Attached files

file filename
EX-31.2 - CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER - Federal Home Loan Bank of Dallasfhlbdallas-33117xex_312.htm
EX-32.1 - CERTIFICATION OF CEO AND CFO - Federal Home Loan Bank of Dallasfhlbdallas-33117xex_321.htm
EX-31.1 - CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER - Federal Home Loan Bank of Dallasfhlbdallas-33117xex_311.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
þ
 
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
Commission File Number 000-51405
FEDERAL HOME LOAN BANK OF DALLAS
(Exact name of registrant as specified in its charter)
Federally chartered corporation
(State or other jurisdiction of incorporation
or organization)
 
71-6013989
(I.R.S. Employer
Identification Number)
 
 
 
8500 Freeport Parkway South, Suite 600
Irving, TX
(Address of principal executive offices)
 
75063-2547
(Zip code)
(214) 441-8500
(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. Yes þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (17 C.F.R. §232.405) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes þ No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and "emerging growth company" in Rule 12b-2 of the Exchange Act:
Large accelerated
filer o
 
Accelerated
filer o
 
Non-accelerated
filer þ
 
Smaller reporting
company o
 
Emerging growth
company o
 
 
 
 
(Do not check if a smaller reporting company)
 
 
 
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No 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 the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date:
At April 30, 2017, the registrant had outstanding 20,417,545 shares of its Class B Capital Stock, $100 par value per share.
 



FEDERAL HOME LOAN BANK OF DALLAS
TABLE OF CONTENTS

 
Page
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 EX-10.1
 EX-10.2
 EX-10.3
 EX-31.1
 EX-31.2
 EX-32.1
 EX-101 INSTANCE DOCUMENT
 EX-101 SCHEMA DOCUMENT
 EX-101 CALCULATION LINKBASE DOCUMENT
 EX-101 LABELS LINKBASE DOCUMENT
 EX-101 PRESENTATION LINKBASE DOCUMENT
 EX-101 DEFINITION LINKBASE DOCUMENT




PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF CONDITION
(Unaudited; in thousands, except share data)
 
March 31,
2017
 
December 31,
2016
ASSETS
 

 
 

Cash and due from banks
$
92,024

 
$
27,696

Interest-bearing deposits
397

 
255

Securities purchased under agreements to resell (Note 10)
750,000

 
3,100,000

Federal funds sold
8,940,000

 
6,242,000

Trading securities (Note 3)
112,457

 
111,638

Available-for-sale securities (Notes 4, 10 and 15) ($564,400 and $613,351 pledged at March 31, 2017 and December 31, 2016, respectively, which could be rehypothecated)
13,853,722

 
13,175,933

Held-to-maturity securities (a) (Note 5)
2,384,060

 
2,499,595

Advances (Notes 6 and 7)
31,058,811

 
32,506,175

Mortgage loans held for portfolio, net of allowance for credit losses of $141 at both
March 31, 2017 and December 31, 2016, respectively (Note 7)
178,107

 
123,961

Loan to other FHLBank (Note 17)

 
290,000

Accrued interest receivable
101,383

 
87,977

Premises and equipment, net
18,047

 
17,972

Derivative assets (Notes 10 and 11)
26,212

 
15,637

Other assets
10,465

 
13,238

TOTAL ASSETS
$
57,525,685

 
$
58,212,077

 
 
 
 
LIABILITIES AND CAPITAL
 
 
 
Deposits
 
 
 
Interest-bearing
$
1,432,012

 
$
1,040,139

Non-interest bearing
19

 
19

Total deposits
1,432,031

 
1,040,158

Consolidated obligations (Note 8)
 
 
 
Discount notes
22,783,297

 
26,941,782

Bonds
30,127,957

 
26,997,487

Total consolidated obligations
52,911,254

 
53,939,269

Mandatorily redeemable capital stock
2,865

 
3,417

Accrued interest payable
54,688

 
43,274

Affordable Housing Program (Note 9)
23,929

 
22,871

Derivative liabilities (Notes 10 and 11)
22,389

 
14,343

Other liabilities (Note 4)
137,229

 
331,403

Total liabilities
54,584,385

 
55,394,735

 
 
 
 
Commitments and contingencies (Notes 7 and 15)


 


 
 
 
 
CAPITAL (Note 12)
 
 
 
Capital stock
 
 
 
Capital stock — Class B-1 putable ($100 par value) issued and outstanding shares: 7,691,424 and 6,904,110 shares at March 31, 2017 and December 31, 2016, respectively
769,142

 
690,411

Capital stock — Class B-2 putable ($100 par value) issued and outstanding shares: 11,829,359 and 12,397,371 shares at March 31, 2017 and December 31, 2016, respectively
1,182,936

 
1,239,737

Total Class B Capital Stock
1,952,078

 
1,930,148

Retained earnings
 
 
 
Unrestricted
767,134

 
745,104

Restricted
85,908

 
78,880

Total retained earnings
853,042

 
823,984

Accumulated other comprehensive income (Note 18)
136,180

 
63,210

Total capital
2,941,300

 
2,817,342

TOTAL LIABILITIES AND CAPITAL
$
57,525,685

 
$
58,212,077

_____________________________
(a) 
Fair values: $2,404,463 and $2,514,512 at March 31, 2017 and December 31, 2016, respectively.
The accompanying notes are an integral part of these financial statements.

1


FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF INCOME
(Unaudited, in thousands)

 
 
For the Three Months Ended
 
 
March 31,
 
 
2017
 
2016
INTEREST INCOME
 
 
 
 
Advances
 
$
75,413

 
$
44,422

Prepayment fees on advances, net
 
216

 
784

Interest-bearing deposits
 
388

 
719

Securities purchased under agreements to resell
 
198

 
894

Federal funds sold
 
12,662

 
4,219

Trading securities
 
568

 
893

Available-for-sale securities
 
49,042

 
24,653

Held-to-maturity securities
 
8,270

 
7,823

Mortgage loans held for portfolio
 
1,434

 
787

Total interest income
 
148,191

 
85,194

INTEREST EXPENSE
 
 
 
 
Consolidated obligations
 
 
 
 
Bonds
 
61,663

 
28,671

Discount notes
 
32,099

 
20,223

Deposits
 
1,625

 
555

Mandatorily redeemable capital stock
 
8

 
10

Other borrowings
 
50

 
1

Total interest expense
 
95,445

 
49,460

NET INTEREST INCOME
 
52,746

 
35,734

 
 
 
 
 
OTHER INCOME (LOSS)
 
 
 
 
Total other-than-temporary impairment losses on held-to-maturity securities
 

 
(310
)
Net non-credit impairment losses on held-to-maturity securities recognized in other comprehensive income
 

 
302

Credit component of other-than-temporary impairment losses on held-to-maturity securities
 

 
(8
)
 
 
 
 
 
Net gains on trading securities
 
879

 
6,917

Net gains (losses) on derivatives and hedging activities
 
4,827

 
(16,939
)
Realized gains on sales of held-to-maturity securities
 

 
470

Realized gains on sales of available-for-sale securities
 
670

 
651

Letter of credit fees
 
1,648

 
1,272

Other, net
 
533

 
541

Total other income (loss)
 
8,557

 
(7,096
)
OTHER EXPENSE
 
 
 
 
Compensation and benefits
 
13,686

 
11,630

Other operating expenses
 
5,438

 
5,544

Finance Agency
 
886

 
744

Office of Finance
 
964

 
745

Discretionary grant programs
 
984

 
536

Derivative clearing fees
 
302

 
231

Total other expense
 
22,260

 
19,430

INCOME BEFORE ASSESSMENTS
 
39,043

 
9,208

Affordable Housing Program assessment
 
3,905

 
922

NET INCOME
 
$
35,138

 
$
8,286

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

2


FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF COMPREHENSIVE INCOME
(Unaudited, in thousands)

 
 
For the Three Months Ended
 
 
March 31,
 
 
2017
 
2016
NET INCOME
 
$
35,138

 
$
8,286

OTHER COMPREHENSIVE INCOME (LOSS)
 
 
 
 
Net unrealized gains on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income
 
72,015

 
5,665

Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income
 
(670
)
 
(651
)
Unrealized losses on cash flow hedges
 
(147
)
 
(5,359
)
Reclassification adjustment for losses on cash flow hedges included in net income
 
800

 
639

Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities
 

 
(302
)
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities
 
993

 
1,246

Postretirement benefit plan
 
 
 
 
Amortization of prior service cost included in net periodic benefit cost
 
5

 
5

Amortization of net actuarial gain included in net periodic benefit cost
 
(26
)
 
(24
)
Total other comprehensive income
 
72,970

 
1,219

TOTAL COMPREHENSIVE INCOME
 
$
108,108

 
$
9,505


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

3




FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF CAPITAL
FOR THE THREE MONTHS ENDED MARCH 31, 2017 AND 2016
(Unaudited, in thousands)

 
Capital Stock
Class B-1 - Putable
(Membership/Excess)
 
Capital Stock
Class B-2 - Putable
(Activity)
 
 
 
 
 
 
 
Accumulated
 Other
Comprehensive
 Income (Loss)
 
 
 
 
 
Retained Earnings
 
 
Total
 Capital
 
Shares
 
Par Value
 
Shares
 
Par Value
 
Unrestricted
 
Restricted
 
Total
 
 
BALANCE, JANUARY 1, 2017
6,904

 
$
690,411

 
12,397

 
$
1,239,737

 
$
745,104

 
$
78,880

 
$
823,984

 
$
63,210

 
$
2,817,342

Net transfers of shares between Class B-1 and Class B-2 Stock
3,525

 
352,502

 
(3,525
)
 
(352,502
)
 

 

 

 

 

Proceeds from sale of capital stock
1

 
106

 
2,957

 
295,701

 

 

 

 

 
295,807

Repurchase/redemption of capital stock
(2,799
)
 
(279,889
)
 

 

 

 

 

 

 
(279,889
)
Comprehensive income
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net income

 

 

 

 
28,110

 
7,028

 
35,138

 

 
35,138

Other comprehensive income

 

 

 

 

 

 

 
72,970

 
72,970

Dividends on capital stock (a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash

 

 

 

 
(66
)
 

 
(66
)
 

 
(66
)
Mandatorily redeemable capital stock

 

 

 

 
(2
)
 

 
(2
)
 

 
(2
)
Stock
60

 
6,012

 

 

 
(6,012
)
 

 
(6,012
)
 

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, MARCH 31, 2017
7,691

 
$
769,142

 
11,829

 
$
1,182,936

 
$
767,134

 
$
85,908

 
$
853,042

 
$
136,180

 
$
2,941,300

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, JANUARY 1, 2016
6,325

 
$
632,454

 
9,077

 
$
907,678

 
$
699,213

 
$
62,990

 
$
762,203

 
$
(103,023
)
 
$
2,199,312

Net transfers of shares between Class B-1 and Class B-2 Stock
2,516

 
251,593

 
(2,516
)
 
(251,593
)
 

 

 

 

 

Proceeds from sale of capital stock

 
20

 
2,373

 
237,348

 

 

 

 

 
237,368

Repurchase/redemption of capital stock
(1,975
)
 
(197,462
)
 

 

 

 

 

 

 
(197,462
)
Comprehensive income
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 Net income

 

 

 

 
6,628

 
1,658

 
8,286

 

 
8,286

Other comprehensive income

 

 

 

 

 

 

 
1,219

 
1,219

Dividends on capital stock (b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash

 

 

 

 
(66
)
 

 
(66
)
 

 
(66
)
Mandatorily redeemable capital stock

 

 

 

 
(5
)
 

 
(5
)
 

 
(5
)
Stock
34

 
3,396

 

 

 
(3,396
)
 

 
(3,396
)
 

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
BALANCE, MARCH 31, 2016
6,900

 
$
690,001

 
8,934

 
$
893,433

 
$
702,374

 
$
64,648

 
$
767,022

 
$
(101,804
)
 
$
2,248,652


(a) Dividends were paid at annualized rates of 0.599 percent and 1.599 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2017.

(b) Dividends were paid at annualized rates of 0.375 percent and 1.251 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2016.

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


4


FEDERAL HOME LOAN BANK OF DALLAS
STATEMENTS OF CASH FLOWS
(Unaudited, in thousands)
 
For the Three Months Ended
 
March 31,
 
2017
 
2016
OPERATING ACTIVITIES
 
 
 
Net income
$
35,138

 
$
8,286

Adjustments to reconcile net income to net cash provided by operating activities
 
 
 
Depreciation and amortization
 
 
 
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans
15,915

 
23,336

Concessions on consolidated obligations
856

 
691

Premises, equipment and computer software costs
868

 
921

Non-cash interest on mandatorily redeemable capital stock
5

 
4

Credit component of other-than-temporary impairment losses on held-to-maturity securities

 
8

Gains on sales of held-to-maturity securities

 
(470
)
Gains on sales of available-for-sale securities
(670
)
 
(651
)
Net increase in trading securities
(768
)
 
(6,710
)
Loss due to changes in net fair value adjustment on derivative and hedging activities
13,974

 
27,088

Increase in accrued interest receivable
(13,440
)
 
(16,638
)
Decrease in other assets
3,187

 
1,954

Increase (decrease) in Affordable Housing Program (AHP) liability
1,058

 
(1,823
)
Increase in accrued interest payable
11,412

 
1,459

Decrease in other liabilities
(7,025
)
 
(5,701
)
Total adjustments
25,372

 
23,468

Net cash provided by operating activities
60,510

 
31,754

 
 
 
 
INVESTING ACTIVITIES
 
 
 
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged
27,995

 
(331,866
)
Net decrease (increase) in securities purchased under agreements to resell
2,350,000

 
(5,500,000
)
Net increase in federal funds sold
(2,698,000
)
 
(1,066,000
)
Decrease in loan to other FHLBank
290,000

 

Purchases of available-for-sale securities
(1,090,625
)
 
(3,017,229
)
Proceeds from maturities of available-for-sale securities
79,609

 
1,421

Proceeds from sales of available-for-sale securities
169,257

 
874,461

Proceeds from sales of held-to-maturity securities

 
47,928

Proceeds from maturities of long-term held-to-maturity securities
117,202

 
126,540

Principal collected on advances
145,099,228

 
169,584,577

Advances made
(143,665,419
)
 
(169,082,207
)
Principal collected on mortgage loans held for portfolio
3,566

 
3,792

Purchases of mortgage loans held for portfolio
(57,788
)
 
(2,598
)
Purchases of premises, equipment and computer software
(1,328
)
 
(744
)
Net cash provided by (used in) investing activities
623,697

 
(8,361,925
)
 
 
 
 

5


 
For the Three Months Ended
 
March 31,
 
2017
 
2016
FINANCING ACTIVITIES
 
 
 
Net increase in deposits, including swap collateral held
400,068

 
79,834

Net receipts (payments) on derivative contracts with financing elements
(16,547
)
 
1,577

Net proceeds from issuance of consolidated obligations
 

 
 
Discount notes
73,551,899

 
112,316,852

Bonds
5,598,723

 
3,836,000

Debt issuance costs
(890
)
 
(765
)
Payments for maturing and retiring consolidated obligations
 
 
 
Discount notes
(77,710,954
)
 
(105,841,817
)
Bonds
(2,457,470
)
 
(2,902,330
)
Proceeds from issuance of capital stock
295,807

 
237,368

Payments for redemption of mandatorily redeemable capital stock
(560
)
 
(1
)
Payments for repurchase/redemption of capital stock
(279,889
)
 
(197,462
)
Cash dividends paid
(66
)
 
(66
)
Net cash provided by (used in) financing activities
(619,879
)
 
7,529,190

 
 
 
 
Net increase (decrease) in cash and cash equivalents
64,328

 
(800,981
)
Cash and cash equivalents at beginning of the period
27,696

 
837,202

Cash and cash equivalents at end of the period
$
92,024

 
$
36,221

 
 
 
 
Supplemental Disclosures:
 
 
 
Interest paid
$
85,909

 
$
33,808

AHP payments, net
$
2,847

 
$
2,745

Stock dividends issued
$
6,012

 
$
3,396

Dividends paid through issuance of mandatorily redeemable capital stock
$
2

 
$
5

Variation margin recharacterized as settlement payments on derivative contracts (Note 10)
$
72,053

 
$


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

6


FEDERAL HOME LOAN BANK OF DALLAS
NOTES TO INTERIM UNAUDITED FINANCIAL STATEMENTS

Note 1—Basis of Presentation
The accompanying interim financial statements of the Federal Home Loan Bank of Dallas (the “Bank”) are unaudited and have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions provided by Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (“SEC”). Accordingly, they do not include all of the information and disclosures required by generally accepted accounting principles for complete financial statements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank’s financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period.
The Bank’s significant accounting policies and certain other disclosures are set forth in the notes to the audited financial statements for the year ended December 31, 2016. The interim financial statements presented herein should be read in conjunction with the Bank’s audited financial statements and notes thereto, which are included in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2016 filed with the SEC on March 24, 2017 (the “2016 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2016 10-K.
The Bank is one of 11 district Federal Home Loan Banks, each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System.” The Office of Finance manages the sale and servicing of the FHLBanks’ consolidated obligations. The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the housing government-sponsored enterprises ("GSEs"), including the FHLBanks and the Office of Finance.
     Use of Estimates and Assumptions. The preparation of financial statements in conformity with U.S. GAAP requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant estimates include the valuations of the Bank’s investment securities, as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates.

Note 2—Recently Issued Accounting Guidance
Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2016-06, "Contingent Put and Call Options in Debt Instruments" ("ASU 2016-06"), which clarifies the requirements for assessing whether contingent call or put options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. The guidance requires entities to apply only the four-step decision sequence when assessing whether the economic characteristics and risks of call or put options are clearly and closely related to the economic characteristics and risks of their debt hosts. Consequently, when a call or put option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call or put option is related to interest rates or credit risks. For public business entities, the guidance in ASU 2016-06 is effective for fiscal years beginning after December 15, 2016 (January 1, 2017 for the Bank), and interim periods within those fiscal years. Early adoption is permitted. The guidance is to be applied on a modified retrospective basis to existing debt instruments as of the beginning of the period for which the amendments are effective. The Bank adopted this guidance effective January 1, 2017. The adoption of ASU 2016-06 has not had any impact on the Bank's results of operations or financial condition.
Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued ASU 2017-08, "Premium Amortization on Purchased Callable Debt Securities" ("ASU 2017-08"), which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. For public business entities, the guidance in ASU 2017-08 is effective for fiscal years beginning after December 15, 2018 (January 1, 2019 for the Bank), and interim periods within those fiscal years. Early adoption, including adoption in an interim period, is permitted. If an entity early adopts ASU 2017-08 in an interim period, any adjustments must be reflected as of the beginning of the fiscal year that includes that interim period. The guidance is to be applied using a modified retrospective transition approach, with the cumulative-effect adjustment recognized in retained earnings as of the beginning of the period of adoption. The Bank has not yet determined the effect, if any, that the adoption of ASU 2017-08 will have on its results of operations or financial condition.


7


Note 3—Trading Securities
Trading securities as of March 31, 2017 and December 31, 2016 were as follows (in thousands):
 
March 31, 2017
 
December 31, 2016
U.S. Treasury Notes
$
102,036

 
$
101,495

Other
10,421

 
10,143

Total
$
112,457

 
$
111,638

Other trading securities consist solely of mutual fund investments associated with the Bank's non-qualified deferred compensation plans.

            
Note 4—Available-for-Sale Securities
 Major Security Types. Available-for-sale securities as of March 31, 2017 were as follows (in thousands):
 
Amortized
Cost
 
Gross
 Unrealized
 Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
487,121

 
$
8,345

 
$

 
$
495,466

GSE obligations
6,750,769

 
86,268

 
25

 
6,837,012

Other
241,322

 
1,675

 

 
242,997

 
7,479,212

 
96,288

 
25

 
7,575,475

GSE commercial mortgage-backed securities
6,244,578

 
49,274

 
15,605

 
6,278,247

Total
$
13,723,790

 
$
145,562

 
$
15,630

 
$
13,853,722

Included in the table above are GSE commercial mortgage-backed securities ("MBS") that were purchased but which had not yet settled as of March 31, 2017. The aggregate amount due of $110,425,000 is included in other liabilities on the statement of condition at that date.
Available-for-sale securities as of December 31, 2016 were as follows (in thousands):
 
Amortized
Cost
 
Gross
 Unrealized
 Gains
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
489,573

 
$
6,325

 
$

 
$
495,898

GSE obligations
6,475,140

 
52,746

 
2,361

 
6,525,525

Other
318,223

 
1,770

 

 
319,993

 
7,282,936

 
60,841

 
2,361

 
7,341,416

GSE commercial MBS
5,834,410

 
32,861

 
32,754

 
5,834,517

Total
$
13,117,346

 
$
93,702

 
$
35,115

 
$
13,175,933

Included in the table above are GSE agency debentures and GSE commercial MBS that were purchased but which had not yet settled as of December 31, 2016. The aggregate amounts due of $15,000,000 and $282,595,000, respectively, are included in other liabilities on the statement of condition at that date.
Other debentures are comprised of securities issued by the Private Export Funding Corporation ("PEFCO"). These debentures are fully secured by U.S. government-guaranteed obligations and the payment of interest on the debentures is guaranteed by an agency of the U.S. government. The amortized cost of the Bank's available-for-sale securities includes hedging adjustments.

8


The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of March 31, 2017. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
 
Less than 12 Months
 
12 Months or More
 
Total
 
Number
 of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number
 of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number
 of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
GSE debentures
6

 
$
243,012

 
$
25

 

 
$

 
$

 
6

 
$
243,012

 
$
25

GSE commercial MBS
8

 
283,988

 
512

 
64

 
2,061,341

 
15,093

 
72

 
2,345,329

 
15,605

Total
14

 
$
527,000

 
$
537

 
64

 
$
2,061,341

 
$
15,093

 
78

 
$
2,588,341

 
$
15,630


The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2016. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
 
Less than 12 Months
 
12 Months or More
 
Total
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
GSE debentures
8

 
$
839,683

 
$
2,293

 
1

 
$
50,476

 
$
68

 
9

 
$
890,159

 
$
2,361

GSE commercial MBS
49

 
1,388,917

 
15,595

 
46

 
1,531,930

 
17,159

 
95

 
2,920,847

 
32,754

Total
57

 
$
2,228,600

 
$
17,888

 
47

 
$
1,582,406

 
$
17,227

 
104

 
$
3,811,006

 
$
35,115


At March 31, 2017, the gross unrealized losses on the Bank’s available-for-sale securities were $15,630,000. All of the Bank's available-for-sale securities are either guaranteed by the U.S. government, issued by GSEs, or fully secured by collateral that is guaranteed by the U.S government. As of March 31, 2017, the U.S. government and the issuers of the Bank’s holdings of GSE debentures and GSE MBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”) and AA+ by S&P Global Ratings (“S&P”). The Bank's holdings of PEFCO debentures are rated triple-A by Moody's and Fitch, and are not rated by S&P. Based upon the Bank's assessment of the creditworthiness of the issuers of the GSE debentures and the credit ratings assigned by each of the nationally recognized statistical rating organizations (“NRSROs”), the Bank expects that its holdings of GSE debentures that were in an unrealized loss position at March 31, 2017 would not be settled at an amount less than the Bank's amortized cost bases in these investments. In addition, based upon the Bank's assessment of the strength of the GSEs' guarantees of the Bank's holdings of GSE commercial MBS and the credit ratings assigned by each of the NRSROs, the Bank expects that its holdings of GSE commercial MBS that were in an unrealized loss position at March 31, 2017 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at March 31, 2017.
Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at March 31, 2017 and December 31, 2016 are presented below (in thousands).
 
 
 
March 31, 2017
 
December 31, 2016
 
Maturity
 
Amortized Cost
 
Estimated
Fair Value
 
Amortized Cost
 
Estimated
Fair Value
 
 
Debentures
 
 
 
 
 
 
 
 
 
Due in one year or less
 
$
924,668

 
$
926,061

 
$
1,001,054

 
$
1,003,309

 
Due after one year through five years
 
2,633,384

 
2,667,719

 
2,079,374

 
2,100,171

 
Due after five years through ten years
 
3,683,437

 
3,740,889

 
3,989,554

 
4,022,456

 
Due after ten years
 
237,723

 
240,806

 
212,954

 
215,480

 
 
 
7,479,212

 
7,575,475

 
7,282,936

 
7,341,416

 
GSE commercial MBS
 
6,244,578

 
6,278,247

 
5,834,410

 
5,834,517

 
Total
 
$
13,723,790

 
$
13,853,722

 
$
13,117,346

 
$
13,175,933


9


Interest Rate Payment Terms. At March 31, 2017 and December 31, 2016, all of the Bank's available-for-sale securities were fixed rate securities which were swapped to a variable rate.
Sales of Securities. During the three months ended March 31, 2017, the Bank sold an available-for-sale security with an amortized cost (determined by the specific identification method) of $168,587,000. Proceeds from the sale were $169,257,000, resulting in a realized gain of $670,000. During the three months ended March 31, 2016, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $873,810,000. Proceeds from the sales totaled $874,461,000, resulting in realized gains of $651,000.

Note 5—Held-to-Maturity Securities
     Major Security Types. Held-to-maturity securities as of March 31, 2017 were as follows (in thousands):
 
Amortized
Cost
 
OTTI Recorded in
Accumulated Other
Comprehensive
Income
 
Carrying
Value
 
Gross
Unrecognized
Holding
Gains
 
Gross
Unrecognized
Holding
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
13,871

 
$

 
$
13,871

 
$
35

 
$

 
$
13,906

State housing agency obligations
110,000

 

 
110,000

 
5

 
1,275

 
108,730

 
123,871

 

 
123,871

 
40

 
1,275

 
122,636

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed residential MBS
2,403

 

 
2,403

 
1

 
2

 
2,402

GSE residential MBS
2,102,711

 

 
2,102,711

 
13,759

 
4,525

 
2,111,945

Non-agency residential MBS
109,428

 
16,164

 
93,264

 
14,500

 
1,930

 
105,834

GSE commercial MBS
61,811

 

 
61,811

 

 
165

 
61,646

 
2,276,353

 
16,164

 
2,260,189

 
28,260

 
6,622

 
2,281,827

Total
$
2,400,224

 
$
16,164

 
$
2,384,060

 
$
28,300

 
$
7,897

 
$
2,404,463


Held-to-maturity securities as of December 31, 2016 were as follows (in thousands):
 
Amortized
Cost
 
OTTI Recorded in
 Accumulated Other
Comprehensive
Income
 
Carrying
Value
 
Gross
Unrecognized
Holding
Gains
 
Gross
Unrecognized
Holding
Losses
 
Estimated
Fair
Value
Debentures
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
$
15,973

 
$

 
$
15,973

 
$
8

 
$
94

 
$
15,887

State housing agency obligations
110,000

 

 
110,000

 
15

 
1,410

 
108,605

 
125,973

 

 
125,973

 
23

 
1,504

 
124,492

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed residential MBS
2,578

 

 
2,578

 
2

 
3

 
2,577

GSE residential MBS
2,211,159

 

 
2,211,159

 
12,086

 
7,914

 
2,215,331

Non-agency residential MBS
115,230

 
17,157

 
98,073

 
14,508

 
2,032

 
110,549

GSE commercial MBS
61,812

 

 
61,812

 

 
249

 
61,563

 
2,390,779

 
17,157

 
2,373,622

 
26,596

 
10,198

 
2,390,020

Total
$
2,516,752

 
$
17,157

 
$
2,499,595

 
$
26,619

 
$
11,702

 
$
2,514,512



10


The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of March 31, 2017. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income ("AOCI") and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
 
Less than 12 Months
 
12 Months or More
 
Total
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
Debentures
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
State housing agency obligations
1

 
$
33,726

 
$
1,275

 

 
$

 
$

 
1

 
$
33,726

 
$
1,275

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed residential MBS
1

 
757

 
2

 

 

 

 
1

 
757

 
2

GSE residential MBS
10

 
43,921

 
52

 
38

 
812,426

 
4,473

 
48

 
856,347

 
4,525

Non-agency residential MBS

 

 

 
19

 
72,872

 
5,497

 
19

 
72,872

 
5,497

GSE commercial MBS

 

 

 
3

 
61,646

 
165

 
3

 
61,646

 
165

Total
12

 
$
78,404

 
$
1,329

 
60

 
$
946,944

 
$
10,135

 
72

 
$
1,025,348

 
$
11,464


The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of December 31, 2016. The unrealized losses include other-than-temporary impairments recorded in AOCI and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
 
Less than 12 Months
 
12 Months or More
 
Total
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Number of
Positions
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
Debentures
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed obligations
2

 
$
10,998

 
$
94

 

 
$

 
$

 
2

 
$
10,998

 
$
94

State housing agency obligations
1

 
33,590

 
1,410

 

 

 

 
1

 
33,590

 
1,410

Mortgage-backed securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-guaranteed residential MBS
2

 
832

 
3

 

 

 

 
2

 
832

 
3

GSE residential MBS
24

 
513,602

 
1,291

 
33

 
790,653

 
6,623

 
57

 
1,304,255

 
7,914

Non-agency residential MBS
1

 
267

 
2

 
18

 
75,897

 
5,913

 
19

 
76,164

 
5,915

  GSE commercial MBS

 

 

 
3

 
61,563

 
249

 
3

 
61,563

 
249

Total
30

 
$
559,289

 
$
2,800

 
54

 
$
928,113

 
$
12,785

 
84

 
$
1,487,402

 
$
15,585


At March 31, 2017, the gross unrealized losses on the Bank’s held-to-maturity securities were $11,464,000, of which $5,497,000 were attributable to its holdings of non-agency (i.e., private-label) residential MBS, $4,692,000 were attributable to securities that are either guaranteed by the U.S. government or issued and guaranteed by GSEs and $1,275,000 were attributable to securities issued by a state housing agency.
As of March 31, 2017, the U.S. government and the issuers of the Bank’s holdings of GSE MBS were rated triple-A by Moody’s and Fitch and AA+ by S&P. Based upon the Bank's assessment of the strength of the government guaranty, the Bank expects that its holdings of U.S. government-guaranteed MBS that were in an unrealized loss position at March 31, 2017 would not be settled at an amount less than the Bank's amortized cost bases in these investments. In addition, based upon the credit ratings assigned by the NRSROs and the Bank's assessment of the strength of the GSEs’ guarantees of the Bank’s holdings of GSE MBS, the Bank expects that its holdings of GSE MBS that were in an unrealized loss position at March 31, 2017 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Finally, based upon the Bank's assessment of the creditworthiness of the state housing agency and the triple-A credit ratings assigned by the NRSROs, the Bank expects that the state housing agency debenture that was in an unrealized loss position at March 31, 2017 would not be settled at an amount less than the Bank’s amortized cost basis in this investment. Because the current market value deficits associated with these securities are not attributable to credit quality, and because the Bank does not intend to sell the

11


investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at March 31, 2017.
The deterioration in the U.S. housing markets that occurred primarily during the period from 2007 through 2011, as reflected during that period by declines in the values of residential real estate and higher levels of delinquencies, defaults and losses on residential mortgages, including the mortgages underlying the Bank’s non-agency residential MBS (“RMBS”), generally increased the risk that the Bank may not ultimately recover the entire cost bases of some of its non-agency RMBS. However, based upon its analysis of the securities in this portfolio, the Bank believes that the unrealized losses as of March 31, 2017 were principally the result of liquidity risk related discounts in the non-agency RMBS market and do not accurately reflect the currently likely future credit performance of the securities.
Because the ultimate receipt of contractual payments on the Bank’s non-agency RMBS will depend upon the credit and prepayment performance of the underlying loans and the credit enhancements for the senior securities owned by the Bank, the Bank closely monitors these investments in an effort to determine whether the credit enhancement associated with each security is sufficient to protect against potential losses of principal and interest on the underlying mortgage loans. The credit enhancement for each of the Bank’s non-agency RMBS is provided by a senior/subordinate structure, and none of the securities owned by the Bank are insured by third-party bond insurers. More specifically, each of the Bank’s non-agency RMBS represents a single security class within a securitization that has multiple classes of securities. Each security class has a distinct claim on the cash flows from the underlying mortgage loans, with the subordinate securities having a junior claim relative to the more senior securities. The Bank’s non-agency RMBS have a senior claim on the cash flows from the underlying mortgage loans.
To assess whether the entire amortized cost bases of its 24 non-agency RMBS holdings are likely to be recovered, the Bank performed a cash flow analysis for each security as of March 31, 2017 using two third-party models. The first model considers borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (“CBSAs”), which are based upon an assessment of the individual housing markets. (The term “CBSA” refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area of 10,000 or more people.) The Bank’s housing price forecast as of March 31, 2017 assumed changes in home prices ranging from declines of 5 percent to increases of 10 percent over the 12-month period beginning January 1, 2017. For the vast majority of markets, the changes were projected to range from no change to increases of 6 percent. Thereafter, home price changes for each market were projected to return (at varying rates and over varying transition periods based on historical housing price patterns) to their long-term historical equilibrium levels. Following these transition periods, the constant long-term annual rates of appreciation for the vast majority of markets were projected to range between 2 percent and 5 percent.
The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. 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.
Based on the results of its cash flow analyses, the Bank determined it is likely that it will fully recover the remaining amortized cost bases of all of its non-agency RMBS. Because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their remaining amortized cost bases, none of the Bank's non-agency RMBS were deemed to be other-than-temporarily impaired at March 31, 2017.
During the year ended December 31, 2016, one of the Bank's non-agency RMBS was determined to be other-than-temporarily impaired. In addition, 14 of the Bank's holdings of non-agency RMBS were determined to be other-than-temporarily impaired in periods prior to 2013.

12


The following table presents a rollforward for the three months ended March 31, 2017 and 2016 of the amount related to credit losses on the Bank’s non-agency RMBS holdings for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (in thousands).
 
Three Months Ended
 
March 31,
 
2017
 
2016
Balance of credit losses, beginning of period
$
10,515

 
$
11,696

Credit losses on securities for which an other-than-temporary impairment was previously recognized

 
8

Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)
(270
)
 
(281
)
Balance of credit losses, end of period
10,245

 
11,423

Cumulative principal shortfalls on securities held at end of period
(1,832
)
 
(1,668
)
Cumulative amortization of the time value of credit losses at end of period
474

 
370

Credit losses included in the amortized cost bases of other-than-temporarily impaired securities at end of period
$
8,887

 
$
10,125

   Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at March 31, 2017 and December 31, 2016 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.
 
 
March 31, 2017
 
December 31, 2016
Maturity
 
Amortized Cost
 
Carrying Value
 
Estimated Fair Value
 
Amortized Cost
 
Carrying Value
 
Estimated Fair Value
Debentures
 
 
 
 
 
 
 
 
 
 
 
 
Due in one year or less
 
$
965

 
$
965

 
$
966

 
$
2,007

 
$
2,007

 
$
2,007

Due after one year through five years
 
7,306

 
7,306

 
7,323

 
2,874

 
2,874

 
2,882

Due after five years through ten years
 
5,600

 
5,600

 
5,617

 
11,092

 
11,092

 
10,998

Due after ten years
 
110,000

 
110,000

 
108,730

 
110,000

 
110,000

 
108,605

 
 
123,871

 
123,871

 
122,636

 
125,973

 
125,973

 
124,492

Mortgage-backed securities
 
2,276,353

 
2,260,189

 
2,281,827

 
2,390,779

 
2,373,622

 
2,390,020

Total
 
$
2,400,224

 
$
2,384,060

 
$
2,404,463

 
$
2,516,752

 
$
2,499,595

 
$
2,514,512


The amortized cost of the Bank’s mortgage-backed securities classified as held-to-maturity includes net purchase discounts of $9,239,000 and $9,671,000 at March 31, 2017 and December 31, 2016, respectively.
     Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at March 31, 2017 and December 31, 2016 (in thousands):
 
March 31, 2017
 
December 31, 2016
Amortized cost of variable-rate held-to-maturity securities other than MBS
$
123,871

 
$
125,973

Amortized cost of held-to-maturity MBS
 
 
 
Fixed-rate pass-through securities
140

 
147

Collateralized mortgage obligations
 
 
 
Fixed-rate
285

 
305

Variable-rate
2,214,117

 
2,328,515

Variable-rate multi-family MBS
61,811

 
61,812

 
2,276,353

 
2,390,779

Total
$
2,400,224

 
$
2,516,752


All of the Bank’s variable-rate collateralized mortgage obligations classified as held-to-maturity securities have coupon rates that are subject to interest rate caps, none of which were reached during 2016 or the three months ended March 31, 2017.

13


Sales of Securities. The Bank did not sell any held-to-maturity securities during the three months ended March 31, 2017. During the three months ended March 31, 2016, the Bank sold held-to-maturity securities with an amortized cost (determined by the specific identification method) of $47,458,000. Proceeds from these sales totaled $47,928,000, resulting in realized gains of $470,000. For each of these securities, the Bank had previously collected at least 85 percent of the principal outstanding at the time of acquisition. As such, the sales were considered maturities for purposes of security classification.

Note 6—Advances
     Redemption Terms. At March 31, 2017 and December 31, 2016, the Bank had advances outstanding at interest rates ranging from 0.46 percent to 8.27 percent and from 0.40 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).
 
 
March 31, 2017
 
December 31, 2016
Contractual Maturity
 
Amount
 
Weighted Average
Interest Rate
 
Amount
 
Weighted Average
Interest Rate
Due in one year or less
 
$
16,707,571

 
0.98
%
 
$
17,477,220

 
0.71
%
Due after one year through two years
 
4,404,674

 
1.23

 
5,115,095

 
1.07

Due after two years through three years
 
1,051,397

 
1.64

 
1,059,823

 
1.63

Due after three years through four years
 
1,420,846

 
1.69

 
1,347,926

 
1.56

Due after four years through five years
 
405,603

 
1.71

 
593,061

 
1.74

Due after five years
 
5,570,469

 
1.04

 
5,431,116

 
0.85

Amortizing advances
 
1,477,875

 
2.72

 
1,448,003

 
2.76

Total par value
 
31,038,435

 
1.18
%
 
32,472,244

 
0.97
%
 
 
 
 
 
 
 
 
 
Premiums
 
33

 
 
 
52

 
 
Deferred net prepayment fees
 
(12,765
)
 
 
 
(13,272
)
 
 
Commitment fees
 
(121
)
 
 
 
(123
)
 
 
Hedging adjustments
 
33,229

 
 
 
47,274

 
 
Total
 
$
31,058,811

 
 
 
$
32,506,175

 
 

Amortizing advances require repayment according to predetermined amortization schedules.
The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. At March 31, 2017 and December 31, 2016, the Bank had aggregate prepayable and callable advances totaling $12,221,496,000 and $12,432,264,000, respectively.
The following table summarizes advances outstanding at March 31, 2017 and December 31, 2016, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):
Contractual Maturity or Next Call Date
 
March 31, 2017
 
December 31, 2016
Due in one year or less
 
$
24,977,660

 
$
25,953,500

Due after one year through two years
 
1,995,447

 
2,336,974

Due after two years through three years
 
985,297

 
989,223

Due after three years through four years
 
798,046