216,986

 
$
(383,514
)
 
$
3,244,778

Comprehensive income
 
 
 
 
29,918

 
7,480

 
37,398

 
39,942

 
77,340

Proceeds from sale of capital stock
1,820

 
181,947

 
 
 
 
 
 
 
 
 
181,947

Repurchase of capital stock
(1,346
)
 
(134,586
)
 
 
 
 
 
 
 
 
 
(134,586
)
Cash dividends on capital stock
 
 
 
 
(23,618
)
 
 
 
(23,618
)
 
 
 
(23,618
)
BALANCE, MARCH 31, 2017
24,587

 
$
2,458,667

 
$
994,011

 
$
236,755

 
$
1,230,766

 
$
(343,572
)
 
$
3,345,861


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,
 
2017
 
2016
OPERATING ACTIVITIES
 

 
 

Net income
$
37,398

 
$
29,502

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

 
 
Depreciation and amortization
(4,855
)
 
(8,153
)
(Reduction of) provision for credit losses
(51
)
 
11

Change in net fair-value adjustments on derivatives and hedging activities
(3,811
)
 
6,317

Net other-than-temporary impairment losses on investment securities, credit portion
418

 
1,347

Loss on early extinguishment of debt

 
558

Other adjustments
1,597

 
656

Net change in:
 

 
 
Market value of trading securities
1,414

 
(1,873
)
Accrued interest receivable
5,837

 
4,798

Other assets
(2,404
)
 
(1,190
)
Accrued interest payable
20,142

 
11,890

Other liabilities
(5,724
)
 
(3,217
)
Total adjustments
12,563

 
11,144

Net cash provided by operating activities
49,961

 
40,646

 
 
 
 
INVESTING ACTIVITIES
 

 
 

Net change in:
 

 
 

Interest-bearing deposits
(225,734
)
 
(87,084
)
Securities purchased under agreements to resell
3,000,000

 
(324,000
)
Federal funds sold
(2,450,000
)
 
(1,370,000
)
Premises, software, and equipment
(786
)
 
(385
)
Trading securities:
 

 
 

Proceeds from long-term
403,333

 
4,231

Purchases of long-term
(308,671
)
 

Available-for-sale securities:
 

 
 

Proceeds from long-term
298,387

 
216,181

Purchases of long-term

 
(850,766
)
Held-to-maturity securities:
 

 
 

Proceeds from long-term
146,485

 
134,411

Advances to members:
 

 
 

Proceeds
124,105,993

 
88,178,413

Disbursements
(120,511,148
)
 
(86,556,909
)
Mortgage loans held for portfolio:
 

 
 

Proceeds
122,979

 
106,852

Purchases
(108,181
)
 
(102,896
)
Proceeds from sale of foreclosed assets
1,384

 
1,595

Net cash provided by (used in) investing activities
4,474,041

 
(650,357
)
 
 
 
 
FINANCING ACTIVITIES
 

 
 

Net change in deposits
8,105

 
79,270

Net payments on derivatives with a financing element
(2,353
)
 
(3,386
)
Net proceeds from issuance of consolidated obligations:
 

 
 


7


Discount notes
38,926,960

 
36,534,002

Bonds
2,094,792

 
5,722,758

Payments for maturing and retiring consolidated obligations:
 

 
 

Discount notes
(44,804,024
)
 
(38,657,232
)
Bonds
(1,278,430
)
 
(3,191,164
)
Proceeds from issuance of capital stock
181,947

 
69,730

Payments for redemption of mandatorily redeemable capital stock
(10
)
 
(6,785
)
Payments for repurchase of capital stock
(134,586
)
 
(105,313
)
Cash dividends paid
(23,617
)
 
(19,529
)
Net cash (used in) provided by financing activities
(5,031,216
)
 
422,351

Net decrease in cash and due from banks
(507,214
)
 
(187,360
)
Cash and due from banks at beginning of the period
520,031

 
254,218

Cash and due from banks at end of the period
$
12,817

 
$
66,858

Supplemental disclosures:
 
 
 
Interest paid
$
128,146

 
$
112,927

AHP payments
$
5,385

 
$
1,990

Noncash transfers of mortgage loans held for portfolio to other assets
$
940

 
$
721


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



8

FEDERAL HOME LOAN BANK OF BOSTON
 
 
NOTES TO FINANCIAL STATEMENTS
 
 
(unaudited)
 



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, 2017. 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, 2016, filed with the Securities and Exchange Commission (the SEC) on March 24, 2017 (the 2016 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 — Summary of Significant Accounting Policies

As of March 31, 2017, we have not made any significant changes to the significant accounting policies described in Item 8 — Financial Statements and Supplementary Data — Note 18 — Fair Values in the 2016 Annual Report other than described below.

We utilize two derivatives clearing organizations (DCOs), for all cleared derivative transactions, LCH.Clearnet LLC and CME Clearing. Effective January 3, 2017, CME Clearing made certain amendments to its rulebook changing the legal characterization of variation margin payments to be daily settlement payments, rather than collateral transfers. We continue to characterize our variation margin related at LCH.Clearnet LLC contracts as cash collateral. At both DCOs, initial margin is considered cash collateral.

Note 3 — Recently Issued and Adopted Accounting Guidance

Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the Financial Accounting Standards Board (FASB) issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance affects all entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). This guidance is effective for us for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. We are in the process of evaluating this guidance and its effect on our financial condition, results of operations, and cash flows.

Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued amended guidance to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that employers disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the income statement and allow only the service cost component of net benefit cost to be eligible for capitalization. This guidance is effective for us for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the income statement and prospectively, on and after the effective date, for the capitalization of the service cost component of net periodic pension cost and net periodic postretirement benefit in assets. We are in the process of evaluating this guidance and its effect on our financial condition, results of operations, and cash flows.

Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the FASB issued amendments 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

9

FEDERAL HOME LOAN BANK OF BOSTON
 
 
NOTES TO FINANCIAL STATEMENTS
 
 
(unaudited)
 


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. We adopted this guidance on January 1, 2017. The adoption of this guidance did not have any effect on our financial condition, results of operations, and cash flows.

Note 4 — Trading Securities
 
Major Security Types. Our trading securities as of March 31, 2017, and December 31, 2016, were (dollars in thousands):
 
March 31, 2017
 
December 31, 2016
U.S. Treasury obligations
$
308,698

 
$
399,521

 
 
 
 
Mortgage backed securities (MBS)
 

 
 
U.S. government-guaranteed – single-family
8,050

 
8,494

GSEs – single-family
644

 
768

GSEs – multifamily
198,758

 
203,839

 
207,452

 
213,101

Total
$
516,150

 
$
612,622


Net unrealized losses or gains on trading securities for the three months ended March 31, 2017, and 2016, amounted to net losses of $1.4 million and net gains of $1.9 million for securities held on March 31, 2017, and 2016, respectively.

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

Note 5 — Available-for-Sale Securities

Major Security Types. Our available-for-sale securities as of March 31, 2017, were (dollars in thousands):

 
 
 
Amounts Recorded in Accumulated Other Comprehensive Loss
 
 
 
Amortized
Cost (1)
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
 Value
State or local housing-finance-agency obligations (HFA securities)
$
9,350

 
$

 
$
(1,166
)
 
$
8,184

Supranational institutions
447,485

 

 
(25,146
)
 
422,339

U.S. government-owned corporations
313,779

 

 
(37,163
)
 
276,616

GSEs
129,336

 

 
(10,992
)
 
118,344

 
899,950

 

 
(74,467
)
 
825,483

MBS
 

 
 

 
 

 
 

U.S. government guaranteed – single-family
119,919

 
62

 
(2,303
)
 
117,678

U.S. government guaranteed – multifamily
512,927

 

 
(2,795
)
 
510,132

GSEs – single-family
4,208,100

 
3,950

 
(36,542
)
 
4,175,508

GSEs – multifamily
668,808

 
2,192

 

 
671,000

 
5,509,754

 
6,204

 
(41,640
)
 
5,474,318

Total
$
6,409,704

 
$
6,204

 
$
(116,107
)
 
$
6,299,801

_______________________
(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, 2016, were (dollars in thousands):

10

FEDERAL HOME LOAN BANK OF BOSTON
 
 
NOTES TO FINANCIAL STATEMENTS
 
 
(unaudited)
 


 
 
 
 
Amounts Recorded in Accumulated Other Comprehensive Loss
 
 
 
Amortized
Cost (1)
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
 Value
HFA securities
$
9,350

 
$

 
$
(1,204
)
 
$
8,146

Supranational institutions
452,021

 

 
(29,401
)
 
422,620

U.S. government-owned corporations
317,588

 

 
(45,631
)
 
271,957

GSEs
130,798

 

 
(13,330
)
 
117,468

 
909,757

 

 
(89,566
)
 
820,191

MBS
 

 
 

 
 

 
 

U.S. government guaranteed – single-family
127,032

 
16

 
(2,321
)
 
124,727

U.S. government guaranteed – multifamily
565,593

 
45

 
(2,277
)
 
563,361

GSEs – single-family
4,447,803

 
1,765

 
(45,713
)
 
4,403,855

GSEs – multifamily
675,288

 
1,242

 

 
676,530

 
5,815,716

 
3,068

 
(50,311
)
 
5,768,473

Total
$
6,725,473

 
$
3,068

 
$
(139,877
)
 
$
6,588,664

_______________________
(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, 2017, 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
$
8,184

 
$
(1,166
)
 
$

 
$

 
$
8,184

 
$
(1,166
)
Supranational institutions

 

 
422,339

 
(25,146
)
 
422,339

 
(25,146
)
U.S. government-owned corporations

 

 
276,616

 
(37,163
)
 
276,616

 
(37,163
)
GSEs

 

 
118,344

 
(10,992
)
 
118,344

 
(10,992
)
 
8,184

 
(1,166
)
 
817,299

 
(73,301
)
 
825,483

 
(74,467
)
 
 
 
 
 
 
 
 
 
 
 
 
MBS
 

 
 

 
 

 
 

 
 

 
 

U.S. government guaranteed – single-family

 

 
86,435

 
(2,303
)
 
86,435

 
(2,303
)
U.S. government guaranteed – multifamily
364,121

 
(1,760
)
 
146,011

 
(1,035
)
 
510,132

 
(2,795
)
GSEs – single-family
3,017,265

 
(30,967
)
 
327,482

 
(5,575
)
 
3,344,747

 
(36,542
)
 
3,381,386

 
(32,727
)
 
559,928

 
(8,913
)
 
3,941,314

 
(41,640
)
Total temporarily impaired
$
3,389,570

 
$
(33,893
)
 
$
1,377,227


$
(82,214
)

$
4,766,797


$
(116,107
)

The following table summarizes our available-for-sale securities with unrealized losses as of December 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

FEDERAL HOME LOAN BANK OF BOSTON
 
 
NOTES TO FINANCIAL STATEMENTS
 
 
(unaudited)
 


 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
 
Fair
 Value
 
Unrealized
 Losses
HFA securities
$
8,146

 
$
(1,204
)
 
$

 
$

 
$
8,146

 
$
(1,204
)
Supranational institutions

 

 
422,620

 
(29,401
)
 
422,620

 
(29,401
)
U.S. government-owned corporations

 

 
271,957

 
(45,631
)
 
271,957

 
(45,631
)
GSEs

 

 
117,468

 
(13,330
)
 
117,468

 
(13,330
)
 
8,146

 
(1,204
)
 
812,045

 
(88,362
)
 
820,191

 
(89,566
)
MBS
 

 
 

 
 

 
 

 
 

 
 

U.S. government guaranteed – single-family
31,606

 
(4
)
 
90,854

 
(2,317
)
 
122,460

 
(2,321
)
U.S. government guaranteed – multifamily
326,126

 
(1,261
)
 
165,246

 
(1,016
)
 
491,372

 
(2,277
)
GSEs – single-family
3,517,094

 
(39,181
)
 
351,331

 
(6,532
)
 
3,868,425

 
(45,713
)
 
3,874,826

 
(40,446
)
 
607,431

 
(9,865
)
 
4,482,257

 
(50,311
)
Total temporarily impaired
$
3,882,972

 
$
(41,650
)
 
$
1,419,476

 
$
(98,227
)
 
$
5,302,448

 
$
(139,877
)

Redemption Terms. The amortized cost and fair value of our available-for-sale securities by contractual maturity at March 31, 2017, and December 31, 2016, were (dollars in thousands):

 
March 31, 2017
 
December 31, 2016
Year of Maturity
Amortized
Cost
 
Fair
 Value
 
Amortized
Cost
 
Fair
 Value
Due in one year or less
$

 
$

 
$

 
$

Due after one year through five years
9,350

 
8,184

 
9,350

 
8,146

Due after five years through 10 years
169,829

 
160,476

 
171,589

 
161,746

Due after 10 years
720,771

 
656,823

 
728,818

 
650,299

 
899,950

 
825,483

 
909,757

 
820,191

MBS (1)
5,509,754

 
5,474,318

 
5,815,716

 
5,768,473

Total
$
6,409,704

 
$
6,299,801

 
$
6,725,473

 
$
6,588,664

_______________________
(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 6 — Held-to-Maturity Securities

Major Security Types. Our held-to-maturity securities as of March 31, 2017, were (dollars in thousands):


12

FEDERAL HOME LOAN BANK OF BOSTON
 
 
NOTES TO FINANCIAL STATEMENTS
 
 
(unaudited)
 


 
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
$
1,922

 
$

 
$
1,922

 
$
41

 
$

 
$
1,963

HFA securities
161,289

 

 
161,289

 
11

 
(17,212
)
 
144,088

 
163,211

 

 
163,211

 
52

 
(17,212
)
 
146,051

MBS
 

 
 

 
 

 
 

 
 

 
 

U.S. government guaranteed – single-family
12,073

 

 
12,073

 
243

 

 
12,316

U.S. government guaranteed – multifamily
1,489

 

 
1,489

 

 
(3
)
 
1,486

GSEs – single-family
744,548

 

 
744,548

 
15,430

 
(455
)
 
759,523

GSEs – multifamily
296,207

 

 
296,207

 
10,735

 

 
306,942

Private-label – residential
957,620

 
(183,165
)
 
774,455

 
243,699

 
(7,609
)
 
1,010,545

Asset-backed securities (ABS) backed by home equity loans
13,080

 
(552
)
 
12,528

 
554

 
(508
)
 
12,574

 
2,025,017

 
(183,717
)
 
1,841,300

 
270,661

 
(8,575
)
 
2,103,386

Total
$
2,188,228

 
$
(183,717
)
 
$
2,004,511

 
$
270,713

 
$
(25,787
)
 
$
2,249,437


Our held-to-maturity securities as of December 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
$
2,159

 
$

 
$
2,159

 
$
56

 
$

 
$
2,215

HFA securities
162,568

 

 
162,568

 
11

 
(19,291
)
 
143,288

 
164,727

 

 
164,727

 
67

 
(19,291
)
 
145,503

MBS
 
 
 
 
 
 
 
 
 
 
 
U.S. government guaranteed – single-family
12,719

 

 
12,719

 
246

 

 
12,965

U.S. government guaranteed – multifamily
1,532

 

 
1,532

 

 

 
1,532

GSEs – single-family
812,836

 

 
812,836

 
16,881

 
(519
)
 
829,198

GSEs – multifamily
318,667

 

 
318,667

 
11,692

 

 
330,359

Private-label – residential
999,149

 
(191,804
)
 
807,345

 
240,818

 
(8,373
)
 
1,039,790

ABS backed by home equity loans
13,515

 
(574
)
 
12,941

 
602

 
(600
)
 
12,943

 
2,158,418

 
(192,378
)
 
1,966,040

 
270,239

 
(9,492
)
 
2,226,787

Total
$
2,323,145

 
$
(192,378
)
 
$
2,130,767

 
$
270,306

 
$
(28,783
)
 
$
2,372,290


The following table summarizes our held-to-maturity securities with unrealized losses as of March 31, 2017, 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).

13

FEDERAL HOME LOAN BANK OF BOSTON
 
 
NOTES TO FINANCIAL STATEMENTS
 
 
(unaudited)
 


 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair
Value
 
Unrealized
Losses
 
Fair
 Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
HFA securities
$

 
$

 
$
141,759

 
$
(17,212
)
 
$
141,759

 
$
(17,212
)
 
 
 
 
 
 
 
 
 
 
 
 
MBS
 
 
 
 
 
 
 
 
 

 
 

U.S. government guaranteed - multifamily
1,486

 
(3
)
 

 

 
1,486

 
(3
)
GSEs – single-family
21,376

 
(331
)
 
23,144

 
(124
)
 
44,520

 
(455
)
Private-label – residential
14,825

 
(115
)
 
326,790

 
(23,148
)
 
341,615

 
(23,263
)
ABS backed by home equity loans

 

 
11,584

 
(656
)
 
11,584

 
(656
)
 
37,687

 
(449
)
 
361,518

 
(23,928
)
 
399,205

 
(24,377
)
Total
$
37,687

 
$
(449
)
 
$
503,277

 
$
(41,140
)
 
$
540,964

 
$
(41,589
)

The following table summarizes our held-to-maturity securities with unrealized losses as of December 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
$

 
$

 
$
140,959

 
$
(19,291
)
 
$
140,959

 
$
(19,291
)
 
 
 
 
 
 
 
 
 
 
 
 
MBS
 
 
 
 
 
 
 
 
 

 
 

GSEs – single-family
83,291

 
(393
)
 
13,405

 
(126
)
 
96,696

 
(519
)
Private-label – residential
16,915

 
(128
)
 
397,407

 
(28,781
)
 
414,322

 
(28,909
)
ABS backed by home equity loans

 

 
11,898

 
(720
)
 
11,898

 
(720
)
 
100,206

 
(521
)
 
422,710

 
(29,627
)
 
522,916

 
(30,148
)
Total
$
100,206

 
$
(521
)
 
$
563,669

 
$
(48,918
)
 
$
663,875

 
$
(49,439
)

Redemption Terms. The amortized cost, carrying value, and fair value of our held-to-maturity securities by contractual maturity at March 31, 2017, and December 31, 2016, 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, 2017
 
December 31, 2016
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
16,401

 
16,401

 
16,446

 
16,637

 
16,637

 
16,663

Due after five years through 10 years

 

 

 

 

 

Due after 10 years
146,810

 
146,810

 
129,605

 
148,090

 
148,090

 
128,840

 
163,211

 
163,211

 
146,051

 
164,727

 
164,727

 
145,503

MBS (2)
2,025,017

 
1,841,300

 
2,103,386

 
2,158,418

 
1,966,040

 
2,226,787

Total
$
2,188,228

 
$
2,004,511

 
$
2,249,437

 
$
2,323,145

 
$
2,130,767

 
$
2,372,290

_______________________
(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.

14

FEDERAL HOME LOAN BANK OF BOSTON
 
 
NOTES TO FINANCIAL STATEMENTS
 
 
(unaudited)
 


(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 7 — 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, 2017. At March 31, 2017, 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.

Held-to-Maturity Securities

HFA Securities and Agency MBS. We have reviewed our investments in HFA securities and agency MBS and have determined that all unrealized losses are temporary. 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, 2017.

Private-Label Residential MBS and ABS Backed by Home Equity Loans. For those securities for which a credit loss was recognized during the three months ended March 31, 2017, 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)
 
$
46,262

 
7.7
%
 
31.7
%
 
37.6
%
 
4.4
%
_______________________
(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.

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, 2017 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance.
 
March 31, 2017
Other-Than-Temporarily Impaired Investment (1)
Par
Value
 
Amortized
Cost
 
Carrying
Value
 
Fair
Value
Private-label residential MBS – Prime
$
37,589

 
$
32,394

 
$
25,666

 
$
33,369

Private-label residential MBS – Alt-A
1,062,245

 
786,567

 
610,130

 
846,087

ABS backed by home equity loans – Subprime
3,670

 
3,359

 
2,808

 
3,362

Total other-than-temporarily impaired securities
$
1,103,504

 
$
822,320

 
$
638,604

 
$
882,818

_______________________

15

FEDERAL HOME LOAN BANK OF BOSTON
 
 
NOTES TO FINANCIAL STATEMENTS
 
 
(unaudited)
 


(1)
We have instituted litigation related 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,
 
2017
 
2016
Balance at beginning of period
$
490,404

 
$
533,888

Additions:
 
 
 
Additional credit losses for which an other-than-temporary impairment charge was previously recognized(1)
418

 
1,347

Reductions:
 
 
 
Increase in cash flows expected to be collected which are recognized over the remaining life of the security(2)
(8,601
)
 
(9,426
)
Balance at end of period
$
482,221

 
$
525,809

_______________________
(1)
For the three months March 31, 2017 and 2016, 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, 2017 and 2016, respectively.
(2)
Represents amounts accreted as interest income during the current period.

Note 8 — Advances

General Terms. At both March 31, 2017, and December 31, 2016, we had advances outstanding with interest rates ranging from zero percent to 7.72 percent as summarized below (dollars in thousands).

 
March 31, 2017
 
December 31, 2016
Year of Contractual Maturity
Amount
 
Weighted
Average
Rate
 
Amount
 
Weighted
Average
Rate
Overdrawn demand-deposit accounts
$
7,935

 
1.21
%
 
$
3,780

 
0.92
%
Due in one year or less
17,444,622

 
1.22

 
18,783,802

 
1.05

Due after one year through two years
8,673,994

 
1.31

 
10,966,780

 
1.15

Due after two years through three years
2,821,139

 
1.72

 
2,508,459

 
1.67

Due after three years through four years
2,011,518

 
1.74

 
2,177,432

 
1.64

Due after four years through five years
1,889,679

 
1.86

 
2,041,269

 
1.80

Thereafter
2,671,123

 
1.63

 
2,633,333

 
1.70

Total par value
35,520,010

 
1.38
%
 
39,114,855

 
1.23
%
Premiums
21,143

 
 

 
22,633

 
 

Discounts
(28,551
)
 
 

 
(25,847
)
 
 

Fair value of bifurcated derivatives (1)
(576
)
 
 
 
(153
)
 
 
Hedging adjustments
(32,602
)
 
 

 
(12,149
)
 
 

Total
$
35,479,424

 
 

 
$
39,099,339

 
 

_________________________
(1)
At March 31, 2017, and December 31, 2016, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as stand-alone derivatives.


16

FEDERAL HOME LOAN BANK OF BOSTON
 
 
NOTES TO FINANCIAL STATEMENTS
 
 
(unaudited)
 


At March 31, 2017, and December 31, 2016, 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 $5.9 billion and $7.9 billion, respectively.

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

Year of Contractual Maturity or Next Call Date (1), Par Value
March 31, 2017
 
December 31, 2016
Overdrawn demand-deposit accounts
$
7,935

 
$
3,780

Due in one year or less
23,108,797

 
26,447,977

Due after one year through two years
3,410,994

 
3,693,780

Due after two years through three years
2,821,139

 
2,508,459

Due after three years through four years
1,826,318

 
2,002,232

Due after four years through five years
1,739,679

 
1,891,269

Thereafter
2,605,148

 
2,567,358

Total par value
$
35,520,010

 
$
39,114,855

_______________________
(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, 2017, and December 31, 2016, we had putable advances outstanding totaling $3.3 billion and $3.4 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):
Year of Contractual Maturity or Next Put Date, Par Value
March 31, 2017
 
December 31, 2016
Overdrawn demand-deposit accounts
$
7,935

 
$
3,780

Due in one year or less
19,278,622

 
20,788,552

Due after one year through two years
8,991,244

 
10,946,530

Due after two years through three years
2,723,139

 
2,455,709

Due after three years through four years
1,842,518

 
1,974,932

Due after four years through five years
1,594,179

 
1,736,769

Thereafter
1,082,373

 
1,208,583

Total par value
$
35,520,010

 
$
39,114,855


Interest-Rate-Payment Terms. The following table details interest-rate-payment types for our outstanding advances (dollars in thousands):